Extended auxiliary problem principle using Bregman distances
Alexander Kaplan, Rainer Tichatschke · Optimization · 2004
An extension of the Auxiliary Problem Principle (cf., G. Cohen (1980). Auxiliary problem principle and decomposition of optimization problems. JOTA, 32, 277–305; G. Cohen (1988). Auxiliary problem principle extended to variational inequalities. JOTA, 59, 325–333.) for solving variational inequalities with maximal monotone operators is studied. Using Bregman functions to construct the symmetric components of the auxiliary operators, an “interior point effect” is provided, i.e. auxiliary problems can be treated as unconstrained ones. In this general framework, classical and Bregman-function based proximal methods can be considered as particular cases. The convergence analysis allows that the auxiliary problems are solved inexactly with a sort of error summability criterion.