A Direct Proof of Convergence of Davis–Yin Splitting Algorithm Allowing Larger Stepsizes

Abstract

This note is devoted to the splitting algorithm proposed by Davis and Yin (Set-valued Var. Anal. 25(4), 829–858, 2017) for computing a zero of the sum of three maximally monotone operators, with one of them being cocoercive. We provide a direct proof that guarantees its convergence when the stepsizes are smaller than four times the cocoercivity constant, thus doubling the size of the interval established by Davis and Yin. As a by-product, the same conclusion applies to the forward-backward splitting algorithm. Further, we use the notion of “strengthening” of a set-valued operator to derive a new splitting algorithm for computing the resolvent of the sum. Last but not least, we provide some numerical experiments illustrating the importance of appropriately choosing the stepsize and relaxation parameters of the algorithms.