Convergence analysis of an extended auxiliary problem principle with various stopping criteria

Abstract

We investigate the Extended Proximal Auxiliary Problem Principle (EPAPP) [A. Kaplan and R. Tichatschke, Extended Auxiliary Problem Principle using Bregman distances, Optimization 53 (2004), pp. 603–623, A. Kaplan and R. Tichatschke, Bregman functions and auxiliary problem principle, Optim. Methods Softw. 23, 1 (2008), pp. 95–107] for solving variational inequalities whose operator – here called the main operator – is the sum of a maximal monotone and a continuous operator. As usual for proximal methods using Bregman distances, Kalpan and Tichatschke required that the main operator is paramonotone. There are two main purposes of the present article. First, we establish the convergence of the EPAPP method without the use of paramonotonicity by replacing the latter assumption by other (partly rather natural) ones. An example showing that the main operator does not even have to be monotone is also given. Second, we discuss the EPAPP method with a stopping criterion of fixed-relative-error type by Solodov and Svaiter [An inexact hybrid generalized proximal point algorithm and some new results on the theory of Bregman functions, Math. Oper. Res. 25 (2000), pp. 214–230]. Kaplan and Tichatschke used a stopping criterion of summable-error type was used to admit an inexact solution of the corresponding auxiliary problems. To our knowledge, such a stopping criterion has not been applied to an extended APP yet; also in this situation, the paramonotonicity hypothesis is avoided. Independent of the stopping criterion under consideration, we admit an outer approximation of the set-valued component of the main operator. Owing to the use of Bregman-like functions to construct the symmetric components of the auxiliary operators, an interior-point effect is provided, meaning that – with a certain precaution – the auxiliary problems can be treated as unconstrained ones.