Fast Convergence of Generalized Forward-Backward Algorithms for Structured Monotone Inclusions

We develop rapidly convergent forward-backward algorithms for computing zeroes of the sum of finitely many maximally monotone operators. A modification of the classical forward-backward method for two general operators is first considered, by incorporating an inertial term (close to the acceleration techniques introduced by Nesterov), a constant relaxation factor and a correction term. In a Hilbert space setting, we prove the weak convergence to equilibria of the iterates (x(n)), with worst-case rates of O(n(-1)) in terms of both the discrete velocity and the fixed point residual, instead of the classical rates of O(n(-1/2)) established so far for related algorithms. Our procedure is then adapted to more general monotone inclusions and a fast primal-dual algorithm is proposed for solving convex-concave saddle point problems.