Coupled Adaptable Backward-Forward-Backward Resolvent Splitting Algorithm (CABRA): A Matrix-Parametrized Resolvent Splitting Method for the Sum of Maximal Monotone and Cocoercive Operators Composed with Linear Coupling Operators
We present a novel matrix-parametrized frugal splitting algorithm which finds a zero of a sum of maximal monotone and cocoercive operators composed with linear selection operators, which models a large class of problems in which the operators take only a subset of decision variables as their input. We also develop a semidefinite programming framework for selecting matrix parameters and demonstrate its use for designing matrix parameters which provide beneficial diagonal scaling, allow parallelization, and adhere to a given communication structure. We show that making use of the structure of the linear selection operators in this way improves convergence in numerical experiments. Even when the selection operators are the identity, we can enhance convergence by using the matrix parameters to provide appropriately chosen diagonal scaling. We conclude by demonstrating the applicability of this algorithm to multi-stage stochastic programming, outlining a decentralized approach to the relaxed stochastic weapon target assignment problem which splits over the source nodes and has low data transfer and memory requirements.