Optimal Acceleration for Proximal Minimization of the Sum of Convex and Strongly Convex Functions

Abstract

When minimizing the sum of a convex and a strongly convex function, or when finding the zero of the sum of a monotone operator and a strongly monotone operator, Chambolle and Pock (2010) and Davis and Yin (2015) proposed accelerated mechanisms that achieve an $\mathcal{O}(1/N^2)$ convergence rate for the squared distance to the solution, but the optimality of this rate was not established. In this work, we present Fast Douglas--Rachford Splitting (FDR), an accelerated method that improves the constants established in the prior works, and provide a complexity lower bound establishing that both the $\mathcal{O}(1/N^2)$ convergence rate and the leading-order constant of FDR's rate are optimal.