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The Douglas–Rachford fixed-point map is firmly nonexpansive

Statement

For maximal-monotone A,B and ρ>0, let T=I−JρB+JρA(2JρB−I). Then T:E→E is firmly nonexpansive: ∥T(w)−T(w′)∥22≤⟨T(w)−T(w′),w−w′⟩.

Facts & Assumptions

Given: Maximal-monotone A,B, ρ>0, and w,w′∈E.

[A1]

Both relations are maximal monotone, ρ>0, and the inputs lie in E.

[F1]

Douglas–Rachford splitting for two maximal-monotone relations: the update map is T(w)=w+JρA(2JρBw−w)−JρBw.

[F2]

A maximal-monotone resolvent is everywhere-defined and firmly nonexpansive: each resolvent J obeys ∥Jv−Jv′∥2≤⟨Jv−Jv′,v−v′⟩.

Proof

1.1A1F2algebra

For any firmly nonexpansive J, its reflector R=2J−I is nonexpansive: with d=v−v′ and e=Jv−Jv′, [F2] gives ∥2e−d∥22=∥d∥22+4∥e∥22−4⟨e,d⟩≤∥d∥22. Thus RARB is nonexpansive because it is a composition of two nonexpansive maps.

2.1A1F1step 1.1algebra∎

Expanding the reflectors gives T=(I+RARB)/2. For d=w−w′ and s=RARBw−RARBw′, nonexpansiveness gives ∥s∥2≤∥d∥2, and ∥d+s2∥22≤⟨d+s2,d⟩ is equivalent after multiplying by 4 and cancelling common terms to ∥s∥22≤∥d∥22. This is the firm inequality for T.

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Sources