Accelerated And Inexact Forward-Backward Algorithms
We propose a convergence analysis of accelerated forward-backward splitting methods for composite function minimization, when the proximity operator is not available in closed form, and can only be computed up to a certain precision. We prove that the 1/k(2) convergence rate for the function values can be achieved if the admissible errors are of a certain type and satisfy a sufficiently fast decay condition. Our analysis is based on the machinery of estimate sequences first introduced by Nesterov for the study of accelerated gradient descent algorithms. Furthermore, we give a global complexity analysis, taking into account the cost of computing admissible approximations of the proximal point. An experimental analysis is also presented.
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Villa, S., Salzo, S., Baldassarre, L., & Verri, A. (2013). Accelerated And Inexact Forward-Backward Algorithms. SIAM Journal on Optimization, 23(3), 1607–1633. https://doi.org/10.1137/110844805
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WOS:000325094000010
2013
23
3
1607
1633
REVIEWED
EPFL