Variable Metric Forward–Backward Algorithm for Minimizing the Sum of a Differentiable Function and a Convex Function

Emilie Chouzenoux, Jean-Christophe Pesquet, Audrey Repetti

Research output: Contribution to journalArticle

90 Citations (Scopus)

Abstract

We consider the minimization of a function G defined on RN , which is the sum of a (not necessarily convex) differentiable function and a (not necessarily differentiable) convex function. Moreover, we assume that G satisfies the Kurdyka–Łojasiewicz property. Such a problem can be solved with the Forward–Backward algorithm. However, the latter algorithm may suffer from slow convergence. We propose an acceleration strategy based on the use of variable metrics and of the Majorize–Minimize principle. We give conditions under which the sequence generated by the resulting Variable Metric Forward–Backward algorithm converges to a critical point of G. Numerical results illustrate the performance of the proposed algorithm in an image reconstruction application.
Original languageEnglish
Pages (from-to)107–132
Number of pages26
JournalJournal of Optimization Theory and Applications
Volume162
Issue number1
DOIs
Publication statusPublished - Jul 2014

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