资源论文A Multi-step Inertial Forward–Backward Splitting Method for Non-convex Optimization

A Multi-step Inertial Forward–Backward Splitting Method for Non-convex Optimization

2020-02-05 | |  65 |   45 |   0

Abstract 

We propose a multi-step inertial Forward–Backward splitting algorithm for minimizing the sum of two non-necessarily convex functions, one of which is proper lower semi-continuous while the other is differentiable with a Lipschitz continuous gradient. We first prove global convergence of the algorithm with the help of the image.png Then, when the non-smooth part is also partly smooth relative to a smooth submanifold, we establish finite identification of the latter and provide sharp local linear convergence analysis. The proposed method is illustrated on several problems arising from statistics and machine learning.

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