A generalized forward-backward splitting

DOI10.1137/120872802MaRDI QIDQ2873234zbMATH OpenOpenAlexFDO

Authors Hugo Raguet, Jalal Fadili, Gabriel Peyré

Publication date 23 January 2014

Published in SIAM Journal on Imaging Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1108.4404

zbMATH Keywords

forward-backward algorithmsparsityimage processingnonsmooth convex optimizationmonotone operator splittingproximal splitting

Mathematics Subject Classification ID

Convex programming (90C25) Image processing (compression, reconstruction, etc.) in information and communication theory (94A08) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)

Abstract: This paper introduces the generalized forward-backward splitting algorithm for minimizing convex functions of the form $F+su{m}_{i=1}^n{G}_i$, where $F$ has a Lipschitz-continuous gradient and the $G_i$'s are simple in the sense that their Moreau proximity operators are easy to compute. While the forward-backward algorithm cannot deal with more than $n=1$ non-smooth function, our method generalizes it to the case of arbitrary $n$. Our method makes an explicit use of the regularity of $F$ in the forward step, and the proximity operators of the $G_i$'s are applied in parallel in the backward step. This allows the generalized forward backward to efficiently address an important class of convex problems. We prove its convergence in infinite dimension, and its robustness to errors on the computation of the proximity operators and of the gradient of $F$. Examples on inverse problems in imaging demonstrate the advantage of the proposed methods in comparison to other splitting algorithms.

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