On the Proximal Gradient Algorithm with Alternated Inertia

DOI10.1007/S10957-018-1226-4MaRDI QIDQ6296588arXivFDO

Authors Franck Iutzeler, Jérôme Malick

Publication date 17 January 2018

Published in arXiv

Full work available at URL https://doi.org/10.1007/S10957-018-1226-4

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Nonlinear programming (90C30)

arXiv classification

math.OC stat.ML

Abstract: In this paper, we investigate the attractive properties of the proximal gradient algorithm with inertia. Notably, we show that using alternated inertia yields monotonically decreasing functional values, which contrasts with usual accelerated proximal gradient methods. We also provide convergence rates for the algorithm with alternated inertia based on local geometric properties of the objective function. The results are put into perspective by discussions on several extensions and illustrations on common regularized problems.

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