Convergence analysis of the fast subspace descent method for convex optimization problems
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Publication:5113667
convergence analysisnonlinear PDEconvex optimization problemsfast subspace descent methodfull approximation storage (FAS) schemenonlineare multigrid method
Numerical optimization and variational techniques (65K10) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Numerical solutions to equations with nonlinear operators (65J15) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22)
Abstract: The full approximation storage (FAS) scheme is a widely used multigrid method for nonlinear problems. In this paper, a new framework to design and analyze FAS-like schemes for convex optimization problems is developed. The new method, the Fast Subspace Descent (FASD) scheme, which generalizes classical FAS, can be recast as an inexact version of nonlinear multigrid methods based on space decomposition and subspace correction. The local problem in each subspace can be simplified to be linear and one gradient descent iteration (with an appropriate step size) is enough to ensure a global linear (geometric) convergence of FASD.
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