Non-convex optimization via strongly convex majorization-minimization

DOI10.4153/S0008439519000730zbMATH Open1458.90526arXiv1906.05608OpenAlexW2994638246WikidataQ126581695 ScholiaQ126581695MaRDI QIDQ5148071FDOQ5148071

Authors: Azita Mayeli 

Publication date: 29 January 2021

Published in: Canadian Mathematical Bulletin (Search for Journal in Brave)

Abstract: In this paper, we introduce a class of nonsmooth nonconvex least square optimization problem using convex analysis tools and we propose to use the iterative minimization-majorization (MM) algorithm on a convex set with initializer away from the origin to find an optimal point for the optimization problem. For this, first we use an approach to construct a class of convex majorizers which approximate the value of non-convex cost function on a convex set. The convergence of the iterative algorithm is guaranteed when the initial point $x^{(0)}$ is away from the origin and the iterative points $x^{(k)}$ are obtained in a ball centred at $x^{(k-1)}$ with small radius. The algorithm converges to a stationary point of cost function when the surregators are strongly convex. For the class of our optimization problems, the proposed penalizer of the cost function is the difference of $el{l}_1$-norm and the Moreau envelope of a convex function, and it is a generalization of GMC non-separable penalty function previously introduced by Ivan Selesnick in cite{IS17}.

Full work available at URL: https://arxiv.org/abs/1906.05608

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zbMATH Keywords

cost functionconvex functionstationary pointMoreau envelopeinfimal convolutionlocal majorizer and minimizersurregator

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Numerical methods for inverse problems for integral equations (65R32)

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Cited In (8)

• Nonconvex nonsmooth optimization via convex-nonconvex majorization-minimization
• Convergence of an inexact majorization-minimization method for solving a class of composite optimization problems
• Composite optimization by nonconvex majorization-minimization
• Convex predictor-nonconvex corrector optimization strategy with application to signal decomposition
• Bregman distance regularization for nonsmooth and nonconvex optimization
• Quadratic Majorization for Nonconvex Loss with Applications to the Boosting Algorithm
• Min-max framework for majorization-minimization algorithms in signal processing applications: an overview
• MOCCA: mirrored convex/concave optimization for nonconvex composite functions

Uses Software

• PDCO
• ElemStatLearn

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