Non-convex optimization via strongly convex majorization-minimization
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Publication:5148071
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 is away from the origin and the iterative points are obtained in a ball centred at 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 -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}.
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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
- Quadratic Majorization for Nonconvex Loss with Applications to the Boosting Algorithm
- Bregman distance regularization for nonsmooth and nonconvex optimization
- Min-max framework for majorization-minimization algorithms in signal processing applications: an overview
- MOCCA: mirrored convex/concave optimization for nonconvex composite functions
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