Adaptive smoothing algorithms for nonsmooth composite convex minimization
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Publication:523569
DOI10.1007/S10589-016-9873-6zbMATH Open1366.90168arXiv1509.00106OpenAlexW2963925567MaRDI QIDQ523569FDOQ523569
Authors: Quoc Tran Dinh 
Publication date: 21 April 2017
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Abstract: We propose an adaptive smoothing algorithm based on Nesterov's smoothing technique in cite{Nesterov2005c} for solving "fully" nonsmooth composite convex optimization problems. Our method combines both Nesterov's accelerated proximal gradient scheme and a new homotopy strategy for smoothness parameter. By an appropriate choice of smoothing functions, we develop a new algorithm that has the -worst-case iteration-complexity while preserves the same complexity-per-iteration as in Nesterov's method and allows one to automatically update the smoothness parameter at each iteration. Then, we customize our algorithm to solve four special cases that cover various applications. We also specify our algorithm to solve constrained convex optimization problems and show its convergence guarantee on a primal sequence of iterates. We demonstrate our algorithm through three numerical examples and compare it with other related algorithms.
Full work available at URL: https://arxiv.org/abs/1509.00106
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adaptive algorithmnonsmooth convex optimizationaccelerated proximal-gradient methodcomposite convex minimizationNesterov's smoothing technique
Convex programming (90C25) Computational methods for problems pertaining to operations research and mathematical programming (90-08)
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Cited In (23)
- Extrapolated smoothing descent algorithm for constrained nonconvex and nonsmooth composite problems
- Stochastic incremental mirror descent algorithms with Nesterov smoothing
- Smoothed Variable Sample-Size Accelerated Proximal Methods for Nonsmooth Stochastic Convex Programs
- A smooth primal-dual optimization framework for nonsmooth composite convex minimization
- Smoothing accelerated proximal gradient method with fast convergence rate for nonsmooth convex optimization beyond differentiability
- Fast inertial dynamic algorithm with smoothing method for nonsmooth convex optimization
- Proximal iterative Gaussian smoothing algorithm for a class of nonsmooth convex minimization problems
- Adaptive regularization minimization algorithms with nonsmooth norms
- Variable smoothing for convex optimization problems using stochastic gradients
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- An adaptive primal-dual framework for nonsmooth convex minimization
- Variable smoothing for weakly convex composite functions
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- A stochastic Nesterov's smoothing accelerated method for general nonsmooth constrained stochastic composite convex optimization
- An indefinite proximal subgradient-based algorithm for nonsmooth composite optimization
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- Smoothing alternating direction methods for fully nonsmooth constrained convex optimization
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