A proximal subgradient algorithm with extrapolation for structured nonconvex nonsmooth problems

DOI10.1007/S11075-023-01554-5arXiv2208.12432OpenAlexW4381436234MaRDI QIDQ6141533FDOQ6141533

Author name not available (Why is that?)

Publication date: 19 December 2023

Published in: Numerical Algorithms (Search for Journal in Brave)

Abstract: In this paper, we consider a class of structured nonconvex nonsmooth optimization problems, in which the objective function is formed by the sum of a possibly nonsmooth nonconvex function and a differentiable function whose gradient is Lipschitz continuous, subtracted by a weakly convex function. This type of structured problems has many practical applications in machine learning and statistics such as compressed sensing, signal recovery, sparse dictionary learning, clustering, matrix factorization, and others. We develop a flexible extrapolated proximal subgradient algorithm for solving these problems with guaranteed subsequential convergence to a stationary point. The global convergence of the whole sequence generated by our algorithm is also established under the Kurdyka-Lojasiewicz property. To illustrate the promising numerical performance of the proposed algorithm, we conduct numerical experiments on two important nonconvex models. This includes a least squares problem with a nonconvex regularization and an optimal power flow problem with distributed energy resources.

Full work available at URL: https://arxiv.org/abs/2208.12432

zbMATH Keywords

difference of convexextrapolationoptimal power flowdistributed energy resourcescomposite optimization problemproximal subgradient algorithm

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Numerical optimization and variational techniques (65K10) Nonconvex programming, global optimization (90C26) Decomposition methods (49M27)

Cites Work

• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• Nearly unbiased variable selection under minimax concave penalty
• Variational Analysis
• First-Order Methods in Optimization
• Clarke Subgradients of Stratifiable Functions
• Analysis of the Recovery of Edges in Images and Signals by Minimizing Nonconvex Regularized Least-Squares
• On gradients of functions definable in o-minimal structures
• On the convergence of the proximal algorithm for nonsmooth functions involving analytic features
• Some methods of speeding up the convergence of iteration methods
• Global convergence of a proximal linearized algorithm for difference of convex functions
• Wavelets in statistics: A review
• A Lyapunov-type approach to convergence of the Douglas-Rachford algorithm for a nonconvex setting
• Lectures on convex optimization
• Convex Relaxation of Optimal Power Flow—Part I: Formulations and Equivalence
• DC programming and DCA: thirty years of developments
• Calculus of the exponent of Kurdyka-Łojasiewicz inequality and its applications to linear convergence of first-order methods
• DC formulations and algorithms for sparse optimization problems
• Convergence Rates of Inertial Forward-Backward Algorithms
• Difference-of-Convex Learning: Directional Stationarity, Optimality, and Sparsity
• Fast L1-L2 minimization via a proximal operator
• A proximal difference-of-convex algorithm with extrapolation
• Convergence analysis of a proximal point algorithm for minimizing differences of functions
• Joint Optimization of Source Power Allocation and Distributed Relay Beamforming in Multiuser Peer-to-Peer Relay Networks
• Enhanced proximal DC algorithms with extrapolation for a class of structured nonsmooth DC minimization
• Nonmonotone Enhanced Proximal DC Algorithms for a Class of Structured Nonsmooth DC Programming
• Proximal operator and optimality conditions for ramp loss SVM
• An inexact successive quadratic approximation method for a class of difference-of-convex optimization problems
• Inexact accelerated high-order proximal-point methods
• Extrapolated Proximal Subgradient Algorithms for Nonconvex and Nonsmooth Fractional Programs
• Inertial Proximal Block Coordinate Method for a Class of Nonsmooth Sum-of-Ratios Optimization Problems

Cited In (5)

• A Proximal Minimization Algorithm for Structured Nonconvex and Nonsmooth Problems
• A proximal difference-of-convex algorithm with extrapolation
• Extrapolated Proximal Subgradient Algorithms for Nonconvex and Nonsmooth Fractional Programs
• Bregman proximal linearized ADMM for minimizing separable sums coupled by a difference of functions
• Title not available (Why is that?)

This page was built for publication: A proximal subgradient algorithm with extrapolation for structured nonconvex nonsmooth problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6141533)