A fast continuous time approach for non-smooth convex optimization using Tikhonov regularization technique

DOI10.1007/S10589-023-00536-6arXiv2303.09980OpenAlexW4388274126MaRDI QIDQ6155070FDOQ6155070

Authors: M. A. Karapetyants 

Publication date: 16 February 2024

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Abstract: In this manuscript we would like to address the classical optimization problem of minimizing a proper, convex and lower semicontinuous function via the second order in time dynamics, combining viscous and Hessian-driven damping with a Tikhonov regularization technique. In our analysis we heavily exploit the Moreau envelope of the objective function and its properties as well as Tikhonov properties, which we extend to a nonsmooth case. We introduce the setting, which at the same time guarantees the fast convergence of the function (and Moreau envelope) values and strong convergence of the trajectories of the system to a minimal norm solution -- the element of the minimal norm of all the minimizers of the objective. Moreover, we deduce the precise rates of convergence of the values for the particular choice of parameter function. Various numerical examples are also included as an illustration of the theoretical results.

Full work available at URL: https://arxiv.org/abs/2303.09980

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zbMATH Keywords

Tikhonov regularizationstrong convergenceproximal operatorMoreau envelopenonsmooth convex optimizationHessian-driven dampingdamped inertial dynamics

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Numerical optimization and variational techniques (65K10) Convex programming (90C25) Dynamical systems in optimization and economics (37N40) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Mathematical programming (90Cxx) Numerical methods in optimal control (49M99)

Cites Work

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Cited In (4)

• A Nesterov type algorithm with double Tikhonov regularization: fast convergence of the function values and strong convergence to the minimal norm solution
• Second order dynamics featuring Tikhonov regularization and time scaling
• Fast convergence rate of values with strong convergence of trajectories via inertial dynamics with Tikhonov regularization terms and asymptotically vanishing damping
• Fast convergence rates and trajectory convergence of a Tikhonov regularized inertial primal-dual dynamical system with time scaling and vanishing damping

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