The Variable Metric Forward-Backward Splitting Algorithm Under Mild Differentiability Assumptions
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Abstract: We study the variable metric forward-backward splitting algorithm for convex minimization problems without the standard assumption of the Lipschitz continuity of the gradient. In this setting, we prove that, by requiring only mild assumptions on the smooth part of the objective function and using several types of line search procedures for determining either the gradient descent stepsizes, or the relaxation parameters, one still obtains weak convergence of the iterates and convergence in the objective function values. Moreover, the convergence rate in the function values is obtained if slightly stronger differentiability assumptions are added. We also illustrate several applications including problems that involve Banach spaces and functions of divergence type.
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