Iteration-Complexity of a Generalized Forward Backward Splitting Algorithm

In this paper, we analyze the iteration-complexity of Generalized Forward--Backward (GFB) splitting algorithm, as proposed in \cite{gfb2011}, for minimizing a large class of composite objectives $f + \sum_{i=1}^n h_i$ on a Hilbert space, where $f$ has a Lipschitz-continuous gradient and the $h_i$'s are simple (\ie their proximity operators are easy to compute). We derive iteration-complexity bounds (pointwise and ergodic) for the inexact version of GFB to obtain an approximate solution based on an easily verifiable termination criterion. Along the way, we prove complexity bounds for relaxed and inexact fixed point iterations built from composition of nonexpansive averaged operators. These results apply more generally to GFB when used to find a zero of a sum of $n > 0$ maximal monotone operators and a co-coercive operator on a Hilbert space. The theoretical findings are exemplified with experiments on video processing.Comment: 5 pages, 2 figure

Convergence Rates with Inexact Non-expansive Operators

In this paper, we present a convergence rate analysis for the inexact Krasnosel'skii-Mann iteration built from nonexpansive operators. Our results include two main parts: we first establish global pointwise and ergodic iteration-complexity bounds, and then, under a metric subregularity assumption, we establish local linear convergence for the distance of the iterates to the set of fixed points. The obtained iteration-complexity result can be applied to analyze the convergence rate of various monotone operator splitting methods in the literature, including the Forward-Backward, the Generalized Forward-Backward, Douglas-Rachford, alternating direction method of multipliers (ADMM) and Primal-Dual splitting methods. For these methods, we also develop easily verifiable termination criteria for finding an approximate solution, which can be seen as a generalization of the termination criterion for the classical gradient descent method. We finally develop a parallel analysis for the non-stationary Krasnosel'skii-Mann iteration. The usefulness of our results is illustrated by applying them to a large class of structured monotone inclusion and convex optimization problems. Experiments on some large scale inverse problems in signal and image processing problems are shown.Comment: This is an extended version of the work presented in http://arxiv.org/abs/1310.6636, and is accepted by the Mathematical Programmin

A constrained-based optimization approach for seismic data recovery problems

Random and structured noise both affect seismic data, hiding the reflections of interest (primaries) that carry meaningful geophysical interpretation. When the structured noise is composed of multiple reflections, its adaptive cancellation is obtained through time-varying filtering, compensating inaccuracies in given approximate templates. The under-determined problem can then be formulated as a convex optimization one, providing estimates of both filters and primaries. Within this framework, the criterion to be minimized mainly consists of two parts: a data fidelity term and hard constraints modeling a priori information. This formulation may avoid, or at least facilitate, some parameter determination tasks, usually difficult to perform in inverse problems. Not only classical constraints, such as sparsity, are considered here, but also constraints expressed through hyperplanes, onto which the projection is easy to compute. The latter constraints lead to improved performance by further constraining the space of geophysically sound solutions.Comment: International Conference on Acoustics, Speech and Signal Processing (ICASSP 2014); Special session "Seismic Signal Processing

A forward-backward view of some primal-dual optimization methods in image recovery

A wide array of image recovery problems can be abstracted into the problem of minimizing a sum of composite convex functions in a Hilbert space. To solve such problems, primal-dual proximal approaches have been developed which provide efficient solutions to large-scale optimization problems. The objective of this paper is to show that a number of existing algorithms can be derived from a general form of the forward-backward algorithm applied in a suitable product space. Our approach also allows us to develop useful extensions of existing algorithms by introducing a variable metric. An illustration to image restoration is provided

Stochastic Primal-Dual Three Operator Splitting with Arbitrary Sampling and Preconditioning

In this work we propose a stochastic primal-dual preconditioned three-operator splitting algorithm for solving a class of convex three-composite optimization problems. Our proposed scheme is a direct three-operator splitting extension of the SPDHG algorithm [Chambolle et al. 2018]. We provide theoretical convergence analysis showing ergodic O(1/K) convergence rate, and demonstrate the effectiveness of our approach in imaging inverse problems

Multi-frequency image reconstruction for radio-interferometry with self-tuned regularization parameters

As the world's largest radio telescope, the Square Kilometer Array (SKA) will provide radio interferometric data with unprecedented detail. Image reconstruction algorithms for radio interferometry are challenged to scale well with TeraByte image sizes never seen before. In this work, we investigate one such 3D image reconstruction algorithm known as MUFFIN (MUlti-Frequency image reconstruction For radio INterferometry). In particular, we focus on the challenging task of automatically finding the optimal regularization parameter values. In practice, finding the regularization parameters using classical grid search is computationally intensive and nontrivial due to the lack of ground- truth. We adopt a greedy strategy where, at each iteration, the optimal parameters are found by minimizing the predicted Stein unbiased risk estimate (PSURE). The proposed self-tuned version of MUFFIN involves parallel and computationally efficient steps, and scales well with large- scale data. Finally, numerical results on a 3D image are presented to showcase the performance of the proposed approach