Calculus of the exponent of Kurdyka-{\L}ojasiewicz inequality and its applications to linear convergence of first-order methods

In this paper, we study the Kurdyka-{\L}ojasiewicz (KL) exponent, an important quantity for analyzing the convergence rate of first-order methods. Specifically, we develop various calculus rules to deduce the KL exponent of new (possibly nonconvex and nonsmooth) functions formed from functions with known KL exponents. In addition, we show that the well-studied Luo-Tseng error bound together with a mild assumption on the separation of stationary values implies that the KL exponent is $\frac12$. The Luo-Tseng error bound is known to hold for a large class of concrete structured optimization problems, and thus we deduce the KL exponent of a large class of functions whose exponents were previously unknown. Building upon this and the calculus rules, we are then able to show that for many convex or nonconvex optimization models for applications such as sparse recovery, their objective function's KL exponent is $\frac12$. This includes the least squares problem with smoothly clipped absolute deviation (SCAD) regularization or minimax concave penalty (MCP) regularization and the logistic regression problem with $\ell_1$ regularization. Since many existing local convergence rate analysis for first-order methods in the nonconvex scenario relies on the KL exponent, our results enable us to obtain explicit convergence rate for various first-order methods when they are applied to a large variety of practical optimization models. Finally, we further illustrate how our results can be applied to establishing local linear convergence of the proximal gradient algorithm and the inertial proximal algorithm with constant step-sizes for some specific models that arise in sparse recovery.Comment: The paper is accepted for publication in Foundations of Computational Mathematics: https://link.springer.com/article/10.1007/s10208-017-9366-8. In this update, we fill in more details to the proof of Theorem 4.1 concerning the nonemptiness of the projection onto the set of stationary point