A Bregman forward-backward linesearch algorithm for nonconvex composite optimization: superlinear convergence to nonisolated local minima

We introduce Bella, a locally superlinearly convergent Bregman forward backward splitting method for minimizing the sum of two nonconvex functions, one of which satisfying a relative smoothness condition and the other one possibly nonsmooth. A key tool of our methodology is the Bregman forward-backward envelope (BFBE), an exact and continuous penalty function with favorable first- and second-order properties, and enjoying a nonlinear error bound when the objective function satisfies a Lojasiewicz-type property. The proposed algorithm is of linesearch type over the BFBE along candidate update directions, and converges subsequentially to stationary points, globally under a KL condition, and owing to the given nonlinear error bound can attain superlinear convergence rates even when the limit point is a nonisolated minimum, provided the directions are suitably selected

Forward-backward truncated Newton methods for convex composite optimization

This paper proposes two proximal Newton-CG methods for convex nonsmooth optimization problems in composite form. The algorithms are based on a a reformulation of the original nonsmooth problem as the unconstrained minimization of a continuously differentiable function, namely the forward-backward envelope (FBE). The first algorithm is based on a standard line search strategy, whereas the second one combines the global efficiency estimates of the corresponding first-order methods, while achieving fast asymptotic convergence rates. Furthermore, they are computationally attractive since each Newton iteration requires the approximate solution of a linear system of usually small dimension

On Convex Envelopes and Regularization of Non-Convex Functionals without moving Global Minima

We provide theory for the computation of convex envelopes of non-convex functionals including an l2-term, and use these to suggest a method for regularizing a more general set of problems. The applications are particularly aimed at compressed sensing and low rank recovery problems but the theory relies on results which potentially could be useful also for other types of non-convex problems. For optimization problems where the l2-term contains a singular matrix we prove that the regularizations never move the global minima. This result in turn relies on a theorem concerning the structure of convex envelopes which is interesting in its own right. It says that at any point where the convex envelope does not touch the non-convex functional we necessarily have a direction in which the convex envelope is affine.Comment: arXiv admin note: text overlap with arXiv:1609.0937

A new envelope function for nonsmooth DC optimization

Difference-of-convex (DC) optimization problems are shown to be equivalent to the minimization of a Lipschitz-differentiable "envelope". A gradient method on this surrogate function yields a novel (sub)gradient-free proximal algorithm which is inherently parallelizable and can handle fully nonsmooth formulations. Newton-type methods such as L-BFGS are directly applicable with a classical linesearch. Our analysis reveals a deep kinship between the novel DC envelope and the forward-backward envelope, the former being a smooth and convexity-preserving nonlinear reparametrization of the latter

Lagrange optimality system for a class of nonsmooth convex optimization

In this paper, we revisit the augmented Lagrangian method for a class of nonsmooth convex optimization. We present the Lagrange optimality system of the augmented Lagrangian associated with the problems, and establish its connections with the standard optimality condition and the saddle point condition of the augmented Lagrangian, which provides a powerful tool for developing numerical algorithms. We apply a linear Newton method to the Lagrange optimality system to obtain a novel algorithm applicable to a variety of nonsmooth convex optimization problems arising in practical applications. Under suitable conditions, we prove the nonsingularity of the Newton system and the local convergence of the algorithm.Comment: 19 page

On starting and stopping criteria for nested primal-dual iterations

The importance of an adequate inner loop starting point (as opposed to a sufficient inner loop stopping rule) is discussed in the context of a numerical optimization algorithm consisting of nested primal-dual proximal-gradient iterations. While the number of inner iterations is fixed in advance, convergence of the whole algorithm is still guaranteed by virtue of a warm-start strategy for the inner loop, showing that inner loop "starting rules" can be just as effective as "stopping rules" for guaranteeing convergence. The algorithm itself is applicable to the numerical solution of convex optimization problems defined by the sum of a differentiable term and two possibly non-differentiable terms. One of the latter terms should take the form of the composition of a linear map and a proximable function, while the differentiable term needs an accessible gradient. The algorithm reduces to the classical proximal gradient algorithm in certain special cases and it also generalizes other existing algorithms. In addition, under some conditions of strong convexity, we show a linear rate of convergence.Comment: 18 pages, no figure