MAGMA: Multi-level accelerated gradient mirror descent algorithm for large-scale convex composite minimization

Composite convex optimization models arise in several applications, and are especially prevalent in inverse problems with a sparsity inducing norm and in general convex optimization with simple constraints. The most widely used algorithms for convex composite models are accelerated first order methods, however they can take a large number of iterations to compute an acceptable solution for large-scale problems. In this paper we propose to speed up first order methods by taking advantage of the structure present in many applications and in image processing in particular. Our method is based on multi-level optimization methods and exploits the fact that many applications that give rise to large scale models can be modelled using varying degrees of fidelity. We use Nesterov's acceleration techniques together with the multi-level approach to achieve $\mathcal{O}(1/\sqrt{\epsilon})$ convergence rate, where $\epsilon$ denotes the desired accuracy. The proposed method has a better convergence rate than any other existing multi-level method for convex problems, and in addition has the same rate as accelerated methods, which is known to be optimal for first-order methods. Moreover, as our numerical experiments show, on large-scale face recognition problems our algorithm is several times faster than the state of the art

A Multi-Grid Iterative Method for Photoacoustic Tomography

Inspired by the recent advances on minimizing nonsmooth or bound-constrained convex functions on models using varying degrees of fidelity, we propose a line search multigrid (MG) method for full-wave iterative image reconstruction in photoacoustic tomography (PAT) in heterogeneous media. To compute the search direction at each iteration, we decide between the gradient at the target level, or alternatively an approximate error correction at a coarser level, relying on some predefined criteria. To incorporate absorption and dispersion, we derive the analytical adjoint directly from the first-order acoustic wave system. The effectiveness of the proposed method is tested on a total-variation penalized Iterative Shrinkage Thresholding algorithm (ISTA) and its accelerated variant (FISTA), which have been used in many studies of image reconstruction in PAT. The results show the great potential of the proposed method in improving speed of iterative image reconstruction