We present and analyze a backtracking strategy for a general fast iterative shrinkage/thresholding algorithm proposed by Chambolle and Pock [Acta Numer., 25 (2016), pp. 161–319] for strongly convex composite objective functions. Unlike classical Armijo-type line searching, our backtracking rule allows for local increasing and decreasing of the descent step size (i.e., proximal parameter) along the iterations. We prove accelerated convergence rates and show numerical results for some exemplar problems.
Backtracking strategies for accelerated descent methods with smooth composite objectives
Calatroni L.;
2019-01-01
Abstract
We present and analyze a backtracking strategy for a general fast iterative shrinkage/thresholding algorithm proposed by Chambolle and Pock [Acta Numer., 25 (2016), pp. 161–319] for strongly convex composite objective functions. Unlike classical Armijo-type line searching, our backtracking rule allows for local increasing and decreasing of the descent step size (i.e., proximal parameter) along the iterations. We prove accelerated convergence rates and show numerical results for some exemplar problems.
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