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arXiv · 1905.11904

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

Masoud Ahookhosh·Andreas Themelis·Panagiotis Patrinos
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Abstract

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.

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Masoud Ahookhosh, Andreas Themelis, Panagiotis Patrinos. 2019-05-28. A Bregman forward-backward linesearch algorithm for nonconvex composite optimization: superlinear convergence to nonisolated local minima. https://doi.org/10.1137/19m1264783

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