A fast continuous time approach for non-smooth convex optimization using Tikhonov regularization technique

Mikhail Karapetyants

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arXiv · 2303.09980

A fast continuous time approach for non-smooth convex optimization using Tikhonov regularization technique

Mikhail Karapetyants

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Abstract

In this manuscript we would like to address the classical optimization problem of minimizing a proper, convex and lower semicontinuous function via the second order in time dynamics, combining viscous and Hessian-driven damping with a Tikhonov regularization technique. In our analysis we heavily exploit the Moreau envelope of the objective function and its properties as well as Tikhonov properties, which we extend to a nonsmooth case. We introduce the setting, which at the same time guarantees the fast convergence of the function (and Moreau envelope) values and strong convergence of the trajectories of the system to a minimal norm solution -- the element of the minimal norm of all the minimizers of the objective. Moreover, we deduce the precise rates of convergence of the values for the particular choice of parameter function. Various numerical examples are also included as an illustration of the theoretical results.

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Mikhail Karapetyants. 2023-03-17. A fast continuous time approach for non-smooth convex optimization using Tikhonov regularization technique. https://arxiv.org/abs/2303.09980

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