Extending Linear Convergence of the Proximal Point Algorithm: The Quasar-Convex Case

Abstract

This work investigates the properties of the proximity operator for quasar-convex functions and establishes the convergence of the proximal point algorithm to a global minimizer with a particular focus on its convergence rate. In particular, we demonstrate: (i) the generated sequence is mi\-ni\-mi\-zing and achieves an $\mathcal{O}(\varepsilon^{-1})$ complexity rate for quasar-convex functions; (ii) under strong quasar-convexity, the sequence converges linearly and attains an $\mathcal{O}(\ln(\varepsilon^{-1}))$ complexity rate. These results extend known convergence rates from the (strongly) convex to the (strongly) quasar-convex setting. To the best of our knowledge, some findings are novel even for the special case of (strongly) star-convex functions. Numerical experiments corroborate our theoretical results.