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On FISTA with a relative error rule

Author

Listed:
  • Yunier Bello-Cruz

    (Northern Illinois University)

  • Max L. N. Gonçalves

    (Universidade Federal de Goiás)

  • Nathan Krislock

    (Northern Illinois University)

Abstract

The fast iterative shrinkage/thresholding algorithm (FISTA) is one of the most popular first-order iterations for minimizing the sum of two convex functions. FISTA is known to improve the complexity of the classical proximal gradient method (PGM) from $$O(k^{-1})$$ O ( k - 1 ) to the optimal complexity $$O(k^{-2})$$ O ( k - 2 ) in terms of the sequence of the functional values. When the evaluation of the proximal operator is hard, inexact versions of FISTA might be used to solve the problem. In this paper, we proposed an inexact version of FISTA by solving the proximal subproblem inexactly using a relative error criterion instead of exogenous and diminishing error rules. The introduced relative error rule in the FISTA iteration is related to the progress of the algorithm at each step and does not increase the computational burden per iteration. Moreover, the proposed algorithm recovers the same optimal convergence rate as FISTA. Some numerical experiments are also reported to illustrate the numerical behavior of the relative inexact method when compared with FISTA under an absolute error criterion.

Suggested Citation

  • Yunier Bello-Cruz & Max L. N. Gonçalves & Nathan Krislock, 2023. "On FISTA with a relative error rule," Computational Optimization and Applications, Springer, vol. 84(2), pages 295-318, March.
    • Handle: RePEc:spr:coopap:v:84:y:2023:i:2:d:10.1007_s10589-022-00421-8
    DOI: 10.1007/s10589-022-00421-8
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    References listed on IDEAS

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    1. R. Díaz Millán & M. Pentón Machado, 2019. "Inexact proximal $$\epsilon $$ϵ-subgradient methods for composite convex optimization problems," Journal of Global Optimization, Springer, vol. 75(4), pages 1029-1060, December.
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    6. M. Marques Alves & Jonathan Eckstein & Marina Geremia & Jefferson G. Melo, 2020. "Relative-error inertial-relaxed inexact versions of Douglas-Rachford and ADMM splitting algorithms," Computational Optimization and Applications, Springer, vol. 75(2), pages 389-422, March.
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    Cited by:

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