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A new proximal heavy ball inexact line-search algorithm

Author

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  • S. Bonettini

    (Università degli Studi di Modena e Reggio Emilia)

  • M. Prato

    (Università degli Studi di Modena e Reggio Emilia)

  • S. Rebegoldi

    (Università degli Studi di Modena e Reggio Emilia)

Abstract

We study a novel inertial proximal-gradient method for composite optimization. The proposed method alternates between a variable metric proximal-gradient iteration with momentum and an Armijo-like linesearch based on the sufficient decrease of a suitable merit function. The linesearch procedure allows for a major flexibility on the choice of the algorithm parameters. We prove the convergence of the iterates sequence towards a stationary point of the problem, in a Kurdyka–Łojasiewicz framework. Numerical experiments on a variety of convex and nonconvex problems highlight the superiority of our proposal with respect to several standard methods, especially when the inertial parameter is selected by mimicking the Conjugate Gradient updating rule.

Suggested Citation

  • S. Bonettini & M. Prato & S. Rebegoldi, 2024. "A new proximal heavy ball inexact line-search algorithm," Computational Optimization and Applications, Springer, vol. 88(2), pages 525-565, June.
  • Handle: RePEc:spr:coopap:v:88:y:2024:i:2:d:10.1007_s10589-024-00565-9
    DOI: 10.1007/s10589-024-00565-9
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    References listed on IDEAS

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    1. Emilie Chouzenoux & Jean-Christophe Pesquet & Audrey Repetti, 2014. "Variable Metric Forward–Backward Algorithm for Minimizing the Sum of a Differentiable Function and a Convex Function," Journal of Optimization Theory and Applications, Springer, vol. 162(1), pages 107-132, July.
    2. P. Tseng & S. Yun, 2009. "Block-Coordinate Gradient Descent Method for Linearly Constrained Nonsmooth Separable Optimization," Journal of Optimization Theory and Applications, Springer, vol. 140(3), pages 513-535, March.
    3. Bonettini, S. & Prato, M. & Rebegoldi, S., 2021. "New convergence results for the inexact variable metric forward–backward method," Applied Mathematics and Computation, Elsevier, vol. 392(C).
    4. Ching-pei Lee & Stephen J. Wright, 2019. "Inexact Successive quadratic approximation for regularized optimization," Computational Optimization and Applications, Springer, vol. 72(3), pages 641-674, April.
    5. Silvia Bonettini & Peter Ochs & Marco Prato & Simone Rebegoldi, 2023. "An abstract convergence framework with application to inertial inexact forward–backward methods," Computational Optimization and Applications, Springer, vol. 84(2), pages 319-362, March.
    6. Zhongming Wu & Chongshou Li & Min Li & Andrew Lim, 2021. "Inertial proximal gradient methods with Bregman regularization for a class of nonconvex optimization problems," Journal of Global Optimization, Springer, vol. 79(3), pages 617-644, March.
    7. Serena Crisci & Federica Porta & Valeria Ruggiero & Luca Zanni, 2023. "Hybrid limited memory gradient projection methods for box-constrained optimization problems," Computational Optimization and Applications, Springer, vol. 84(1), pages 151-189, January.
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