Smoothing accelerated algorithm for constrained nonsmooth convex optimization problems

Abstract

In this paper, we consider a class of constrained nonsmooth convex optimization problems, which have wide applications in signal processing, imaging recovery, machine learning, etc. Recently, theoretical analysis and numerical experiments show that the extrapolation can improve the convergence rate of the algorithms efficiently, which let the proximal gradient algorithm with extrapolation have significant advantages in solving large scale optimization problems. Motivated by the smoothing techniques, and the fast iterative shrinkage-thresholding algorithm (FISTA) proposed by Beck and Teboulle, we bring forward a new accelerated algorithm for solving the considered constrained nonsmooth convex optimization problems. We prove that any accumulated point of the algorithm is an optimal solution of the problem. In the analysis of the algorithm, we consider several different update methods for the smoothing parameter, and give the global convergence rate $O(\\ln~k/k)$ on the objective function values. Moreover, we analyze the convergence rate of the difference on the iterates $\\lim_{k\\rightarrow}\\|x^{k+1}-x^k\\|=0$. Finally, our numerical experiments illustrate the good performance of the proposed algorithm in solving two classes of sparse optimization problems and the positive influence of the extrapolation on the convergence rate.