2023/01/11 by Puya Latafat, Latafat, Puya, Andreas Themelis +5 · 14 citations
Computer Science · Engineering · #65K05 #90C06 #90C25 #90C30 #90C47 #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Optimization and Control (math.OC) #Optimization and Variational Analysis #Photoacoustic and Ultrasonic Imaging #Sparse and Compressive Sensing Techniques
paper · pdf · doi:10.48550/arxiv.2301.04431
openalex publication_date 2023/01/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/30
Backtracking linesearch is the de facto approach for minimizing continuously differentiable functions with locally Lipschitz gradient. In recent years, it has been shown that in the convex setting it is possible to avoid linesearch altogether, and to allow the stepsize to adapt based on a local smoothness estimate without any backtracks or evaluations of the function value. In this work we propose an adaptive proximal gradient method, adaPG, that uses novel estimates of the local smoothness modulus which leads to less conservative stepsize updates and that can additionally cope with nonsmooth terms. This idea is extended to the primal-dual setting where an adaptive three-term primal-dual algorithm, adaPD, is proposed which can be viewed as an extension of the PDHG method. Moreover, in this setting the "essentially" fully adaptive variant adaPD+ is proposed that avoids evaluating the linear operator norm by invoking a backtracking procedure, that, remarkably, does not require extra gradient evaluations. Numerical simulations demonstrate the effectiveness of the proposed algorithms compared to the state of the art.