2018/05/31 by Radu Ioan Bot, Ernö Robert Csetnek, Dang-Khoa Nguyen
Mathematics · #math.OC #msc:65K10 #msc:90C26 #msc:90C30
published as SIAM Journal on Optimization 29(2), 1300-1328, 2019
arxiv created 2020/07/31 · arxiv updated 2020/08/03
We propose a proximal algorithm for minimizing objective functions consisting of three summands: the composition of a nonsmooth function with a linear operator, another nonsmooth function, each of the nonsmooth summands depending on an independent block variable, and a smooth function which couples the two block variables. The algorithm is a full splitting method, which means that the nonsmooth functions are processed via their proximal operators, the smooth function via gradient steps, and the linear operator via matrix times vector multiplication. We provide sufficient conditions for the boundedness of the generated sequence and prove that any cluster point of the latter is a KKT point of the minimization problem. In the setting of the Kurdyka-Łojasiewicz property we show global convergence, and derive convergence rates for the iterates in terms of the Łojasiewicz exponent.