FISTA is an automatic geometrically optimized algorithm for strongly convex functions

In this work, we are interested in the famous FISTA algorithm. We show that FISTA is an automatic geometrically optimized algorithm for functions satisfying a quadratic growth assumption. This explains why FISTA works better than the standard Forward-Backward algorithm (FB) in such a case, although...

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Vydané v:Mathematical programming Ročník 204; číslo 1-2; s. 449 - 491
Hlavní autori: Aujol, J.-F., Dossal, Ch, Rondepierre, A.
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Berlin/Heidelberg Springer Berlin Heidelberg 01.03.2024
Springer
Predmet:
Algorithms
Calculus of Variations and Optimal Control; Optimization
Combinatorics
Full Length Paper
Mathematical and Computational Physics
Mathematical Methods in Physics
Mathematics
Mathematics and Statistics
Mathematics of Computing
Numerical Analysis
Theoretical
ODE
90C30
First order scheme
90C25
Nesterov acceleration
65K10
Optimization
ISSN:0025-5610, 1436-4646
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Popis
Shrnutí:In this work, we are interested in the famous FISTA algorithm. We show that FISTA is an automatic geometrically optimized algorithm for functions satisfying a quadratic growth assumption. This explains why FISTA works better than the standard Forward-Backward algorithm (FB) in such a case, although FISTA is known to have a polynomial asymptotic convergence rate while FB is exponential. We provide a simple rule to tune the α parameter within the FISTA algorithm to reach an ε -solution with an optimal number of iterations. These new results highlight the efficiency of FISTA algorithms, and they rely on new non asymptotic bounds for FISTA.
ISSN:0025-5610
1436-4646
DOI:10.1007/s10107-023-01960-6