Improving FISTA: Faster, Smarter and Greedier
Liang, Jingwei ; Schönlieb, Carola-Bibiane
arXiv, 1811.01430 / Harvested from arXiv
The "fast iterative shrinkage-thresholding algorithm", a.k.a. FISTA, is one of the most well-known first-order optimisation scheme in the literature, as it achieves the worst-case $O(1/k^2)$ optimal convergence rate in terms of objective function value. However, despite such optimal theoretical convergence rate, in practice the (local) oscillatory behaviour of FISTA often damps its efficiency. Over the past years, various efforts are made in the literature to improve the practical performance of FISTA, such as monotone FISTA, restarting FISTA and backtracking strategies. In this paper, we propose a simple yet effective modification to the original FISTA scheme which has two advantages: it allows us to 1) prove the convergence of generated sequence; 2) design a so-called "lazy-start" strategy which can up to an order faster than the original scheme. Moreover, by exploring the properties of FISTA scheme, we propose novel adaptive and greedy strategies which probes the limit of the algorithm. The advantages of the proposed schemes are tested through problems arising from inverse problem, machine learning and signal/image processing.
Publié le : 2018-11-04
Classification:  Mathematics - Optimization and Control
@article{1811.01430,
     author = {Liang, Jingwei and Sch\"onlieb, Carola-Bibiane},
     title = {Improving FISTA: Faster, Smarter and Greedier},
     journal = {arXiv},
     volume = {2018},
     number = {0},
     year = {2018},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1811.01430}
}
Liang, Jingwei; Schönlieb, Carola-Bibiane. Improving FISTA: Faster, Smarter and Greedier. arXiv, Tome 2018 (2018) no. 0, . http://gdmltest.u-ga.fr/item/1811.01430/