Prediction-Correction for Nonsmooth Time-Varying Optimization via Forward-Backward Envelopes
arXiv:1902.03073 · doi:10.1109/ICASSP.2019.8682267
Abstract
We present an algorithm for minimizing the sum of a strongly convex time-varying function with a time-invariant, convex, and nonsmooth function. The proposed algorithm employs the prediction-correction scheme alongside the forward-backward envelope, and we are able to prove the convergence of the solutions to a neighborhood of the optimizer that depends on the sampling time. Numerical simulations for a time-varying regression problem with elastic net regularization highlight the effectiveness of the algorithm.
Full version of the paper to be presented at ICASSP'19
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- Prediction-Correction for Nonsmooth Time-Varying Optimization via Forward-Backward Envelopes