An Inexact Variable Metric Proximal Gradient-subgradient Algorithm for a Class of Fractional Optimization Problems

Abstract

In this paper, we study a class of fractional optimization problems, in which the numerator of the objective is the sum of a convex function and a differentiable function with a Lipschitz continuous gradient, while the denominator is a nonsmooth convex function. This model captures ratio-type formulations arising in scale-invariant sparse learning and related applications. To address this class of problems, we propose an inexact variable metric proximal gradient-subgradient algorithm (iVPGSA), which, to the best of our knowledge, is the first inexact proximal algorithm specifically designed for such type of fractional problems. By incorporating a variable metric proximal term and allowing for approximate subproblem solutions under a flexible error criterion, the proposed algorithm is highly adaptable to a broader range of problems while achieving favorable computational efficiency. Under suitable assumptions, we establish that any accumulation point of the generated sequence is a critical point of the target problem. Moreover, we develop a new Kurdyka-Łojasiewicz (KL)-based analysis framework, relying only on the classical KL property and its associated exponent, to prove the global convergence of the entire sequence and characterize its convergence rate, \textit{without} requiring a strict sufficient descent property. Our results clarify how the classical KL exponent and inexactness jointly influence the convergence rate. Finally, numerical experiments on the ${\ell }_1/{\ell }_2$ Lasso problem and the constrained ${\ell }_1/{\ell }_2$ sparse optimization problem demonstrate the computational advantages of the iVPGSA over existing representative algorithms.

arXiv admin note: text overlap with arXiv:2406.04646