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Convergence Properties of Monotone and Nonmonotone Proximal Gradient Methods Revisited

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  • Christian Kanzow

    (University of Würzburg)

  • Patrick Mehlitz

    (Brandenburg University of Technology Cottbus-Senftenberg
    University of Mannheim)

Abstract

Composite optimization problems, where the sum of a smooth and a merely lower semicontinuous function has to be minimized, are often tackled numerically by means of proximal gradient methods as soon as the lower semicontinuous part of the objective function is of simple enough structure. The available convergence theory associated with these methods (mostly) requires the derivative of the smooth part of the objective function to be (globally) Lipschitz continuous, and this might be a restrictive assumption in some practically relevant scenarios. In this paper, we readdress this classical topic and provide convergence results for the classical (monotone) proximal gradient method and one of its nonmonotone extensions which are applicable in the absence of (strong) Lipschitz assumptions. This is possible since, for the price of forgoing convergence rates, we omit the use of descent-type lemmas in our analysis.

Suggested Citation

  • Christian Kanzow & Patrick Mehlitz, 2022. "Convergence Properties of Monotone and Nonmonotone Proximal Gradient Methods Revisited," Journal of Optimization Theory and Applications, Springer, vol. 195(2), pages 624-646, November.
    • Handle: RePEc:spr:joptap:v:195:y:2022:i:2:d:10.1007_s10957-022-02101-3
    DOI: 10.1007/s10957-022-02101-3
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    References listed on IDEAS

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    1. Heinz H. Bauschke & Jérôme Bolte & Marc Teboulle, 2017. "A Descent Lemma Beyond Lipschitz Gradient Continuity: First-Order Methods Revisited and Applications," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 330-348, May.
    2. Radu Ioan Boţ & Ernö Robert Csetnek & Szilárd Csaba László, 2016. "An inertial forward–backward algorithm for the minimization of the sum of two nonconvex functions," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 4(1), pages 3-25, February.
    3. Eyal Cohen & Nadav Hallak & Marc Teboulle, 2022. "A Dynamic Alternating Direction of Multipliers for Nonconvex Minimization with Nonlinear Functional Equality Constraints," Journal of Optimization Theory and Applications, Springer, vol. 193(1), pages 324-353, June.
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