Prediction-Correction for Nonsmooth Time-Varying Optimization via Forward-Backward Envelopes
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2019
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| _version_ | 1866911865475432448 |
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| author | Bastianello, Nicola Simonetto, Andrea Carli, Ruggero |
| author_facet | Bastianello, Nicola Simonetto, Andrea Carli, Ruggero |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1902_03073 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Prediction-Correction for Nonsmooth Time-Varying Optimization via Forward-Backward Envelopes Bastianello, Nicola Simonetto, Andrea Carli, Ruggero Optimization and Control 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. |
| title | Prediction-Correction for Nonsmooth Time-Varying Optimization via Forward-Backward Envelopes |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/1902.03073 |