Prediction-correction for Nonsmooth Time-varying Optimization via Forward-backward Envelopes

Nicola Bastianello; Andrea Simonetto; Ruggero Carli

ICASSP 2019accepted0 citations

Prediction-correction for Nonsmooth Time-varying Optimization via Forward-backward Envelopes

Nicola Bastianello, Andrea Simonetto, Ruggero Carli

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.

BibTeX

@inproceedings{icassp2019_predictioncorrec,
  title = {Prediction-correction for Nonsmooth Time-varying Optimization via Forward-backward Envelopes},
  author = {Nicola Bastianello and Andrea Simonetto and Ruggero Carli},
  booktitle = {ICASSP 2019},
  year = {2019}
}