TY - GEN
T1 - Prediction-correction for Nonsmooth Time-varying Optimization via Forward-backward Envelopes
AU - Bastianello, Nicola
AU - Simonetto, Andrea
AU - Carli, Ruggero
N1 - Publisher Copyright:
© 2019 IEEE.
PY - 2019/5/1
Y1 - 2019/5/1
N2 - 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.
AB - 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.
KW - convex optimization
KW - forward-backward envelope
KW - prediction-correction methods
KW - time-varying optimization
U2 - 10.1109/ICASSP.2019.8682267
DO - 10.1109/ICASSP.2019.8682267
M3 - Conference contribution
AN - SCOPUS:85068956720
T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
SP - 5581
EP - 5585
BT - 2019 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2019 - Proceedings
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 44th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2019
Y2 - 12 May 2019 through 17 May 2019
ER -