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Convergence of descent methods for semi-algebraic and tame problems: proximal algorithms, forward–backward splitting, and regularized Gauss–Seidel methods

Research paper by Hedy Attouch, Jérôme Bolte, Benar Fux Svaiter

Indexed on: 20 Aug '11Published on: 20 Aug '11Published in: Mathematical Programming



Abstract

In view of the minimization of a nonsmooth nonconvex function f, we prove an abstract convergence result for descent methods satisfying a sufficient-decrease assumption, and allowing a relative error tolerance. Our result guarantees the convergence of bounded sequences, under the assumption that the function f satisfies the Kurdyka–Łojasiewicz inequality. This assumption allows to cover a wide range of problems, including nonsmooth semi-algebraic (or more generally tame) minimization. The specialization of our result to different kinds of structured problems provides several new convergence results for inexact versions of the gradient method, the proximal method, the forward–backward splitting algorithm, the gradient projection and some proximal regularization of the Gauss–Seidel method in a nonconvex setting. Our results are illustrated through feasibility problems, or iterative thresholding procedures for compressive sensing.