Variable Smoothing for Weakly Convex Composite Functions
Axel Böhm, Stephen J. Wright
Abstract
Abstract We study minimization of a structured objective function, being the sum of a smooth function and a composition of a weakly convex function with a linear operator. Applications include image reconstruction problems with regularizers that introduce less bias than the standard convex regularizers. We develop a variable smoothing algorithm, based on the Moreau envelope with a decreasing sequence of smoothing parameters, and prove a complexity of $${\mathcal {O}}(\epsilon ^{-3})$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"><mml:mrow><mml:mi>O</mml:mi><mml:mo>(</mml:mo><mml:msup><mml:mi>ϵ</mml:mi><mml:mrow><mml:mo>-</mml:mo><mml:mn>3</mml:mn></mml:mrow></mml:msup><mml:mo>)</mml:mo></mml:mrow></mml:math> to achieve an $$\epsilon $$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"><mml:mi>ϵ</mml:mi></mml:math> -approximate solution. This bound interpolates between the $${\mathcal {O}}(\epsilon ^{-2})$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"><mml:mrow><mml:mi>O</mml:mi><mml:mo>(</mml:mo><mml:msup><mml:mi>ϵ</mml:mi><mml:mrow><mml:mo>-</mml:mo><mml:mn>2</mml:mn></mml:mrow></mml:msup><mml:mo>)</mml:mo></mml:mrow></mml:math> bound for the smooth case and the $${\mathcal {O}}(\epsilon ^{-4})$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"><mml:mrow><mml:mi>O</mml:mi><mml:mo>(</mml:mo><mml:msup><mml:mi>ϵ</mml:mi><mml:mrow><mml:mo>-</mml:mo><mml:mn>4</mml:mn></mml:mrow></mml:msup><mml:mo>)</mml:mo></mml:mrow></mml:math> bound for the subgradient method. Our complexity bound is in line with other works that deal with structured nonsmoothness of weakly convex functions.