Heriot-Watt University
Edinburgh EH14 4ASColin Maclaurin Building CMT.19Aa.repetti@hw.ac.uk
We present a forward-backward-based algorithm to minimize a sum of a differentiable function and a nonsmooth function, both being possibly nonconvex. We consider the challenging case where the nonsmooth function is a sum of non-convex functions, resulting from composition between a strictly increasing, concave, differentiable function and a convex nonsmooth function. The proposed variable metric Composite Function Forward-Backward algorithm (C2FB) circumvents the explicit, and often challenging, computation of the proximity operator of the composite functions through a majorize-minimize approach. Precisely, each composite function is majorized using a linear approximation of the differentiable function, which allows one to apply the proximity step only to the sum of the nonsmooth functions. We show that the proposed approach is a generalization of reweighting methods, with convergence guarantees. In particular, applied to the log-sum function, our algorithm reduces to a generalized version of the celebrated reweighted-l1 method. Finally, we show through simulations on an image processing problem that the proposed C2FB algorithm necessitates less iterations to converge and leads to better critical points compared with traditional reweighting methods and classic forward-backward algorithms.