Prediction-Correction for Nonsmooth Time-Varying Optimization via Forward-Backward Envelopes
Optimization and Control
2024-05-07 v1
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.
Cite
@article{arxiv.1902.03073,
title = {Prediction-Correction for Nonsmooth Time-Varying Optimization via Forward-Backward Envelopes},
author = {Nicola Bastianello and Andrea Simonetto and Ruggero Carli},
journal= {arXiv preprint arXiv:1902.03073},
year = {2024}
}
Comments
Full version of the paper to be presented at ICASSP'19