Proximal algorithms for nonsmooth optimization in Julia
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README.md

ProximalAlgorithms.jl

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Proximal algorithms (also known as "splitting" algorithms or methods) for nonsmooth optimization in Julia.

This package can be used in combination with ProximalOperators.jl (providing first-order primitives, i.e. gradient and proximal mapping, for numerous cost functions) and AbstractOperators.jl (providing several linear and nonlinear operators) to formulate and solve a wide spectrum of nonsmooth optimization problems.

Installation

julia> Pkg.add("ProximalAlgorithms")

Implemented Algorithms

Algorithm Function Reference
Asymmetric forward-backward-adjoint algorithm AFBA [10]
Chambolle-Pock primal dual algorithm ChambollePock [4]
Douglas-Rachford splitting algorithm DRS [1]
Forward-backward splitting (i.e. proximal gradient) algorithm FBS [2], [3]
Vũ-Condat primal-dual algorithm VuCondat [6], [7]
ZeroFPR (L-BFGS) ZeroFPR [9]
PANOC (L-BFGS) PANOC [11]

Contributing

Contributions are welcome in the form of issues notification or pull requests. We recommend looking at already implemented algorithms, or following the template, to get inspiration on how to structure new ones.

References

[1] Eckstein, Bertsekas, On the Douglas-Rachford Splitting Method and the Proximal Point Algorithm for Maximal Monotone Operators, Mathematical Programming, vol. 55, no. 1, pp. 293-318 (1989).

[2] Tseng, On Accelerated Proximal Gradient Methods for Convex-Concave Optimization (2008).

[3] Beck, Teboulle, A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems, SIAM Journal on Imaging Sciences, vol. 2, no. 1, pp. 183-202 (2009).

[4] Chambolle, Pock, A First-Order Primal-Dual Algorithm for Convex Problems with Applications to Imaging, Journal of Mathematical Imaging and Vision, vol. 40, no. 1, pp. 120-145 (2011).

[5] Boyd, Parikh, Chu, Peleato, Eckstein, Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers, Foundations and Trends in Machine Learning, vol. 3, no. 1, pp. 1-122 (2011).

[6] Vũ, A splitting algorithm for dual monotone inclusions involving cocoercive operators, Advances in Computational Mathematics, vol. 38, no. 3, pp. 667-681 (2013).

[7] Condat, A primal–dual splitting method for convex optimization involving Lipschitzian, proximable and linear composite terms, Journal of Optimization Theory and Applications, vol. 158, no. 2, pp 460-479 (2013).

[8] Parikh, Boyd, Proximal Algorithms, Foundations and Trends in Optimization, vol. 1, no. 3, pp. 127-239 (2014).

[9] Themelis, Stella, Patrinos, Forward-backward envelope for the sum of two nonconvex functions: Further properties and nonmonotone line-search algorithms, arXiv:1606.06256 (2016).

[10] Latafat, Patrinos, Asymmetric forward–backward–adjoint splitting for solving monotone inclusions involving three operators, Computational Optimization and Applications, vol. 68, no. 1, pp. 57-93 (2017).

[11] Stella, Themelis, Sopasakis, Patrinos, A simple and efficient algorithm for nonlinear model predictive control, 56th IEEE Conference on Decision and Control (2017).