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Title: Alternating direction method of multipliers for a class of nonconvex and nonsmooth problems with applications to background/foreground extraction
Authors: Yang, L 
Pong, TK 
Chen, XJ 
Keywords: Nonsmooth and nonconex optimization
Alternating dirtection method of multipliers
Dual step-size
Background/foreground extraction
Issue Date: 2017
Publisher: Society for Industrial and Applied Mathematics
Source: SIAM journal on imaging sciences, 2017, v. 10, no. 1, p. 74-110 How to cite?
Journal: SIAM journal on imaging sciences 
Abstract: In this paper, we study a general optimization model, which covers a large class of existing models for many applications in imaging sciences. To solve the resulting possibly nonconvex, nonsmooth and non-Lipschitz optimization problem, we adapt the alternating direction method of multipliers (ADMM) with a general dual step-size to solve a reformulation that contains three blocks of variables, and analyze its convergence. We show that for any dual step-size less than the golden ratio, there exists a computable threshold such that if the penalty parameter is chosen above such a threshold and the sequence thus generated by our ADMM is bounded, then the cluster point of the sequence gives a stationary point of the nonconvex optimization problem. We achieve this via apotential function specifically constructed for our ADMM. Moreover, we establish the global conver-gence of the whole sequence if, in addition, this special pot ential function is a Kurdyka-Lojasiewicz function. Furthermore, we present a simple strategy for initializing the algorithm to guarantee bound-edness of the sequence. Finally, we perform numerical experiments comparing our ADMM with the proximal alternating linearized minimization (PALM) proposed in [5] on the background/foreground extraction problem with real data. The numerical results show that our ADMM with a nontrivial dual step-size is efficient.
ISSN: 1936-4954
DOI: 10.1137/15M1027528
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