Local Linear Convergence of ISTA and FISTA on the LASSO Problem

Autor:	Tao, Shaozhe, Boley, Daniel, Zhang, Shuzhong
Rok vydání:	2015
Předmět:	Mathematics - Optimization and Control
Druh dokumentu:	Working Paper
Popis:	We establish local linear convergence bounds for the ISTA and FISTA iterations on the model LASSO problem. We show that FISTA can be viewed as an accelerated ISTA process. Using a spectral analysis, we show that, when close enough to the solution, both iterations converge linearly, but FISTA slows down compared to ISTA, making it advantageous to switch to ISTA toward the end of the iteration processs. We illustrate the results with some synthetic numerical examples.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1501.02888 Zobrazit plný text záznamu View this record from Arxiv