A general framework for solving convex optimization problems involving the sum of three convex functions (1705.06164v6)

Abstract: In this paper, we consider solving a class of convex optimization problem which minimizes the sum of three convex functions $f(x)+g(x)+h(Bx)$, where $f(x)$ is differentiable with a Lipschitz continuous gradient, $g(x)$ and $h(x)$ have a closed-form expression of their proximity operators and $B$ is a bounded linear operator. This type of optimization problem has wide application in signal recovery and image processing. To make full use of the differentiability function in the optimization problem, we take advantage of two operator splitting methods: the forward-backward splitting method and the three operator splitting method. In the iteration scheme derived from the two operator splitting methods, we need to compute the proximity operator of $g+h \circ B$ and $h \circ B$, respectively. Although these proximity operators do not have a closed-form solution in general, they can be solved very efficiently. We mainly employ two different approaches to solve these proximity operators: one is dual and the other is primal-dual. Following this way, we fortunately find that three existing iterative algorithms including Condat and Vu algorithm, primal-dual fixed point (PDFP) algorithm and primal-dual three operator (PD3O) algorithm are a special case of our proposed iterative algorithms. Moreover, we discover a new kind of iterative algorithm to solve the considered optimization problem, which is not covered by the existing ones. Under mild conditions, we prove the convergence of the proposed iterative algorithms. Numerical experiments applied on fused Lasso problem, constrained total variation regularization in computed tomography (CT) image reconstruction and low-rank total variation image super-resolution problem demonstrate the effectiveness and efficiency of the proposed iterative algorithms.