Abstract
Non-differentiable and constrained optimization play a key role in machine
learning, signal and image processing, communications, and beyond. For
high-dimensional minimization problems involving large datasets or many
unknowns, the forward-backward splitting method provides a simple, practical
solver. Despite its apparently simplicity, the performance of the
forward-backward splitting is highly sensitive to implementation details.
This article is an introductory review of forward-backward splitting with a
special emphasis on practical implementation concerns. Issues like stepsize
selection, acceleration, stopping conditions, and initialization are
considered. Numerical experiments are used to compare the effectiveness of
different approaches.
Many variations of forward-backward splitting are implemented in the solver
FASTA (short for Fast Adaptive Shrinkage/Thresholding Algorithm). FASTA
provides a simple interface for applying forward-backward splitting to a broad
range of problems.
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