An inexact linearized proximal algorithm for a class of DC composite optimization problems and applications
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This paper is concerned with a class of DC composite optimization problems which, as an extension of the convex composite optimization problem and the DC program with nonsmooth components, often arises from robust factorization models of low-rank matrix recovery. For this class of nonconvex and nonsmooth problems, we propose an inexact linearized proximal algorithm (iLPA) which in each step computes an inexact minimizer of a strongly convex majorization constructed by the partial linearization of their objective functions. The generated iterate sequence is shown to be convergent under the Kurdyka-Łojasiewicz (KL) property of a potential function, and the convergence admits a local R-linear rate if the potential function has the KL property of exponent 1/2 at the limit point. For the latter assumption, we provide a verifiable condition by leveraging the composite structure, and clarify its relation with the regularity used for the convex composite optimization. Finally, the proposed iLPA is applied to a robust factorization model for matrix completions with outliers, DC programs with nonsmooth components, and ℓ_1-norm exact penalty of DC constrained programs, and numerical comparison with the existing algorithms confirms the superiority of our iLPA in computing time and quality of solutions.
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