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On a generalization of the iterative soft-thresholding algorithm for the case of non-separable penalty. (English) Zbl 1233.65039

The authors consider non-smooth minimization problems involving a sum of a convex quadratic data misfit term and a convex non-smooth penalty term. They propose a fully explicit iterative algorithm to solve the optimization problem. Each step in the iteration uses four matrix-vector multiplications and a single thresholding. The averages of the first \(n\) iterates of the proposed generalized soft-thresholding algorithm are proven to have \(1/n\) rate on the functional. The proposed algorithm is applied to a stylized numerical example in seismic tomography in which a simple synthetic 2D input model defined on the sphere from given data is reconstructed.

MSC:

65K05 Numerical mathematical programming methods
90C30 Nonlinear programming
86A15 Seismology (including tsunami modeling), earthquakes