A Variable Metric Forward-Backward Method with Extrapolation

Forward-backward methods are a very useful tool for the minimization of a functional given by the sum of a differentiable term and a nondifferentiable one, and their investigation hascomprised several efforts from many researchers in the last decade. In this paper we focus on the convex case and, inspired by recent approaches for accelerating first-order iterative schemes, we develop a scaled inertial forward-backward algorithm which is based on a metric changing at each iteration and on a suitable extrapolation step. Unlike standard forward-backward methods with extrapolation, our scheme is able to handle functions whose domain is not the entire space. Both an O(1/k^2) convergence rate estimate on the objective function values and the convergence of the sequence of the iterates are proved. Numerical experiments on several test problems arising from image processing, compressed sensing, and statistical inference show the effectiveness of the proposed method in comparison to well-performing state-of-the-art algorithms.