Faster FISTA

Abstract: The ``fast iterative shrinkage-thresholding algorithm'', a.k.a. FISTA, is one of the most widely used algorithms in the literature. However, despite its optimal theoretical $O(1/k^2)$ convergence rate guarantee, oftentimes in practice its performance is not as desired owing to the (local) oscillatory behaviour. Over the years, various approaches are proposed to overcome this drawback of FISTA, in this paper, we propose a simple yet effective modification to the algorithm which has two advantages: 1) it enables us to prove the convergence of the generated sequence; 2) it shows superior practical performance compared to the original FISTA. Numerical experiments are presented to illustrate the superior performance of the proposed algorithm.