ANOTHER LOOK AT THE FAST ITERATIVE SHRINKAGE/THRESHOLDING ALGORITHM (FISTA).

This paper provides a new way of developing the "Fast Iterative Shrinkage/Thresholding Algorithm (FISTA)" [3] that is widely used for minimizing composite convex functions with a nonsmooth term such as the ℓ1 regularizer. In particular, this paper shows that FISTA corresponds to an optimized approach to accelerating the proximal gradient method with respect to a worst-case bound of the cost function. This paper then proposes a new algorithm that is derived by instead optimizing the step coefficients of the proximal gradient method with respect to a worst-case bound of the composite gradient mapping. The proof is based on the worst-case analysis called Performance Estimation Problem in [11].