On The Linear Convergence of Bregman Proximal Gradient Methods with Applications to Kullback--Leibler regression
Bregman Proximal Gradient methods (BPGM) exploit the underlying geometry of the objective function through a carefully chosen mirror map. In this work, we introduce a novel notion of strong convexity, termed Restricted Relative Strong Convexity, and establish linear convergence rates for BPGM under this condition. We then exploit the proposed theoretical framework to provide an in-depth analysis of the convergence of BPGM for (regularized) Kullback--Leibler regression problems, covering scenarios with both unique and non-unique minimizers, as well as regularized and unregularized formulations. Specifically, we demonstrate that using the popular Burg's entropy as a distance-generating function may only yield linear convergence for certain KL regression problems. In contrast, we show that employing a smoothed version of the Burg's entropy induces the suitable geometry required to guarantee linear convergence. We conclude with numerical experiments that nicely align with our theoretical findings.