General parameterized proximal point algorithm with applications in statistical learning
From MaRDI portal
Abstract: In the literature, there are a few researches to design some parameters in the Proximal Point Algorithm (PPA), especially for the multi-objective convex optimizations. Introducing some parameters to PPA can make it more flexible and attractive. Mainly motivated by our recent work (Bai et al., A parameterized proximal point algorithm for separable convex optimization, Optim. Lett. (2017) doi: 10.1007/s11590-017-1195-9), in this paper we develop a general parameterized PPA with a relaxation step for solving the multi-block separable structured convex programming. By making use of the variational inequality and some mathematical identities, the global convergence and the worst-case convergence rate of the proposed algorithm are established. Preliminary numerical experiments on solving a sparse matrix minimization problem from statistical learning validate that our algorithm is more efficient than several state-of-the-art algorithms.
Recommendations
- Proximal algorithms in statistics and machine learning
- A Generalization of the Proximal Point Algorithm
- scientific article; zbMATH DE number 2174007
- Generalized proximal point algorithm for convex optimization
- A generalized proximal point algorithm and its convergence rate
- The perturbed generalized proximal point algorithm
- Parametric proximal-point methods
- Convergence of generalized proximal point algorithms
- Proximal point algorithms and generalized nonlinear variational problems
- On the optimal linear convergence rate of a generalized proximal point algorithm
Cites work
- A class of customized proximal point algorithms for linearly constrained convex optimization
- A customized proximal point algorithm for convex minimization with linear constraints
- A new model for sparse and low-rank matrix decomposition
- A parameterized proximal point algorithm for separable convex optimization
- A proximal point algorithm revisit on the alternating direction method of multipliers
- A splitting method for separable convex programming
- Alternating proximal gradient method for convex minimization
- Analysis of convergence for the alternating direction method applied to joint sparse recovery
- Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming
- Convergence study on the symmetric version of ADMM with larger step sizes
- Customized proximal point algorithms for linearly constrained convex minimization and saddle-point problems: a unified approach
- scientific article; zbMATH DE number 3341597 (Why is no real title available?)
- Latent variable graphical model selection via convex optimization
- On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators
- On the proximal Jacobian decomposition of ALM for multiple-block separable convex minimization problems and its relationship to ADMM
- Proximité et dualité dans un espace hilbertien
- Recovering Low-Rank and Sparse Components of Matrices from Incomplete and Noisy Observations
- Sparse inverse covariance estimation with the graphical lasso
Cited in
(3)
This page was built for publication: General parameterized proximal point algorithm with applications in statistical learning
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5031803)
