Perspective functions: proximal calculus and applications in high-dimensional statistics

DOI10.1016/j.jmaa.2016.12.021zbMath1375.65083arXiv1610.01478OpenAlexW2963103936WikidataQ47036989 ScholiaQ47036989MaRDI QIDQ2408636

Christian L. Müller, Patrick L. Combettes

Publication date: 12 October 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.01478

zbMATH Keywords

convex functiondata analysisregressionstatisticsproximal algorithmproximity operatorperspective functionproximal optimization algorithm

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Numerical mathematical programming methods (65K05) Convex programming (90C25)

Related Items

Isotonicity of proximity operators in general quasi-lattices and optimization problems ⋮ Isotonicity of the proximity operator and stochastic optimization problems in Hilbert quasi-lattices endowed with Lorentz cones ⋮ Monotone operator theory in convex optimization ⋮ Supervised nonnegative matrix factorization via minimization of regularized Moreau-envelope of divergence function with application to music transcription ⋮ On a Reduction for a Class of Resource Allocation Problems ⋮ The homogenization cone: polar cone and projection ⋮ Enhanced computation of the proximity operator for perspective functions ⋮ Radial Subgradient Method ⋮ Foundations of Gauge and Perspective Duality ⋮ Isotonicity of the proximity operator and mixed variational inequalities in Hilbert spaces ⋮ Prediction error bounds for linear regression with the TREX ⋮ Perspective maximum likelihood-type estimation via proximal decomposition

Uses Software

• UNLocBoX
• SCS

Cites Work

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