A quasi-Newton proximal splitting method

arXiv1206.1156MaRDI QIDQ6233490FDOQ6233490

Publication date: 6 June 2012

Abstract: A new result in convex analysis on the calculation of proximity operators in certain scaled norms is derived. We describe efficient implementations of the proximity calculation for a useful class of functions; the implementations exploit the piece-wise linear nature of the dual problem. The second part of the paper applies the previous result to acceleration of convex minimization problems, and leads to an elegant quasi-Newton method. The optimization method compares favorably against state-of-the-art alternatives. The algorithm has extensive applications including signal processing, sparse recovery and machine learning and classification.

Has companion code repository: https://github.com/stephenbeckr/zeroSR1

Mathematics Subject Classification ID

Convex programming (90C25) Ridge regression; shrinkage estimators (Lasso) (62J07) Large-scale problems in mathematical programming (90C06) Nonlinear programming (90C30) Methods of quasi-Newton type (90C53) Monotone operators and generalizations (47H05)

This page was built for publication: A quasi-Newton proximal splitting method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6233490)