A quasi-Newton proximal splitting methodReport as inadecuate




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1 LJLL - Laboratoire Jacques-Louis Lions 2 Equipe Image - Laboratoire GREYC - UMR6072 GREYC - Groupe de Recherche en Informatique, Image, Automatique et Instrumentation de Caen

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.





Author: Stephen Becker - Jalal M. Fadili -

Source: https://hal.archives-ouvertes.fr/



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