A quasi-Newton proximal splitting method [article]

Stephen Becker, M. Jalal Fadili
2012 arXiv   pre-print
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
more » ... he-art alternatives. The algorithm has extensive applications including signal processing, sparse recovery and machine learning and classification.
arXiv:1206.1156v2 fatcat:vfqghdatqvdp5kdhvbncgbvkbu