A proximal method for composite minimization

Details A proximal method for composite minimization A proximal method for composite minimization

2008-12-02

arxiv.org/abs/0812.0423v1

Mathematics

Optimization and Control

Scientific paper

We consider minimization of functions that are compositions of prox-regular functions with smooth vector functions. A wide variety of important optimization problems can be formulated in this way. We describe a subproblem constructed from a linearized approximation to the objective and a regularization term, investigating the properties of local solutions of this subproblem and showing that they eventually identify a manifold containing the solution of the original problem. We propose an algorithmic framework based on this subproblem and prove a global convergence result.

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