کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5774397 | 1631561 | 2018 | 24 صفحه PDF | دانلود رایگان |
Perspective functions arise explicitly or implicitly in various forms in applied mathematics and in statistical data analysis. To date, no systematic strategy is available to solve the associated, typically nonsmooth, optimization problems. In this paper, we fill this gap by showing that proximal methods provide an efficient framework to model and solve problems involving perspective functions. We study the construction of the proximity operator of a perspective function under general assumptions and present important instances in which the proximity operator can be computed explicitly or via straightforward numerical operations. These results constitute central building blocks in the design of proximal optimization algorithms. We showcase the versatility of the framework by designing novel proximal algorithms for state-of-the-art regression and variable selection schemes in high-dimensional statistics.
Journal: Journal of Mathematical Analysis and Applications - Volume 457, Issue 2, 15 January 2018, Pages 1283-1306