A quasi-Newton proximal splitting methodDownload PDFOpen Website

2012 (modified: 11 Nov 2022)NIPS 2012Readers: Everyone
Abstract: 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 regression and recovery, and machine learning and classification.
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