A preconditioning proximal Newton method for nondifferentiable convex optimization
Qi, Liqun
Chen, Xiaojun

Data: 1997
Resum: We propose a proximal Newton method for solving nondifferentiable convex optimization. This method combines the generalized Newton method with Rockafellar's proximal point algorithm. At each step, the proximal point is found approximately and the regularization matrix is preconditioned to overcome inexactness of this approximation. We show that such a preconditioning is possible within some accuracy and the second-order differentiability properties of the Moreau-Yosida regularization are invariant with respect to this preconditioning. Based upon these, superlinear convergence is established under a semismoothness condition. .
Drets: Tots els drets reservats.
Llengua: Anglès
Document: Article ; recerca ; Versió publicada
Matèria: Nondifferentiable convex optimization ; Proximal point ; Superlinear convergence ; Newton's method
Publicat a: Mathematical Programming, vol. 76 n. 3 (1997) p. 411-429, ISSN 0025-5610

19 p, 655.9 KB
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