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A Unified Characterization of Proximal Algorithms via The Conjugate of Regularization Term

Kouhei Harada(harada***at***msi.co.jp)

Abstract: We consider proximal algorithms with generalized regularization term. General requirements for the conjugate of regularization term are proposed to make the corresponding proximal algorithm globally converge. Applying the proposed technique to the case of $\varphi$-divergence, we have proved that $\varphi$-divergence with nonsmooth kernel function is acceptable as a regularization term.

Keywords: proximal point method, $varphi$-divergence

Category 1: Convex and Nonsmooth Optimization


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Entry Submitted: 09/19/2018
Entry Accepted: 09/19/2018
Entry Last Modified: 09/19/2018

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