A preconditioning proximal Newton method for nondifferentiable convex optimization

A preconditioning proximal Newton method for nondifferentiable convex optimization

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Article ID: iaor1998925
Country: Netherlands
Volume: 76
Issue: 3
Start Page Number: 411
End Page Number: 429
Publication Date: Mar 1997
Journal: Mathematical Programming
Authors: ,
Keywords: Newton method
Abstract:

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.

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