We consider the problem of minimizing a convex objective which is the sum of a smooth part, with Lipschitz continuous gradient, and a nonsmooth part. Inspired by various applications, we focus on the case when the nonsmooth part is a composition of a proper closed convex function P and a nonzero affine map, with the proximal mappings of \tau P, \tau > 0, easy to compute. In this case, a direct application of the widely used proximal gradient algorithm does not necessarily lead to easy subproblems. In view of this, we propose a new algorithm, the proximal-proximal gradient algorithm, which admits easy subproblems. Our algorithm reduces to the proximal gradient algorithm if the affine map is just the identity map and the stepsizes are suitably chosen, and it is equivalent to applying a variant of the alternating minimization algorithm [35] to the dual problem. Moreover, it is closely related to inexact proximal gradient algorithms [29,33]. We show that the whole sequence generated from the algorithm converges to an optimal solution. We also establish an upper bound on iteration complexity. Our numerical experiments on the stochastic realization problem and the logistic fused lasso problem suggest that the algorithm performs reasonably well on large-scale instances.

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