proximal gradient

Convergence rates of proximal gradient methods via the convex conjugate

  • David H. Gutman
  • Javier F. Peña
    • Categories Convex Optimization Tags , ,

    We give a novel proof of the $O(1/k)$ and $O(1/k^2)$ convergence rates of the proximal gradient and accelerated proximal gradient methods for composite convex minimization. The crux of the new proof is an upper bound constructed via the convex conjugate of the objective function. Citation Technical Report, Carnegie Mellon University, January 2018. Article Download View … Read more

    An accelerated proximal gradient algorithm for nuclear norm regularized least squares problems

  • Kim-Chuan Toh
  • Sangwoon Yun
    • Categories Convex Optimization, Data-Mining, Semi-definite Programming Tags , , ,

    The affine rank minimization problem, which consists of finding a matrix of minimum rank subject to linear equality constraints, has been proposed in many areas of engineering and science. A specific rank minimization problem is the matrix completion problem, in which we wish to recover a (low-rank) data matrix from incomplete samples of its entries. … Read more