A proximal method for composite minimization
Speaker:
Adrian Lewis, Cornell University
Date and Time:
Saturday, June 4, 2016 - 9:00am to 9:30am
Location:
Fields Institute, Room 230
Abstract:
Minimizing a simple nonsmooth outer function composed with a smooth inner map offers a broad framework for structured optimization. A unifying algorithmic idea solves simple subproblems involving the linearized inner map and a proximal penalty on the step. This talk outlines basic convergence theory, hints at active-set strategies for acceleration, and describes computational experiments.