A Probabilistic Incremental Proximal Gradient Method

@article{Akyildiz2019API,
  title={A Probabilistic Incremental Proximal Gradient Method},
  author={{\"O}mer Deniz Akyildiz and {\'E}. Chouzenoux and V. Elvira and J. M{\'i}guez},
  journal={IEEE Signal Processing Letters},
  year={2019},
  volume={26},
  pages={1257-1261}
}
  • Ömer Deniz Akyildiz, É. Chouzenoux, +1 author J. Míguez
  • Published 2019
  • Mathematics, Computer Science
  • IEEE Signal Processing Letters
  • In this letter, we propose a probabilistic optimization method, named probabilistic incremental proximal gradient (PIPG) method, by developing a probabilistic interpretation of the incremental proximal gradient algorithm. We explicitly model the update rules of the incremental proximal gradient method and develop a systematic approach to propagate the uncertainty of the solution estimate over iterations. The PIPG algorithm takes the form of Bayesian filtering updates for a state-space model… CONTINUE READING

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