A quasi-Newton proximal splitting method

@inproceedings{Becker2012AQP,
  title={A quasi-Newton proximal splitting method},
  author={Stephen Becker and Mohamed-Jalal Fadili},
  booktitle={NIPS},
  year={2012}
}
A new result in convex analysis on the calculation of proximity operators in certain scaled norms is derived. We describe efficient implementations of the proximity calculation for a useful class of functions; the implementations exploit the piece-wise linear nature of the dual problem. The second part of the paper applies the previous result to acceleration of convex minimization problems, and leads to an elegant quasi-Newton method. The optimization method compares favorably against state-of… CONTINUE READING
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