Continuous Optimization

A Modified Proximal Gradient Method for a Family of Nonsmooth Convex Optimization Problems

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  • 1 College of Applied Sciences, Beijing University of Technology, Beijing 100124, China

Online published: 2017-09-30

Supported by

This work is supported by the National Natural Science Foundation of China (No. 61179033).

Abstract

In this paper, we propose a modified proximal gradient method for solving a class of nonsmooth convex optimization problems, which arise in many contemporarystatistical and signal processing applications. The proposed method adopts a new scheme to construct the descent direction based on the proximal gradient method. It is proven that the modified proximal gradient method is Q-linearly convergent without the assumption of the strong convexity of the objective function. Some numerical experiments have been conducted to evaluate the proposed method eventually.

Cite this article

Ying-Yi Li · Hai-Bin Zhang· Fei Li . A Modified Proximal Gradient Method for a Family of Nonsmooth Convex Optimization Problems[J]. Journal of the Operations Research Society of China, 2017 , 5(3) : 391 . DOI: 10.1007/s40305-017-0155-5

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