• 青年评述 •

### 复合凸优化的快速邻近点算法

1. 复旦大学大数据学院, 上海数学中心, 上海 200433
• 收稿日期:2020-09-28 出版日期:2020-11-15 发布日期:2020-11-15
• 作者简介:郦旭东,复旦大学大数据学院青年研究员,上海数学中心青年研究员.2010年本科毕业于中国科学技术大学数学系,2015年在新加坡国立大学数学系获博士学位.博士毕业后曾在新加坡国立大学数学系与美国普林斯顿大学运筹与金融工程系任博士后研究员,2018年9月入职复旦大学,于2019年获得由国际数学优化协会(Mathematical Optimization Society)所颁发的连续优化青年学者最佳论文奖,2020年入选第五届中国科协青年人才托举工程,现任期刊《Mathematical Programming Computation》编委.
• 基金资助:

国家自然科学基金（11901107），中国科协青年人才托举工程（2019QNRC001），上海市扬帆计划（19YF1402600），上海市科委项目（19511120700）资助.

Li Xudong. EFFICIENT PROXIMAL POINT ALGORITHM FOR CONVEX COMPOSITE OPTIMIZATION[J]. Mathematica Numerica Sinica, 2020, 42(4): 385-404.

### EFFICIENT PROXIMAL POINT ALGORITHM FOR CONVEX COMPOSITE OPTIMIZATION

Li Xudong

1. School of Data Science, and Shanghai Center for Mathematical Sciences, Fudan University, Shanghai 200433, China
• Received:2020-09-28 Online:2020-11-15 Published:2020-11-15

In the Big Data era, with the advent of convenient automated data collection technologies, large-scale composite convex optimization problems are ubiquitous in many applications, such as massive data analysis, machine and statistical learning, image and signal processing. In this paper, we review a class of efficient proximal point algorithms for solving the large-scale composite convex optimization problems. Under the easy-to-implement stopping criteria and mild calmness conditions, we show the proximal point algorithm enjoys global and local asymptotic superlinear convergence. Meanwhile, based on the duality theory, we propose an efficient semismooth Newton method for handling the subproblems in the proximal point algorithm. Lastly, to further accelerate the proximal point algorithm, we fully exploit the nonsmooth second order information induced by the nonsmooth regularizer in the problem to achieve a dramatic reduction of the computational costs of solving the involved semismooth Newton linear systems.

MR(2010)主题分类:

()