A generalized proximal point algorithm for certain non-convex minimization problems
- 1 January 1981
- journal article
- research article
- Published by Taylor & Francis in International Journal of Systems Science
- Vol. 12 (8) , 989-1000
- https://doi.org/10.1080/00207728108963798
Abstract
An algorithm is presented for minimizing a function which is the sum of a continuously differentiable function and a convex function. The class of such problems contains as a special case that of minimizing a continuously differentiable function over a closed convex set. This algorithm may be viewed as a generalization of the proximal point algorithm to cope with non-convexity of the objective function by linearizing the differentiable term at each iteration. Convergence of the algorithm is proved and the rate of convergence is analysed.Keywords
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