Proximal Algorithm Meets a Conjugate descent

Matthieu Kowalski (1)

1 L2S - Laboratoire des signaux et systèmes

An extansion of the non linear conjugate gradient algorithm is proposed for some non smooth problems. We extend some results of descent algorithm in the smooth case for convex non smooth functions. We then construct a conjugate descente algorithm based on the proximity operator to obtain a descent direction. Analysis of convergence of this algorithme is provided.

Mots clés: non smooth optimization; conjugate descent algorithm; proximal algorithm

Domaines: Traitement du signal et de l'image [eess.SP]; Optimisation et contrôle [math.OC]; Traitement du signal et de l'image [eess.SP]

Matthieu Kowalski. Proximal Algorithm Meets a Conjugate descent. 2010. ⟨hal-00505733v1⟩