An abstract proximal point algorithm

The proximal point algorithm is a widely used tool for solving a variety of convex optimization problems such as finding zeros of maximally monotone operators, fixed points of nonexpansive mappings, as well as minimizing convex functions. The algorithm works by applying successively so-called "resolvent" mappings associated to the original object that one aims to optimize. In this paper we abstract from the corresponding resolvents employed in these problems the natural notion of jointly firmly nonexpansive families of mappings. This leads to a streamlined method of proving weak convergence of this class of algorithms in the context of complete CAT(0) spaces (and hence also in Hilbert spaces). In addition, we consider the notion of uniform firm nonexpansivity in order to similarly provide a unified presentation of a case where the algorithm converges strongly. Methods which stem from proof mining, an applied subfield of logic, yield in this situation computable and low-complexity rates of convergence

Non-smooth Non-convex Bregman Minimization: Unification and new Algorithms

We propose a unifying algorithm for non-smooth non-convex optimization. The algorithm approximates the objective function by a convex model function and finds an approximate (Bregman) proximal point of the convex model. This approximate minimizer of the model function yields a descent direction, along which the next iterate is found. Complemented with an Armijo-like line search strategy, we obtain a flexible algorithm for which we prove (subsequential) convergence to a stationary point under weak assumptions on the growth of the model function error. Special instances of the algorithm with a Euclidean distance function are, for example, Gradient Descent, Forward--Backward Splitting, ProxDescent, without the common requirement of a "Lipschitz continuous gradient". In addition, we consider a broad class of Bregman distance functions (generated by Legendre functions) replacing the Euclidean distance. The algorithm has a wide range of applications including many linear and non-linear inverse problems in signal/image processing and machine learning