19 Proximal Newton Method

이번 장에서는 Proximal Newton MethodProximal quasi-Newton method, Projected Newton method에 대해서 살펴보도록 하겠다.

참고 논문

Proximal Newton method:

  • J. Friedman and T. Hastie and R. Tibshirani (2009), “Regularization paths for generalized linear models via coordinate descent”
  • C.J. Hsiesh and M.A. Sustik and I. Dhillon and P. Ravikumar (2011), “Sparse inverse covariance matrix estimation using quadratic approximation”
  • M. Patriksson (1998), “Cost approximation: a unified framework of descent algorithms for nonlinear programs”
  • J. Lee and Y. Sun and M. Saunders (2014), “Proximal Newton-type methods for minimizing composite functions”
  • P. Tseng and S. Yun (2009), “A coordinate gradient descent method for nonsmooth separable minimization”

Projected Newton method:

  • A. Barbero and S. Sra (2011), “Fast Newton-type methods for total variation regularization”
  • D. Bertsekas (1982), “Projected Newton methods for optimization problems with simple constraints”
  • D. Kim and S. Sra. and I. Dhillon (2010), “Tackling box-constrained optimization via a new projected quasi-Newton approach”
  • M. Schmidt and D. Kim and S. Sra (2011), “Projected Newton-type methods in machine learning”