Proximal Algorithms in Statistics and Machine Learning (1502.03175v3)

Abstract: In this paper we develop proximal methods for statistical learning. Proximal point algorithms are useful in statistics and machine learning for obtaining optimization solutions for composite functions. Our approach exploits closed-form solutions of proximal operators and envelope representations based on the Moreau, Forward-Backward, Douglas-Rachford and Half-Quadratic envelopes. Envelope representations lead to novel proximal algorithms for statistical optimisation of composite objective functions which include both non-smooth and non-convex objectives. We illustrate our methodology with regularized Logistic and Poisson regression and non-convex bridge penalties with a fused lasso norm. We provide a discussion of convergence of non-descent algorithms with acceleration and for non-convex functions. Finally, we provide directions for future research.