%X This paper proposes two proximal Newton methods for convex nonsmooth optimization problems in composite form. The algorithms are based on a new continuously differentiable exact penalty function, namely the Composite Moreau Envelope. The first algorithm is based on a standard line search strategy, whereas the second one combines the global efficiency estimates of the corresponding first-order methods, while achieving fast asymptotic convergence rates. Furthermore, they are computationally attractive since each Newton iteration requires the solution of a linear system of usually small dimension.
%L eprints2226
%D 2013
%K Approximation algorithms, Approximation methods, Convergence, Gradient methods, Radio frequency, Signal processing algorithms
%A Panagiotis Patrinos
%A Alberto Bemporad
%R 10.1109/CDC.2013.6760233
%B 52nd IEEE Conference on Decision and Control
%T Proximal Newton methods for convex composite optimization
%P 2358-2363
%I IEEE