Proximal-Proximal-Gradient Method

Understand

In this paper, we present the proximal-proximal-gradient method (PPG), a novel optimization method that is simple to implement and simple to parallelize.

• PPG generalizes the proximal-gradient method and ADMM and is applicable to minimization problems written as a sum of many differentiable and many non-differentiable convex functions.
• The non-differentiable functions can be coupled.
• We furthermore present a related stochastic variation, which we call stochastic PPG (S-PPG).