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Proximal gradient method

Proximal gradient methods are a generalized form of projection used to solve non-differentiable convex optimization problems.

Projection onto convex sets (POCS)
One of the widely used convex optimization algorithms is projections onto convex sets (POCS). This algorithm is employed to recover/synthesize a signal satisfying simultaneously several convex constraints. Let f_i be the indicator function of non-empty closed convex set C_i modeling a constraint. This reduces to convex feasibility problem, which require us to find a solution such that it lies in the intersection of all convex sets C_i. In POCS method each set C_i is incorporated by its projection operator P_{C_i}. So in each iteration x is updated as : x_{k+1} = P_{C_1} P_{C_2} \cdots P_{C_n} x_k However beyond such problems projection operators are not appropriate and more general operators are required to tackle them. Among the various generalizations of the notion of a convex projection operator that exist, proximal operators are best suited for other purposes. == Examples ==
Examples
Special instances of Proximal Gradient Methods are • Projected LandweberAlternating projectionAlternating-direction method of multipliers == See also ==
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