Semi-proximal Mirror-Prox for Nonsmooth Composite Minimization

NeurIPS 2015 Niao HeZaid Harchaoui

We propose a new first-order optimisation algorithm to solve high-dimensional non-smooth composite minimisation problems. Typical examples of such problems have an objective that decomposes into a non-smooth empirical risk part and a non-smooth regularisation penalty... (read more)

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