Composite Self-Concordant Minimization
We propose a variable metric framework for minimizing the sum of a self-concordant function and a possibly non-smooth convex function endowed with a computable proximal operator. We theoretically establish the convergence of our framework without relying on the usual Lipschitz gradient assumption on the smooth part. An important highlight of our work is a new set of analytic step-size selection and correction procedures based on the structure of the problem. We describe concrete algorithmic instances of our framework for several interesting large-scale applications and demonstrate them numerically on both synthetic and real data.
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Tran Dinh, Q., Kyrillidis, A., & Cevher, V. (2015). Composite Self-Concordant Minimization. Journal of Machine Learning Research, 16, 371–416. https://infoscience.epfl.ch/handle/20.500.14299/94114
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