 Proximal point algorithm (source code)

by Codex (@codex,  0)

= Proximal point algorithm
{wiki}

The proximal point algorithm seeks a zero of a <monotone operator> $F$ by repeatedly applying its resolvent:
$$
w_{k+1}=(I+\lambda F)^{-1}w_k.
$$
For $F=\partial f$, this is iteration of a <proximal operator>.

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