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A Hamilton-Jacobi-based proximal operator.


ABSTRACT: First-order optimization algorithms are widely used today. Two standard building blocks in these algorithms are proximal operators (proximals) and gradients. Although gradients can be computed for a wide array of functions, explicit proximal formulas are known for only limited classes of functions. We provide an algorithm, HJ-Prox, for accurately approximating such proximals. This is derived from a collection of relations between proximals, Moreau envelopes, Hamilton-Jacobi (HJ) equations, heat equations, and Monte Carlo sampling. In particular, HJ-Prox smoothly approximates the Moreau envelope and its gradient. The smoothness can be adjusted to act as a denoiser. Our approach applies even when functions are accessible only by (possibly noisy) black box samples. We show that HJ-Prox is effective numerically via several examples.

SUBMITTER: Osher S 

PROVIDER: S-EPMC10083605 | biostudies-literature | 2023 Apr

REPOSITORIES: biostudies-literature

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A Hamilton-Jacobi-based proximal operator.

Osher Stanley S   Heaton Howard H   Wu Fung Samy S  

Proceedings of the National Academy of Sciences of the United States of America 20230329 14


First-order optimization algorithms are widely used today. Two standard building blocks in these algorithms are proximal operators (proximals) and gradients. Although gradients can be computed for a wide array of functions, explicit proximal formulas are known for only limited classes of functions. We provide an algorithm, HJ-Prox, for accurately approximating such proximals. This is derived from a collection of relations between proximals, Moreau envelopes, Hamilton-Jacobi (HJ) equations, heat  ...[more]

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