A Proximal Modified Quasi-Newton Method for Nonsmooth Regularized Optimization

Youssef Diouane, Mohamed Laghdaf Habiboullah, Dominique Orban

We develop R2N, a modified quasi-Newton method for minimizing the sum of a ${\mathcal{C}}^1$ function $f$ and a lower semi-continuous prox-bounded $h$. Both $f$ and $h$ may be noncon…