Convergence analysis of a proximal-type algorithm for DC programs with applications to variable selection

Shuang Wu, Bui Van Dinh, Liguo Jiao +2

We consider a minimization problem of the form $P(\ddot{I}†,g,h):$ $$\min \left\{f(x):=\ddot{I}†(x)+g(x)-h(x):x\in {\mathbb{R}}^n\right\},$$ where $\ddot{I}†$ is a differentiable function a…