[first order method] Proximal Gradient Descent

1 Proximal gradient descent

Unconstrained Problem with cost function split into two components.

$$\min f(x)=g(x)+h(x)$$
where

• $g(x)$: convex, differentiable, and $\mathrm{dom}(g)=\mathbb{R}^n$;
• $h(x)$:convex, nondifferentiable, but its proximal function is inexpensive. The proximal function is defined as
  
  Proxh(x)=argminu(h(u)+