1. Properties of Proximal mapping
For a convex function
h(x)
, its proximal mapping is defined as:
From the fact that the objective function is strictly convex, we know that Proxh(x) exists and is unique for all x. If u=Proxh(x) , we have
1.1 L1 Lipschitz and monotone
Theorem: Proximal mapping for any convex function h(x) is L1 Lipschitz and monotone, that is to say
- Lipschitz: ∥Proxh(x)−Proxh(y)∥2≤∥x−y∥2.
- Monotone: (Proxh(x)−Proxh(y))T(x−y)≥0.
proof: From the definition of proximal mapping, if
u=Proxh(x)
and
u^=Proxh(x^)
, we have
Then from the convexity,
we have
which means that
Then,
1.2 Projection Property
Theorem: Proximal mapping for any convex function
h(x)
acts just like a Projection function, and its orthogonal projection is the proximal function corresponding to its conjugate function, that is to say
proof: If
u=Proxh(x)
, we have
v=x−u∈∂h(u)
. From the definition of conjugate function:
from which, we have u=x−v∈∂h∗(v), then v=Proxh∗(x).
So
1.3 Scaling and translation argument
Theorem: Let
h(x)=f(tx+a)
, then
proof: Assume u=Proxh(x) , then we have
Then
so we have
so