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This Julia package implements the algorithms for the proximity operator of the matrix perspective function discussed in the following paper.
- Joong-Ho Won (2020). Proximity Operator of the Matrix Perspective Function and its Applications. 34th Conference on Neural Information Processing Systems (NeurIPS 2020), Virtual Conference.
The implemented algorithms for solving the dual of the proximity operator problem are
- Semismooth Newton method
- Bisection
- Interior point method (requires MOSEK; academic license is free).
MatrixPerspective.jl was tested with Julia v1.5.1. The most recent release of Julia is v1.5.2. See documentation for usage. It is not yet registered but can be installed, in the Julia Pkg mode, by
(@v1.5) Pkg> add https://github.com/won-j/MatrixPerspective.jl