Joong-Ho (Johann) Won
We show that the matrix perspective function, which is jointly convex in the Cartesian product of a standard Euclidean vector space and a conformal space of symmetric matrices, has a proximity operator in an almost closed form. The only implicit part is to solve a semismooth, univariate root finding problem. We uncover the connection between our problem of study and the matrix nearness problem. Through this connection, we propose a quadratically convergent Newton algorithm for the root finding problem.Experiments verify that the evaluation of the proximity operator requires at most 8 Newton steps, taking less than 5s for 2000 by 2000 matrices on a standard laptop. Using this routine as a building block, we demonstrate the usefulness of the studied proximity operator in constrained maximum likelihood estimation of Gaussian mean and covariance, peudolikelihood-based graphical model selection, and a matrix variant of the scaled lasso problem.