Dynamic Proximal Point Method for Unconstrained Minimization

Abstract

In this work, we present a novel dynamic proximal point algorithm for unconstrained optimization. The method generates a sequence of proximal subproblems, where the quadratic regularization term is weighted by a diagonal matrix that is updated adaptively at each iteration. Each subproblem is solved using an inner Newton's method combined with a line search, which provides a global convergence mechanism for the nonlinear solver. At the outer level, the algorithm updates the reference point and adjusts the regularization parameter based on the performance of the inner Newton solver. We derive the reduced linear system used to compute the Newton step, define the corresponding merit function, and discuss practical approaches for constructing the diagonal scaling matrix from derivative information. The paper also provides implementation-oriented pseudocode and stopping criteria that are consistent with the proposed method.