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The Proximal Average: Basic Theory |
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Notes for this articleIncludes a nice summary of epi-addition and multiplication and their properties as well as their relationships with the Fenchel dual.
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AbstractThe recently introduced proximal average of two convex functions is a convex function with many useful properties. In this paper, we introduce and systematically study the proximal average for finitely many convex functions. The basic properties of the proximal average with respect to the standard convex-analytical notions (domain, Fenchel conjugate, subdifferential, proximal mapping, epi-continuity, and others) are provided and illustrated by several examples.
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