In this letter, we propose a probabilistic optimization method, named probabilistic incremental proximal gradient (PIPG) method, by developing a probabilistic interpretation of the incremental proximal gradient algorithm. We explicitly model the update rules of the incremental proximal gradient method and develop a systematic approach to propagate the uncertainty of the solution estimate over iterations. The PIPG algorithm takes the form of Bayesian filtering updates for a state-space model constructed by using the cost function. Our framework makes it possible to utilize well-known exact or approximate Bayesian filters, such as Kalman or extended Kalman filters, to solve large-scale regularized optimization problems.
Akyildiz. Ö. D., Chouzenoux. E., Elvira. V. & Miguez. J. (2019). A probabilistic incremental proximal gradient method. In IEEE Signal Processing Letters.