Added proximal penalty to objective value used in line search.

src/main/java/hex/glm/GLM2.java

@@ -208,7 +208,7 @@ public GLM2 setHighAccuracy(){
   }
 
   private double objval(GLMIterationTask glmt){
-    return glmt._val.residual_deviance / glmt._nobs + 0.5 * l2pen() * l2norm(glmt._beta) + l1pen() * l1norm(glmt._beta);
+    return glmt._val.residual_deviance / glmt._nobs + 0.5 * l2pen() * l2norm(glmt._beta) + l1pen() * l1norm(glmt._beta) + proxPen(glmt._beta);
   }
 
   private IterationInfo makeIterationInfo(int i, GLMIterationTask glmt, final int [] activeCols, double [] gradient){
@@ -1354,6 +1354,17 @@ void nextLambda(final double currentLambda, final H2OCountedCompleter cmp){
 
   private final double l2pen(){return 0.5*_currentLambda*(1-alpha[0]);}
   private final double l1pen(){return _currentLambda*alpha[0];}
+  private final double proxPen(double [] beta){
+    double [] fullBeta = expandVec(beta,_activeCols);
+    double res = 0;
+    if(_bgs != null){
+      for(int i = 0; i < _bgs.length; ++i){
+        double diff = fullBeta[i] - _bgs[i];
+        res += .5*_rho[i]*diff*diff;
+      }
+    }
+    return res;
+  }
 
   //  // filter the current active columns using the strong rules
 //  // note: strong rules are update so tha they keep all previous coefficients in, to prevent issues with line-search