Proximal methods

Authors : Mathieu Verchère and Margaux Zaffran

Setting

The following Julia packages are necessary in order to run the notebooks of this repository:

• JuMP
• OSQP
• PyPlot
• GZip
• CodecBzip2
• CPLEX (if not, you should modify in consequence cutting_plane_bundle_methods.ipynb to use OSQP instead)

References

proximal_gradient.ipynb is an extended and completed version of this notebook.

cutting_plane_bundle_methods.ipynb is an extended and completed version of this notebook.

diabetes comes from this webpage, and more precisely can be downloaded here.

libsvm_parser.jl has been downloaded from François Pacaud's github, in the LogisticOptTools folder.

Files

• proximal_gradient.ipynb contains an implementation of the proximal gradient algorithm and the accelerated proximal gradient algorithm.

• cutting_plane_bundle_methods.ipynb contains an implementation of the cutting plane algorithm and the bundle algorithm.