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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.