DataSlingers / ExclusiveLasso

Generalized Linear Models with the Exclusive Lasso Penalty
https://DataSlingers.github.io/ExclusiveLasso/
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Accelerated Proximal Gradient #6

Open michaelweylandt opened 5 years ago

michaelweylandt commented 5 years ago

The exclusive lasso proximal operator is relatively expensive to calculate, so an accelerated prox gradient scheme might be useful.