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abess-team / skscope

skscope: Sparse-Constrained OPtimization via itErative-solvers
https://skscope.readthedocs.io
MIT License
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Extend ``skscope`` with JAXopt #58

Open chenpnn opened 7 months ago

chenpnn commented 7 months ago

JAXopt is a differentiable optimizers which can solve general optimization problems such as set constrained or non-smooth optimization. I wonder whether it is possible to extend skscope to such a general sparse solver using JAXopt library.

Mamba413 commented 6 months ago

@chenpnn ，thx for this recommendation, it is really interesting! I believe it would greatly borden the application of skscope if we can leverage JAXopt to handle the set constrained problem. Besides, can we support another optimizer based on JAXopt such that users can have more options beyond the nlopt solver.