[solver] implement fast proximal algorithms for nonsmooth convex problems

accosmin-org / libnano

C++ numerical optimization and machine learning utilities using Eigen3

MIT License

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Closed accosmin closed 7 months ago

accosmin commented 2 years ago

see "Proximal bundle algorithms for nonsmooth convex optimization via fast gradient smooth methods", by A. Ouorou
see "Fast proximal algorithms for nonsmooth convex optimization", by A. Ouorou
needs an efficient quadratic program solver