[solver] quasi-newton methods for non-smooth optimization - Githubissues

accosmin-org / libnano

C++ numerical optimization and machine learning utilities using Eigen3

MIT License

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[solver] quasi-newton methods for non-smooth optimization #75

Open accosmin opened 1 year ago

accosmin commented 1 year ago

there are many algorithms proposed: https://coral.ise.lehigh.edu/frankecurtis/files/talks/iccopt_semi_19.pdf
see for example "A Self-Correcting Variable-Metric Algorithm Framework for Nonsmooth Optimization"
https://people.orie.cornell.edu/aslewis/publications/13-nonsmooth.pdf