[solver] simpler strategy to update the proximity parameter in bundle methods

accosmin-org / libnano

C++ numerical optimization and machine learning utilities using Eigen3

MIT License

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Open accosmin opened 3 weeks ago

accosmin commented 3 weeks ago

alternative to curve search:

increase geometrically the parameter when N consecutive null steps
similarly decrease geometrically the parameter when a serious step (see reference - doubly stabilized bundle method mentioning this strategy)