Is your feature request related to a problem? Please describe.
We need an additional termination criterion. For the problem:
Minimise_u f(u)
subj. to: u in U
we need to add the termination condition:
|| r + df(u_bar) - df(u) || <= eps,
where r is the fixed-point residual, df is the gradient of f, u_bar is the proximal gradient step that corresponds to u and and eps is a user-specified tolerance.
Describe the solution you'd like
The termination condition is inactive (e.g., we can use an Option<f64> for the tolerance parameter).
Describe alternatives you've considered
N/A
Additional context
We need this in order to implement ALM.
Is your feature request related to a problem? Please describe. We need an additional termination criterion. For the problem:
we need to add the termination condition:
where
ris the fixed-point residual,dfis the gradient off,u_baris the proximal gradient step that corresponds touand andepsis a user-specified tolerance.Describe the solution you'd like The termination condition is inactive (e.g., we can use an
Option<f64>for the tolerance parameter).Describe alternatives you've considered N/A
Additional context We need this in order to implement ALM.