changed the stopping criterion according to the paper

fabian-sp / GGLasso

A Python package for General Graphical Lasso computation

MIT License

30 stars 14 forks source link

Closed Vlasovets closed 3 years ago

Vlasovets commented 3 years ago

I commented your criterion for now since I would like to check my criterion first.

fabian-sp commented 3 years ago

There are still some open topics here:

eps_abs and eps_rel should both be choosable but with reasonable default values
It would be nice to have an option use_kkt to switch between the stop criteria
Before merging, it would be useful to see a plot how the kkt criterion and the two residuals behave over time for some simple example (so x-axis = iteration).