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jolars / slopecd

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Add other solvers #12

Closed mathurinm closed 2 years ago

mathurinm commented 2 years ago

closes #8

[x] add fista
[x] add Anderson PGD
[x] add unit tests based on gap

mathurinm commented 2 years ago

Do you think it's worth it to add Anderson accelerated PGD @jolars @Klopfe ? I can but I don't know if it will be useful

Klopfe commented 2 years ago

Personally, I think inertial acceleration is fine for now, we can always add it later on in our benchmarks. Depends on how much time it costs you to add it.

jolars commented 2 years ago

Do you think it's worth it to add Anderson accelerated PGD @jolars @Klopfe ? I can but I don't know if it will be useful

In spite of your excellent talk, I don't yet know enough about Anderson acceleration to make this call :) Are the relative benefits for the case of PGD comparable to that of CD?

mathurinm commented 2 years ago

Yes, it can be good when combined with PGD: toy data, n=500, p=1000, alpha=alpha_max/20

all of it it terms of iteration because timing requires being more careful :)