numoptim / OptimizationMethods.jl

A research-tier library of optimization methods and test problems arising in data science.

MIT License

2 stars 0 forks source link

New Method: Weighted Norm Dampening #20

Open VChristian opened 2 weeks ago

VChristian commented 2 weeks ago

Objective

Implement WNGrad as outlined in Algorithm 1.

To Do

[x] Implement the method under src/methods following the general framework
[x] Implement test cases in test/methods
[x] Exports
[x] Documentation
[x] Example implementation on Least Squares

VChristian commented 2 weeks ago

The method is implemented in cv/wngrad. I provided two examples as well - one for gaussian least squares, and one for logistic regression. It should be ready for testing.