gdprox, proximal gradient-descent algorithms
Implements the proximal gradient-descent algorithm for composite objective functions, i.e. functions of the form
f(x) + g(x), where f is a smooth function and g is a possibly non-smooth function for which the proximal operator is known.
The main function in this package is
gdprox.fmin_cgprox. This function follows a similar interface than the functions in
scipy.optimize. The definition of this function is:
def fmin_cgprox(f, fprime, g_prox, x0, rtol=1e-6, maxiter=1000, verbose=0, default_step_size=1.): """ proximal gradient-descent solver for optimization problems of the form minimize_x f(x) + g(x) where f is a smooth function and g is a (possibly non-smooth) function for which the proximal operator is known. Parameters ---------- f : callable f(x) returns the value of f at x. f_prime : callable f_prime(x) returns the gradient of f. g_prox : callable of the form g_prox(x, alpha) g_prox(x, alpha) returns the proximal operator of g at x with parameter alpha. x0 : array-like Initial guess maxiter : int Maximum number of iterations. verbose : int Verbosity level, from 0 (no output) to 2 (output on each iteration) default_step_size : float Starting value for the line-search procedure. Returns ------- res : OptimizeResult The optimization result represented as a ``scipy.optimize.OptimizeResult`` object. Important attributes are: ``x`` the solution array, ``success`` a Boolean flag indicating if the optimizer exited successfully and ``message`` which describes the cause of the termination. See `scipy.optimize.OptimizeResult` for a description of other attributes. """