pylat / adaptive-proximal-algorithms

A Julia package for adaptive proximal gradient and primal-dual algorithms

Adaptive Proximal Algorithms

This repository contains Julia code for the paper

Latafat, Themelis, Stella, Patrinos, Adaptive proximal algorithms for convex optimization under local Lipschitz continuity of the gradient, arXiv:2301.04431 (2023).

Algorithms are implemented here.

Running experiments

Run the following from the repository root:

# set up environment
julia --project=./experiments -e 'using Pkg; Pkg.develop(path="."); Pkg.instantiate()'

# download datasets for experiments
julia --project=./experiments experiments/download_datasets.jl

Then run the scripts from the subfolders. For example, run the lasso experiments as follows:

julia --project=./experiments experiments/lasso/runme.jl

This will generate plots in the same subfolder.