Proximal optimization in C++ with Eigen for convex optimization
The proximal operator of a convex function is defined as follows:
It plays an important role in several optimization algorithms that can be used to solve Basis Pursuit and LASSO problems that appear frequently in signal processing (compressed sensing for instance), quantitative finance and machine learning settings In this repo I have currently implemented:
- Douglas Rachford (or proximal splitting) for basis pursuit
- Proximal gradient descent for LASSO (ISTA)
- FISTA
- ADMM for portfolio optimization
- Constraints proxial operator (Dykstra's algorithm)
- Testing
ADMM