CIAOAlgorithms.jl

CIAOAlgorithms implements Block-Coordinate and Incremental Aggregated Optimization Algorithms for minimizations of the form

$$\text{minimize } \frac{1}{N} \sum_{i=1}^N f_i(x) + g(x)$$

or $$\text{minimize } \frac{1}{N} \sum_{i=1}^N f_i(x_i) + g\big(\sum_{i=1}^N x_i\big)$$ where f_i are smooth, and g is (possibly) nonsmooth with easy to compute proximal mapping. These functions can be defined using the ProximalOperators.jl package.

You can add CIAOAlgorithms by pressing ] to enter the package manager, then

pkg> add CIAOAlgorithms

Simple Lasso and logisitc regression test examples can be found here.

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