A collection of acceleration schemes for proximal gradient methods for estimating penalized regression parameters described in Goldstein, Studer, and Baraniuk (2016) <arXiv:1411.3406>. Schemes such as Fast Iterative Shrinkage and Thresholding Algorithm (FISTA) by Beck and Teboulle (2009) <doi:10.1137/080716542> and the adaptive stepsize rule introduced in Wright, Nowak, and Figueiredo (2009) <doi:10.1109/TSP.2009.2016892> are included. You provide the objective function and proximal mappings, and it takes care of the issues like stepsize selection, acceleration, and stopping conditions for you.
|Author||Eric C. Chi [aut, cre, trl, cph], Tom Goldstein [aut] (MATLAB original, https://www.cs.umd.edu/~tomg/projects/fasta/), Christoph Studer [aut], Richard G. Baraniuk [aut]|
|Maintainer||Eric C. Chi <[email protected]>|
|License||MIT + file LICENSE|
|Package repository||View on CRAN|
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