https://github.com/lostella/drs

Numerical implementations of the Douglas-Rachford splitting (DRS), and an accelerated version of the method, for solving nonsmooth convex composite optimization problems
https://github.com/lostella/drs

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Numerical implementations of the Douglas-Rachford splitting (DRS), and an accelerated version of the method, for solving nonsmooth convex composite optimization problems

• Host: GitHub
• URL: https://github.com/lostella/drs
• Owner: lostella
• Created: 2014-10-04T16:26:52.000Z (over 10 years ago)
• Default Branch: master
• Last Pushed: 2015-01-25T23:58:45.000Z (almost 10 years ago)
• Last Synced: 2024-10-13T22:33:47.854Z (3 months ago)
• Language: Matlab
• Homepage:
• Size: 172 KB
• Stars: 4
• Watchers: 3
• Forks: 1
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
## Douglas-Rachford splitting

This repository contains implementations of the Douglas-Rachford operator

splitting method for solving convex optimization problems of the form

```

minimize f(x) + g(x)

```

The proposed implementations and tests reflect the analysis contained in

[1]. In particular, a *fast* version of the method is provided for problems

where f(x) is quadratic.

The problems for which the algorithms are implemented are:

* Box constrained QPs

* L1-regularized least square regression

### References

[1] P. Patrinos, L. Stella, A. Bemporad, “Douglas-Rachford Splitting: Complexity

Estimates and Accelerated Variants,” [arXiv:1407.6723](http://arxiv.org/abs/1407.6723) [math.OC], Sep. 2014.

In *Proceedings of the 53nd IEEE Conference on Decision and Control*.