feat: add PPXA and ConsensusADMM algorithms #237
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…n and tests - Parallel Proximal Algorithm (PPXA) for minimizing the sum of proximable functions - ConsensusADMM for solving the global consensus problem with ADMM - add tests in test_solver.py - test_ConsensusADMM_with_ADMM - test_ConsensusADMM_with_ADMM_for_Lasso - test_ConsensusADMM_with_GPG - test_PPXA_with_ADMM - test_PPXA_with_GPG
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Thanks @tttamaki, will take a look soon and provide my review 😄 |
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I added the following two optimizers, both for minimizing the sum of prox operators.
also I added some tests with existing ADMM and GeneralizedProximalGradient.
The function of these optimizers is similar to GeneralizedProximalGradient, but more common in books and hence better to be implemented.