Adaptive Proximal Algorithms

This repository contains Julia code for the paper

Latafat, Themelis, Stella, Patrinos, Adaptive proximal algorithms for convex optimization under local Lipschitz continuity of the gradient, arXiv:2301.04431 (2023).

Algorithms are implemented here.

Running experiments

Run the following from the repository root:

# set up environment
julia --project=./experiments -e 'using Pkg; Pkg.develop(path="."); Pkg.instantiate()'

# download datasets for experiments
julia --project=./experiments experiments/download_datasets.jl

Then run the scripts from the subfolders. For example, run the lasso experiments as follows:

julia --project=./experiments experiments/lasso/runme.jl

This will generate plots in the same subfolder.