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Co-authored-by: Dominique <dominique.orban@gmail.com>
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src/R2DH.jl

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@@ -79,21 +79,22 @@ A second-order quadratic regularization method for the problem
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min f(x) + h(x)
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where f: ℝⁿ → ℝ is C¹, and h: ℝⁿ → ℝ is
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lower semi-continuous, proper and prox-bounded.
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where f: ℝⁿ → ℝ is C¹, and h: ℝⁿ → ℝ is lower semi-continuous, proper and prox-bounded.
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About each iterate xₖ, a step sₖ is computed as a solution of
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min φ(s; xₖ) + ½ σₖ ‖s‖² + ψ(s; xₖ)
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where φ(s ; xₖ) = f(xₖ) + ∇f(xₖ)ᵀs + ½ sᵀDₖs is a quadratic approximation of f about xₖ,
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where φ(s ; xₖ) = f(xₖ) + ∇f(xₖ)ᵀs + ½ sᵀDₖs is a diagonal quadratic approximation of f about xₖ,
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ψ(s; xₖ) is either h(xₖ + s) or an approximation of h(xₖ + s), ‖⋅‖ is the ℓ₂ norm and σₖ > 0 is the regularization parameter.
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For advanced usage, first define a solver "R2DHSolver" to preallocate the memory used in the algorithm, and then call `solve!`:
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For advanced usage, first define a solver `R2DHSolver` to preallocate the memory used in the algorithm, and then call `solve!`:
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solver = R2DHSolver(reg_nlp; m_monotone = 6)
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solve!(solver, reg_nlp)
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or
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stats = RegularizedExecutionStats(reg_nlp)
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solver = R2DHSolver(reg_nlp)
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solve!(solver, reg_nlp, stats)

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