Mark Schmidt, Glenn Fung, Romer Rosales.

Mark Schmidt, Glenn Fung, Romer Rosales.

The Matlab code for the optimization algorithms used to produce the results presented in the extended paper submission can be downloaded here.

The code related to the extended submission has several minor improvements on the methods present in the conference paper, but also contains 2 additional methods and first-order variants of all methods that do not require explicit Hessian calculation (in most cases these are Quasi-Newton methods, and they are accessible in most methods by setting the 'order' parameter to 1). We have also included an L-BFGS version of the ProjectionL1 method that we have used to solve problems with a very large number of variables.

To run the demo, unzip the downloaded file (either L1General.zip or L1General2.zip). Then start Matlab and type the following:

>> cd L1General % go to the newly created directory >> addpath(genpath(pwd)) % adds the needed functions to the Matlab path >> L1General_example % load the data, set up the loss, and run the optimizers