LASSO-Patternsearch: Change Log

LPS Change Log

Initial Release Version 1.0 (April 18, 2010)
Version 1.1 (May 6, 2010). Fixed a bug in reduced Newton step calculation.
Version 1.2 (May 8, 2010). Changed the reduced Newton step calculation again. Imposed a "sufficient decrease" test on step acceptance. Added feature to allow sample-average approximation of the full data set to be chosen (either specified by the user or as a random fraction of a specified size). Allow sampled approximations of the reduced Hessian to be computed in the approximate reduced-Newton step calculation.
Version 2.0 (August 10, 2010). Modified algorithm to follow the framework described and analyzed in "Accelerated Block-Coordinate Relaxation for Regularized Optimization" by S. J. Wright, August 2010.
Version 2.1 (January 17, 2011). Fixed a bug in calculateLambdaMax.m to correct calculation of lambdaMax. (Thanks to Sangkyun Lee for pointing it out.)
Version 2.2 (September 1, 2011). Implemented an improved warm start strategy (reduced-Newton adjustment of the solution at the previous value of tau). Several other fixed. Release made in conjunction with the revision of the paper [2].