fasta

A collection of acceleration schemes for proximal gradient methods for estimating penalized regression parameters described in Goldstein, Studer, and Baraniuk (2016) doi:10.48550/arXiv.1411.3406. Schemes such as Fast Iterative Shrinkage and Thresholding Algorithm (FISTA) by Beck and Teboulle (2009) doi:10.1137/080716542 and the adaptive stepsize rule introduced in Wright, Nowak, and Figueiredo (2009) doi:10.1109/TSP.2009.2016892 are included. You provide the objective function and proximal mappings, and it takes care of the issues like stepsize selection, acceleration, and stopping conditions for you.

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