[SciPy-User] [Numpy-discussion] routine for linear least norms problems with specifiable accuracy

Henry Gomersall heng@cantab....
Mon Jul 16 13:47:38 CDT 2012


On Mon, 2012-07-16 at 20:35 +0300, Dmitrey wrote:
> I have wrote a routine to solve dense / sparse problems 
> min {alpha1*||A1 x - b1||_1 + alpha2*||A2 x - b2||^2 + beta1 * ||x||_1
> + beta2 * ||x||^2}
> with specifiable accuracy fTol > 0: abs(f-f*) <= fTol (this parameter
> is handled by solvers gsubg and maybe amsg2p, latter requires known
> good enough fOpt estimation). Constraints (box-bound, linear,
> quadratic) also could be easily connected.
> 
Interesting. What algorithm are you using?

Henry



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