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A simple example of the Gradient-Descent algorithm and a simple implementation of ADMM for LASSO.(Homework of the large-scale optimization course.)

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Gradient Descent and ADMM for LASSO

A simple example of Gradient Descent algorithm and ADMM algorithm.(Homework of the large-scale optimization course.) Take the Gradient Descent algorithm as an example. I compared different stepsize selection methods, which are fixed stepsize, Armijo-Goldstein rule and Wolfe-Powell rule, in this simple Gradient Descent algorithm. My goal is to minimize the quadratic function $$f(\mathbf{x})=\frac{1}{2}\mathbf{x}^H\mathbf{A}\mathbf{x}$$, where $\mathbf{A}$ is randomly generated and positive semidefinite.

Some simulation results are placed here, all the code can be found in the 'code' folder

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A simple example of the Gradient-Descent algorithm and a simple implementation of ADMM for LASSO.(Homework of the large-scale optimization course.)

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