R interface to the Splitting Conic Solver (SCS)
Control Arguments
| Parameter | Type | Description | Default Value |
|---|---|---|---|
max_iters |
integer | maximum number of iterations | 5000 |
normalize |
boolean | turn heuristic data rescaling on and off | TRUE |
verbose |
boolean | write out progress | FALSE |
cg_rate |
numeric | for indirect, tolerance goes down like (1 / iter)^cg_rate |
2 |
scale |
numeric | if normalized, rescales by this factor | 1 |
rho_x |
numeric | x equality constraint scaling | 1e-3 |
alpha |
numeric | relaxation parameter | 1.5 |
eps |
numeric | convergence tolerance | 1e-5 |
acceleration_lookback |
integer | number of iterations to look back for Anderson acceleration | 10 |
Reference
- O'Donoghue Brendan, Chu Eric, Parikh Neal, Boyd Stephen (2016).
Operator Splitting for Conic Optimization via Homogeneous Self-Dual Embedding.
Journal of Optimization Theory and Applications 169(3), 1042-1068.
URL
https://doi.org/10.1007/s10957-016-0892-3.