Add R2N, R2DH

[MohamedLaghdafHABIBOULLAH]

Add still allocating versions of R2N and R2DH.
Update LM to give the possibility to use R2DH as subsolver

[dpo]

Please update LM in a separate PR. It's unrelated to R2N.

[MohamedLaghdafHABIBOULLAH]

@dpo here I add a test in line 194 to discuss the case if $$mk(s)$$ is big enough

[MohamedLaghdafHABIBOULLAH]

@dpo il est à noter que je me suis permis de changer R2_alg.jl afin de pouvoir récupérer le temps pour chaque iter et tracer la courbe objective vs temps

[dpo]

@dpo il est à noter que je me suis permis de changer R2_alg.jl afin de pouvoir récupérer le temps pour chaque iter et tracer la courbe objective vs temps

[dpo]

Remove all duplicate blank lines.

[MohamedLaghdafHABIBOULLAH]

Thanks @dpo for the comments. I tried to incorporate and answer all your comments.
Now I need to add some unitests

[MaxenceGollier]

This PR has been open for a while now, can we merge it ? @MohamedLaghdafHABIBOULLAH @dpo
I will open a PR thereafter that will remove the allocations.

[dpo]

I would much prefer to review one PR instead of two. Could you please put your work together into a single PR? Maybe just close this one and open a new one?!

[dpo]

@MohamedLaghdafHABIBOULLAH Please rebase this branch against main.

[dpo]

@MohamedLaghdafHABIBOULLAH Let’s please finish this fast.

[MaxenceGollier]

@dpo, are we planning to merge this first in the end ?

I would much prefer to review one PR instead of two. Could you please put your work together into a single PR? Maybe just close this one and open a new one?!

Some of your comments are already taken care of in my version

What is this bit for? If it is to increase σk until the prox returns a finite value, there should be a while. Otherwise, please remove it. It doesn’t appear in any other solver.

[MohamedLaghdafHABIBOULLAH]

The tests with Julia 1 fail.

Just sync your fork @MohamedLaghdafHABIBOULLAH and tests should pass on Julia 1. The errors are on the R2 allocation test which where solved recently in #164

Now it should be better @MaxenceGollier.

[MaxenceGollier]

The demo with TRDH keeps failing by the way, perhaps we should add a random seed to prevent it.

[MohamedLaghdafHABIBOULLAH]

The demo with TRDH keeps failing by the way, perhaps we should add a random seed to prevent it.

You mean we need to change the seed?

[MohamedLaghdafHABIBOULLAH]

Even on the master branch, this demo test fails. Should we open an issue?

[dpo]

The demos will have to be overhauled completely after we remove FHist, etc., anyways.