This repository contains implementations of the Douglas-Rachford operator splitting method for solving convex optimization problems of the form
minimize f(x) + g(x)
The proposed implementations and tests reflect the analysis contained in [1]. In particular, a fast version of the method is provided for problems where f(x) is quadratic.
The problems for which the algorithms are implemented are:
- Box constrained QPs
- L1-regularized least square regression
[1] P. Patrinos, L. Stella, A. Bemporad, “Douglas-Rachford Splitting: Complexity Estimates and Accelerated Variants,” arXiv:1407.6723 [math.OC], Sep. 2014. In Proceedings of the 53nd IEEE Conference on Decision and Control.