Start with a very high regularizer, so the problem is easy to solve, and decrease it. Each iteration should be very fast. Design make_prox_* so that changing lambda incurs little overhead. Allow user to choose lambda_min and lambda_max, but also include good defaults to encourage interesting (eg non-zero) solutions.
Start with a very high regularizer, so the problem is easy to solve, and decrease it. Each iteration should be very fast. Design
make_prox_*so that changing lambda incurs little overhead. Allow user to choose lambda_min and lambda_max, but also include good defaults to encourage interesting (eg non-zero) solutions.