Oct 2017

This subdirectory contains the following Matlab source codes:

GIST.m                          Solving log penalty regularized least squares problems using GIST.

IRL1e1.m
IRL1e2.m
IRL1e3.m                        Solving log penalty regularized least squares problems using iteratively reweighted l1 algorithms with types I, II or III extrapolation.

ReNPG.m                         Solving log penalty regularized least squares problems using iteratively reweighted l1 algorithm with nonmonotone line-search.

run_code_01_1e4.m 
run_code_05_1e4.m               run codes.
 
ls_log_sub.m                    Subroutine for GIST
Test_Nesterov_coefficients.m    Testing code for the conditions on the extrapolation parameters

Implementation and numerical experience with the above codes are described in the paper: 
    Peiran Yu and Ting Kei Pong
    "Iteratively reweighted L1 algorithms with extrapolation",
    Submitted.
This first version of the codes was up on Oct 20, 2017. The codes IRL* and ReNPG are further updated on Nov 18, 2017 to correct the termination criterion.

Questions/comments/suggestions about the codes are welcome.  

Peiran Yu     peiran.yu.yu@connect.polyu.hk
Ting Kei Pong tk.pong@polyu.edu.hk