How to use regularisation in FirstOrderMinimizer

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Dmitry Novikov

Jun 7, 2020, 6:08:59 PM6/7/20
to Scala Breeze
Hi everyone,

I have a class that implements FirstOrderMinimizer and needs to apply L1 regularisation. In my understanding the regularisation stuff should go to FirstOrderMinimizer::adjust. But then not the adjusted (regularised) value is used in convergence check but the non-adjusted one (see FirstOrderMinimizer::infiniteIterations):
    val newCInfo = convergenceCheck.update(x, grad, value, state, state.convergenceInfo)
This could've been overcome if I've used FirstOrderMinimizer::adjustFunction for regularisation but this would be out touch with e.g. AdaptiveGradientDescent where the adjust() is used.

Could you please elaborate on how to use adjust/adjustFunction?
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