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    Add first version of the Riemannian Proximal Newton solver, as an alternative... · d038e0e4
    Lisa Julia Nebel authored
    Add first version of the Riemannian Proximal Newton solver, as an alternative to the Trust-Region Solver.
    
    In each step of these two iterative solvers, we try to find a correction
    that decreases the energy of the nonlinear functional of the current iterate x.
    The correction is calculated using the Taylor expansion around x,
    resulting in the problem: Hessian(x) * correction = -gradient(x).
    Within a certain radius around x, the functional can be approximated correctly and then
    the corrections causes an energy decrease.
    1) The trust-region algorithm ensures this using a trust-region.
    2) The proximal newton method ensures this by punishing
       large corrections using a regularization factor.
    d038e0e4
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    Add first version of the Riemannian Proximal Newton solver, as an alternative...
    Lisa Julia Nebel authored
    Add first version of the Riemannian Proximal Newton solver, as an alternative to the Trust-Region Solver.
    
    In each step of these two iterative solvers, we try to find a correction
    that decreases the energy of the nonlinear functional of the current iterate x.
    The correction is calculated using the Taylor expansion around x,
    resulting in the problem: Hessian(x) * correction = -gradient(x).
    Within a certain radius around x, the functional can be approximated correctly and then
    the corrections causes an energy decrease.
    1) The trust-region algorithm ensures this using a trust-region.
    2) The proximal newton method ensures this by punishing
       large corrections using a regularization factor.