Interior Point Solver Matlab. LIPSOL is designed to take the advantages of MATLABs sparse-matrix functions and external interface facilities and of existing Fortran sparse Cholesky codes. L1_ls is a Matlab implementation of the interior-point method for -regularized least squares described in the paper A Method for Large-Scale l1-Regularized Least Squares.
L1_ls solves an optimization problem of the form. This example shows how to use derivative information to make the solution process faster and more robust. The MIPS project page can be found at.
The funny is that I already have a feasible solution x0 but the interior-point-convex algorithm does not accept an initial point.
For a complete list of options see Interior-Point Algorithm in fmincon options. LIPSOL is a Matlab-based package for solving linear programs by interior-Point methods. The matrices that define the problems in this example are dense. The interior-point solver is socpsolverm.