SOLVER - Add APPROX solver

solvers/apcd.py

@@ -0,0 +1,44 @@
+from benchopt import BaseSolver, safe_import_context
+
+with safe_import_context() as ctx:
+    import cd_solver
+
+
+class Solver(BaseSolver):
+    """Accelerated proximal coordinate descent by Fercoq and Bianchi."""
+
+    name = 'apcd'
+    stop_strategy = 'iteration'
+
+    install_cmd = "conda"
+    requirements = [
+        "pip:git+https://github.com/Badr-MOUFAD/fercoq-approx@main"
+    ]
+
+    references = [
+        'Fercoq, Olivier and Richt{\'a}rik, Peter, '
+        'SIAM Journal on Optimization, '
+        '"Accelerated, parallel, and proximal coordinate descent", '
+        'vol. 25, pp. 1997--2023 (2015)'
+    ]
+
+    def set_objective(self, X, y, lmbd, fit_intercept):
+        self.X, self.y, self.lmbd = X, y, lmbd
+        self.fit_intercept = fit_intercept
+
+    def run(self, n_iter):
+        n_samples, n_features = self.X.shape
+        f = ["square"] * n_samples
+        N = n_features
+        Af = self.X
+        bf = self.y
+        cf = [0.5] * n_samples
+        g = ["abs"] * n_features
+        cg = [self.lmbd] * n_features
+
+        pb = cd_solver.Problem(N=N, f=f, Af=Af, bf=bf, cf=cf, g=g, cg=cg)
+        cd_solver.cd_solver_.coordinate_descent(pb, max_iter=n_iter)
+        self.w = pb.sol
+
+    def get_result(self):
+        return self.w