Checking the duality gap for a stronger optimality guarantee #295
stephane-caron
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Checking the duality gap is disabled by default, and ProxQP recommends to enable it for a stronger guarantee that the returned solution is optimal (this is documented in ProxQP with API examples). To illustrate this, I just ran into a small least squares where ProxQP's defaults yield a sub-optimal solution (not unwrapping the calls to the matrix-building API):
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