Custom Penalties and Objectives for all models?

[arose13]

I cannot tell if this is even a possibility with the current implementation but it would be extremely nice to have such powerful optimizers available for custom convex problems.

[vene]

In general it is quite difficult to have a generic mechanism for plug-and-play penalties, losses and solvers, because the solvers often need different APIs to interact with the problem.

Check out @fabianp's library copt which might offer you more flexibility.

[arose13]

That's okay, I think the API is so clean as is that further generalizations may make it look ugly.