Forgot to push convex lipschitz function class required for online learning example

Author: Shuvomoy

src/functions/convex_lipschitz_function.jl

@@ -0,0 +1,45 @@
+mutable struct ConvexLipschitzFunction <: AbstractFunction
+    M::Float64
+    _PEPit_func::PEPFunction
+
+    function ConvexLipschitzFunction(param; is_leaf=true, decomposition_dict=nothing, reuse_gradient=false)
+        @assert is_leaf
+        func = PEPFunction(is_leaf=is_leaf, decomposition_dict=decomposition_dict, reuse_gradient=reuse_gradient)
+        M = float(param["M"])
+        if M == Inf
+            @warn "(PEPit) The class of convex M-Lipschitz functions with M == Inf implies no constraint: it contains all convex closed proper functions."
+        end
+        return new(M, func)
+    end
+end
+
+
+gradient!(f::ConvexLipschitzFunction, p::Point) = gradient!(f._PEPit_func, p)
+value!(f::ConvexLipschitzFunction, p::Point) = value!(f._PEPit_func, p)
+stationary_point!(f::ConvexLipschitzFunction) = stationary_point!(f._PEPit_func)
+add_constraint!(func::ConvexLipschitzFunction, constraint::Constraint) = add_constraint!(func._PEPit_func, constraint)
+
+function add_class_constraints!(func::ConvexLipschitzFunction)
+    points_list = func._PEPit_func.list_of_points
+
+    if func.M != Inf
+        M2 = func.M^2
+        for point_i in points_list
+            _, gi, _ = point_i
+            add_constraint!(func, gi^2 <= M2)
+        end
+    end
+
+    for point_i in points_list, point_j in points_list
+        if point_i == point_j
+            continue
+        end
+        xi, gi, fi = point_i
+        xj, gj, fj = point_j
+        add_constraint!(func, fi - fj >= gj * (xi - xj))
+    end
+end
+
+_get_pep_func(f::ConvexLipschitzFunction) = f._PEPit_func
+
+