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I came across https://github.com/scikit-learn/scikit-learn/issues/17813 which suggests calculating Mahalanobis distance as:
d = xT.VI.x + yT.VI.y - xT.VI.y - yT.VI.x
instead of
d = (x-y)T.VI.(x-y)
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**TL;DR**: we currently use outer-product of gradients (OPG) as the default information matrix approximation, as does Stata and Eviews. Some limited experiments on AR, MA models (see below) suggest t…
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I can see two issues in the way the Nataf transformation is defined In Transformation.py:
* The Nataf transformation is presented as a way to induce correlation between random variables, which is not…
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### Background of rma.mv function:
Standard meta-analytic models assume independence between the observed effect sizes or outcomes obtained from a set of studies. This assumption is often violated…
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#### Description
Dear All,
I am working on replicating a paper titled “Improving Mean Variance Optimization through Sparse Hedging Restriction”. The authors’ idea is to use Graphical Lasso algorit…
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Information related to determinantal point processes can be found at #4.
[fast greedy algorithm](https://proceedings.neurips.cc/paper/2018/file/dbbf603ff0e99629dda5d75b6f75f966-Paper.pdf)
[review…
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I noticed this while looking at #15360: we should throw `SolverControl::NoConvergence` should SNES fail instead of a custom exception containing the iteration count.
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I am getting a Pardiso crash if I use JuMP at the same time, but it seems to depend on the order of package inclusion. Example is below. If I do `using JuMP` before `using Pardiso`, I get a crash,…
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I'm comparing QP solvers on a classical [humanoid model predictive control](https://scaron.info/robot-locomotion/prototyping-a-walking-pattern-generator.html#linear-model-predictive-control) problem.
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