At the very beginning, we include u and v as members of MoMA to facilitate warm-start. They are initialized to be the SVD of data matrix X, and they are updated in real time as the PG loop runs. Ideally, we want
However, as the mix of BIC search and grid search comes into our design, the concept of warm-start becomes intricate. Furthermore, dependence on MoMA::u and MoMA::v as solutions to the current or last penalized SVD problem might be a gotcha.
So lets remove MoMA::u/v and let outside code (wrt to MoMA internal code) take care of warm-start.
At the very beginning, we include
u
andv
as members ofMoMA
to facilitate warm-start. They are initialized to be the SVD of data matrix X, and they are updated in real time as the PG loop runs. Ideally, we wantHowever, as the mix of BIC search and grid search comes into our design, the concept of warm-start becomes intricate. Furthermore, dependence on
MoMA::u
andMoMA::v
as solutions to the current or last penalized SVD problem might be a gotcha.So lets remove
MoMA::u/v
and let outside code (wrt to MoMA internal code) take care of warm-start.