Currently, we use the PGR objective that regularizes the correlation matrix A towards the identity. It's not clear why this is the "correct" thing to do. We propose to change the objective to simply the Gaussian + elastic net. This prepares us to integrate the penalty factor as well (#3).
Currently, we use the PGR objective that regularizes the correlation matrix A towards the identity. It's not clear why this is the "correct" thing to do. We propose to change the objective to simply the Gaussian + elastic net. This prepares us to integrate the penalty factor as well (#3).