Improved solvers - Githubissues

JuliaAI / MLJLinearModels.jl

Generalized Linear Regressions Models (penalized regressions, robust regressions, ...)

MIT License

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Improved solvers #10

Open tlienart opened 5 years ago

tlienart commented 5 years ago

Quantile, LAD regression

ADMM should work but if requires adapting rho then needs refactoring of H often which is wasteful, could imagine doing CG for that bit but that would also end up being expensive see also #8
MM and other algorithms see issue #3 and #4
IP Method with or without pre-proc ox-code
Frisch-Newton (for L1 reg may be good) ref

NewtonCG, IWLSCG

should add a field where the user can specify :cg or :minres or something else, unlikely it would make a big difference in perf though.