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JuliaAI / MLJLinearModels.jl

Generalized Linear Regressions Models (penalized regressions, robust regressions, ...)
MIT License
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MAD/LAD regression #3

Closed tlienart closed 5 years ago

tlienart commented 5 years ago

admm

could probably also benchmark against sequence of Huber estimators with delta going to zero

tlienart commented 5 years ago

should implement line for line the matlab version and see if it works

also https://github.com/yixuan/ADMM/blob/master/src/ADMMLAD.h

tlienart commented 5 years ago

closing for now, current implementation is satisfactory, may come back to fix admm/fadmm