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JuliaAI / MLJLinearModels.jl

Generalized Linear Regressions Models (penalized regressions, robust regressions, ...)
MIT License
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RidgeCV, can also use Hessenberg factorisation #39

Closed tlienart closed 4 years ago

tlienart commented 4 years ago

see https://github.com/JuliaLang/julia/pull/31853/files#diff-3a896b2398ad83022a6e197921c125c6R274-R277

Though it may be overkill to compute all of the theta for all lambdas and better to get a proxy for the GCV error and then compute just for that

tlienart commented 4 years ago

I think that's going to be much slower than the sherman morrison trick so closing for now