Add IRLS algorithm - Githubissues

dajmcdon / rtestim

https://dajmcdon.github.io/rtestim/

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Closed jiapivialiu closed 1 year ago

jiapivialiu commented 1 year ago

Add c++ code of iteratively reweighted least squares (IRLS) (with ADMM) algorithm.
Update R wrappers.
Update methods in R.
Run check and fix minor errors in tests.
Use faster computation for divided difference matrix and vector multiplication (e.g., Dv, D^tv, D^tD*v).

dajmcdon commented 1 year ago

@jiapivialiu There's a bug here that's troublesome, so I had to revert this PR. You'll need to test and reopen.