Modify c++ functions of two algorithms - Githubissues

dajmcdon / rtestim

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

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Modify c++ functions of two algorithms #38

Closed jiapivialiu closed 1 year ago

jiapivialiu commented 1 year ago

Estimates of two generic algorithms -- linearized ADMM and proximal Newton -- now are very close to each other. Here are some changes being made.

Fix lambda_max by dividing it by n for ADMM.
Change algorithm name from IRLS to proximal Newton.
Use a fixed weight matrix for inner loop of proximal Newton.
Run small numbers of iteration in inner loop of proximal Newton.
Fix degree values (0,1,2,...).
Add a few checks in c++ functions.
Document c++ functions.
Add c++ tests on two algorithms.