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fboehm / openFHDQR

Open-source implementation of ADMM algorithms for penalized quantile regression in Gu, et al. 2018 Technometrics
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update_beta_padmm output differs drastically from that of update_beta_padmmR (ie, cpp output differs from R output!) #4

Open fboehm opened 3 years ago

fboehm commented 3 years ago

Need to write tests to ensure fair & reproducible comparisons, but this is likely a bug in the cpp code for the update_beta_padmm C++ function

fboehm commented 3 years ago

It might even be a bug in the convert.cpp functions! Ugh.

fboehm commented 3 years ago

https://stackoverflow.com/questions/20435561/converting-between-numericvector-matrix-and-vectorxd-matrixxd-in-rcppeigen-to

fboehm commented 3 years ago

Here is the C++ code for fastLm: https://github.com/RcppCore/RcppEigen/blob/master/src/fastLm.cpp