Optimization of shareglrm

madeleineudell / LowRankModels.jl

LowRankModels.jl is a julia package for modeling and fitting generalized low rank models.

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Optimization of shareglrm #10

Closed alejandroschuler closed 9 years ago

alejandroschuler commented 9 years ago

Added lots of comments
Removed inefficient re-computation of XY

madeleineudell commented 9 years ago

Beautiful! I like the comments, and particularly the use of unicode characters to describe the math.

And yes: those are indeed sketchy constants, aimed at taking larger steps when possible and smaller ones when necessary. I tested a fair bit to select them, but there's no theoretical justification.

madeleineudell commented 9 years ago

a few modifications preceded the merge:

moved new regularizers over from loss_and_reg.jl to regularizers.jl
deleted sumone regularizer in favor of simplex regularizer
fixed shareglrm so it's still thread safe while using faster objective evaluation