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mathurinm / andersoncd

This code is no longer maintained. The codebase has been moved to https://github.com/scikit-learn-contrib/skglm. This repository only serves to reproduce the results of the AISTATS 2021 paper "Anderson acceleration of coordinate descent" by Quentin Bertrand and Mathurin Massias.
BSD 3-Clause "New" or "Revised" License
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ENH : add reweightedL1 solver with CV #34

Open mathurinm opened 3 years ago

mathurinm commented 3 years ago

It's a hanging PR so far in celer (https://github.com/mathurinm/celer/pull/169, not merged due to speed regression and it does not handle 0 weights). I think it would be very useful for non convex penalties too.

QB3 commented 3 years ago

I was wondering if we could do a generic l1 reweighting for an penalty with weights arguments, this way could think of reweighted Huber or reweighted lad lasso