search

mathurinm / celer

Fast solver for L1-type problems: Lasso, sparse Logisitic regression, Group Lasso, weighted Lasso, Multitask Lasso, etc.
https://mathurinm.github.io/celer/
BSD 3-Clause "New" or "Revised" License
198 stars 32 forks source link

ENH use Xw - y instead of y - Xw as dual point #246

Open mathurinm opened 2 years ago

mathurinm commented 2 years ago

This is the classic Fenchel-Rockafellar primal dual link. It will be easier to check the maths, notably in the enet case.

Badr-MOUFAD commented 2 years ago

I think we better stick with the convention y-Xw. It is adopted entirely in code, plus all [my] the established equations follow it. So, there are no conflicts between what is implemented in the solver and the [new] equations.

P.S: refer to the maths snippets