willwerscheid / flashier

A faster and angrier package for EBMF.
https://willwerscheid.github.io/flashier/
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allow for different update styles #128

Open willwerscheid opened 5 months ago

willwerscheid commented 5 months ago

Currently the order of updates in backfits are l1, f1, l2, f2, ..., lk, fk. explore using:

  1. l1, l2, ..., lk, f1, f2, ..., fk
  2. (l1, l2, ..., lk) n times or until some convergence criterion is reached, (f1, f2, ..., fk) possibly also multiple times

(2) should give us some speed-up since we can re-use the computation of YF and Y'L over iterations. See Gillis's book, Algo 8.2 and text for example.