SLOPE

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We should use the duality gap as a stopping criterion instead of the pseudo-gap + infeasibility that we're currently using.

jolars

The SLOPE package appears to be slow for some people because they use R's internal BLACK/LAPACK packages, which are far inferior to OPENBLAS. If we switch to Eigen, we can...

jolars

`trainSLOPE()` appears to select the wrong optimum in terms of AUC.

jolars

adding only_noneros argument to coef()

3

Adding the argument 'only_nonzeros' to coef() to print only nonzero coefficients. GSoC 2021 task for the project 'Adding Adaptive Bayesian SLOPE (ABSLOPE) to the SLOPE Package'.

kushagragpt99

Add argument to `coef()` to print only nonzero coefficients.

1

Add argument to `coef()` to print only nonzero coefficients. Mock-up: ```r fit

jolars

Reconsider penalty scaling for SLOPE

5

In SLOPE version 0.3.0 and above, the penalty in the SLOPE objective is scaled depending on the type of scaling that is used in the call to `SLOPE()`. The behavior...

jolars

This is relatively easy to do with first-order methods but hard with ADMM.

jolars

It is possible that we might want to vary penalty parameter across iterations for the implementation in ADMM. See the excerpt below from the ADMM monograph by Boyd et al....

jolars