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Improvements for WeightedLasso class

Open mathurinm opened this issue 3 years ago • 1 comments

  • [x] find new name for class as it will handle enet
  • [x] add support for generic triplet penalty(w, alpha), prox(w[j], alpha, stepsize), kkt_violation(XtR, alpha) to handle any penalty (maybe we should pass a Penalty jit class instead ?)
  • [ ] be aware that WeightedLasso needs a array to work correctly
  • [ ] pass scikitlearn's check_estimator
  • [x] in path, keep XtR (to be called gradient later on, for generic datafits) up to date (it's computed at first iteration for WS creation, and before exit to check KKT)

mathurinm avatar Jun 07 '21 06:06 mathurinm

@QB3 I have edited the todolist for monday's sprint, feel free to add stuff. I think having a functional enet at the end of the day would be nice and useful for the community !

mathurinm avatar Jun 16 '21 06:06 mathurinm