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ENH add support for ncvreg #113

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ENH add support for ncvreg #113

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jolars
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@jolars jolars commented May 20, 2022 •
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This pull request adds support for ncvreg, but it's a work in progress. The solver sometimes works fine:

image

But sometimes it fails to converge:

image

jolars and others added 27 commits November 30, 2021 16:17
@jolars
Fix bug in glmnet solver
3232c37
@mathurinm
add debug script
df67ce6
@mathurinm
add computation of objective functions
6aa76de
@mathurinm
test that for lambda just below lambda max both solutions are non zero
47ed265
@jolars
Drop unnecessary computation of lambda_max
4d24648
@jolars
Harmonize lambda scaling for glmnet solver
fed8fa4
@jolars
Merge branch 'main' of github.com:jolars/benchmark_lasso
93f5a40
@jolars
Switch benchopt method to use tolerance instead
790607a
@mathurinm
tweaks to test_glmnet
8f947d8
@mathurinm
change glmnet criterion to use a higher patience
1be208a
@mathurinm
faster tol decrease for glmnet, try to have common initial point
46f6f04
@mathurinm
increase patience again
68a379c
@mathurinm
get common starting point, comment code
c57994d
@mathurinm
CLN remove test_glmnet.py
43723de
@mathurinm
more comments on glmnet behavior
5fa72e9
@tomMoral
Update solvers/glmnet.py
96e5292
@jolars
Merge branch 'main' of github.com:benchopt/benchmark_lasso
f182a0b
@jolars
Merge branch 'main' of github.com:benchopt/benchmark_lasso
749dacf
@jolars
Merge branch 'main' of github.com:benchopt/benchmark_lasso
e9da0b3
@jolars
Merge branch 'main' of github.com:benchopt/benchmark_lasso
a721f82
@jolars
fix(ci): try to fix failing MacOS julia tests
704f1ea
@jolars
Merge branch 'main' of github.com:benchopt/benchmark_lasso
5670ac5
@jolars
Merge branch 'main' of github.com:benchopt/benchmark_lasso
227a574
@jolars
Merge branch 'main' of github.com:benchopt/benchmark_lasso into ncvreg
3e1e936
@jolars
ENH add support for ncvreg
d4bb5a1
@jolars
FIX break arguments of function to appease linter
0f01922
@jolars
Revert "fix(ci): try to fix failing MacOS julia tests"
75e9b80 
This reverts commit 704f1ea.
@josephsalmon
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Any update on that one? Do we still have convergence issues ?

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4 participants
@jolars @josephsalmon @mathurinm @tomMoral