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ENH - Add Pinball datafit #134

Merged
merged 31 commits into from
Dec 9, 2022
Merged

ENH - Add Pinball datafit #134

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413ef54
remove sqrt n_samples
Badr-MOUFAD Nov 30, 2022
2ef5eb7
update unittest
Badr-MOUFAD Nov 30, 2022
5c0bedc
info comment statsmodels
Badr-MOUFAD Dec 1, 2022
ca6ece7
add prox subdiff to sqrt df
Badr-MOUFAD Dec 1, 2022
a6303e5
implement ``PDCD_WS``
Badr-MOUFAD Dec 1, 2022
e8fcee3
r sqrt_n from CB
Badr-MOUFAD Dec 1, 2022
339e98f
Merge branch 'r-sqrt-n' of https://github.com/Badr-MOUFAD/skglm into …
Badr-MOUFAD Dec 1, 2022
19a0ea9
bug w and subdiff
Badr-MOUFAD Dec 1, 2022
e01451d
unittest sqrt
Badr-MOUFAD Dec 1, 2022
dd36b88
add docs
Badr-MOUFAD Dec 1, 2022
523419b
fix docs SqrtQuadratic
Badr-MOUFAD Dec 1, 2022
71de179
Merge branch 'main' of https://github.com/scikit-learn-contrib/skglm …
Badr-MOUFAD Dec 2, 2022
63a547b
subdiff --> fixed_point
Badr-MOUFAD Dec 4, 2022
f78d17d
efficient prox conjugate && fix tests
Badr-MOUFAD Dec 5, 2022
d0ae3a4
remove go
Badr-MOUFAD Dec 5, 2022
ad36485
MM remarks
Badr-MOUFAD Dec 5, 2022
f60bd59
fix test && clean ups
Badr-MOUFAD Dec 5, 2022
5a5f1ba
MM round 2 remarks
Badr-MOUFAD Dec 5, 2022
4f27c56
CI Trigger
Badr-MOUFAD Dec 5, 2022
fe45faa
implement pinball
Badr-MOUFAD Dec 6, 2022
3ce886f
unittest
Badr-MOUFAD Dec 6, 2022
6928502
fix pinball value && ST step
Badr-MOUFAD Dec 6, 2022
1271288
more unittest
Badr-MOUFAD Dec 6, 2022
bd1984a
fix bug prox pinball
Badr-MOUFAD Dec 6, 2022
36100c7
Merge branch 'main' of https://github.com/scikit-learn-contrib/skglm …
Badr-MOUFAD Dec 8, 2022
1a03c60
MM remarks
Badr-MOUFAD Dec 8, 2022
4b3ea45
Update skglm/experimental/quantile_regression.py
mathurinm Dec 8, 2022
9cf2216
pinball expression
Badr-MOUFAD Dec 8, 2022
626b71d
Merge branch 'pinball-df' of https://github.com/Badr-MOUFAD/skglm int…
Badr-MOUFAD Dec 8, 2022
8e93720
sqrt --> pinball
Badr-MOUFAD Dec 8, 2022
0a247f0
quantile --> quantile_level
Badr-MOUFAD Dec 9, 2022
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r sqrt_n from CB
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@Badr-MOUFAD
Badr-MOUFAD committed Dec 1, 2022
commit e8fcee3f49841d2f62d75393e1f7897e62631540
2 changes: 1 addition & 1 deletion skglm/experimental/tests/test_sqrt_lasso.py
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Original file line number Diff line number Diff line change
Expand Up @@ -49,7 +49,7 @@ def test_prox_newton_cp():
n_samples, n_features = 50, 10
X, y, _ = make_correlated_data(n_samples, n_features, random_state=0)

alpha_max = norm(X.T @ y, ord=np.inf) / (np.sqrt(n_samples) * norm(y))
alpha_max = norm(X.T @ y, ord=np.inf) / norm(y)
alpha = alpha_max / 10
clf = SqrtLasso(alpha=alpha, tol=1e-12).fit(X, y)
w, _, _ = _chambolle_pock_sqrt(X, y, alpha, max_iter=1000)
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