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Extend adelie to support different penalties #109

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JamesYang007 opened this issue Jun 20, 2024 · 0 comments
Open
2 tasks

Extend adelie to support different penalties #109

JamesYang007 opened this issue Jun 20, 2024 · 0 comments
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code Code-related issues. documentation Improvements or additions to documentation enhancement New feature or request help wanted Extra attention is needed low-priority Low priority tasks. question Further information is requested

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@JamesYang007
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Other softwares seem to support a lot more penalties such as sparse group lasso (l1 + l2), MCP, SCAD. Think about how to abstract out penalty and constraints. This is tricky because a constraint class currently dictates how to perform the block-update, but it hard-codes the penalty to be elastic net.

Nice to haves:

  • The constraint classes should not be so tied to the penalty type.

API:

ad.grpnet(
    X=X,
    glm=ad.glm.gaussian(y),
    penalty=ad.penalty.elastic_net(alpha, penalty_factor),
    constraints=constraints,
)
  • We should be able to detect given a penalty and a constraint whether there exists a block-update function given these two.
@JamesYang007 JamesYang007 added documentation Improvements or additions to documentation enhancement New feature or request help wanted Extra attention is needed question Further information is requested low-priority Low priority tasks. code Code-related issues. labels Jun 20, 2024
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Labels
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