Remove MoMA::u, MoMA::v #35
Labels
Algorithm Improvements
Improvements to core MoMA Algorithm
Parameter Selection
Issues / feature requests related to tuning parameter selection
At the very beginning, we include
u
andv
as members ofMoMA
to facilitate warm-start. They are initialized to be the SVD of data matrix X, and they are updated in real time as the PG loop runs. Ideally, we wantHowever, as the mix of BIC search and grid search comes into our design, the concept of warm-start becomes intricate. Furthermore, dependence on
MoMA::u
andMoMA::v
as solutions to the current or last penalized SVD problem might be a gotcha.So lets remove
MoMA::u/v
and let outside code (wrt to MoMA internal code) take care of warm-start.The text was updated successfully, but these errors were encountered: