tlverse/hal9001

making HAL faster

nhejazi opened this issue · 1 comments

clever things that might help us be fast:

  • lassi_fit_cd should accept an index and perform fitting on that subset
  • make things into a core class as per #20
  • benchmark further cases of n, p for how lassi is performing vs glmnet
  • coordinate descent wrt cv-risk -- only do things that minimize cv-risk
  • use of R code for cv_lasso might be (probably is) causing significant delays
  • could consider moving CV steps into RcppParallel instead of origami
  • Wainwright http://jmlr.csail.mit.edu/papers/volume17/15-605/15-605.pdf

Stale -- closing since we've deprecated lassi as of v0.4.0+