custom IRLS implementation
nhejazi opened this issue · 1 comments
nhejazi commented
We need a custom implementation of iteratively re-weighted least squares (IRLS) in order to properly support the custom ("lassi") implementation of HAL when fitting GLMs other than with the Gaussian error family.
Currently, the custom implementation (fit_type = "origami") supports family = "gaussian" while cv.glmnet must be used when calling family = "binomial".
nhejazi commented
Stale -- closing since we've deprecated lassi as of v0.4.0+