custom gradient descent in Rcpp
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nhejazi commented
Currently (as of ebf0084), the LASSO fitting step of the HAL algorithm is a call to the cv.glmnet function from the R package glmnet. The results of simple benchmarks indicate that the vast majority of time spent on execution of a call to hal9001::fit_hal is spent in the cv.glmnet step (in fact, up to 95% of the total execution time).
Re-writing the LASSO in C++ with a Rcpp wrapper is a simple solution to this problem.