[Gretl-devel] Re: lasso package available for testing
Am 05.12.2019 um 23:22 schrieb Allin Cottrell:
I've been working lately on a lasso package for gretl. It's
not at the
point of uploading for approval (among other things, it doesn't have a
GUI hook yet) but I'd be grateful if anyone is willing to try some
testing and give me feedback.
Hi Allin, great news of course!
I haven't tested yet, just looked at the pdf and code a little. Very
interesting that you are doing a hansl package for that instead of pure
C, at least as the middle layer. One question about the syntax w.r.t.
the hidden backend:
err = _admm_lasso(X, Y, ret)
apparently stuffs results into 'ret'. From a Hansl point of view it is
of course strange that you can pass ret without pointerizing it then.
Another question concerning your speed discussion in the pdf: The
numbers sound quite good. But you just say "glmnet is faster" without
any number there. What factor are we roughly talking about - 50%? 100%?
thanks
sven