solve linear system rather than explicitly computing inverse #286
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🎉 I love this PR! Great optimization, @davegolland Merging now. |
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Awesome, thanks for merging! What is the release cadence? I'm wondering when I can start relying on this patch. |
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Mm, a new release won't come out for a few months I suspect. You could directly use |
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It is reported that the AalenAdditiveFitter is extremely slow for large matricies. Digging in, it seems like the solution to the ridge regression was explicitly computing the inverse, which is often unnecessary in practice. This PR should reduce the runtime from O(n^3) to O(n^2) by not computing the inverse and instead solving the system of equations directly.