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Better optimisation method for Dixon-Coles model #1
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I think Currently I'm thinking a method kind of like this might work well:
I guess there could be some difficulties/annoyances with the penalty weights. These would probably need to be customisable either through some Sequential solutions with increasing penalty weights should also be considered. In this case each constraint could return a function that takes a weight and returns a penalty function (or just takes weight as an argument - maybe this is more idiomatic in R?). |
Another thought: adding constraints to team parameters could be annoying. One potential solution would be to look for parameters named by |
The easiest way to make model fitting faster is probably to compute the gradient of the the objective function, rather than relying on gradient-free methods... |
Potentially a dumb idea, but given it's just matrices, could try any use the rstudio/keras api?? |
Closing for now since the kind of optimisation improvements I want would be their own project... |
Use an optimisation routine that enforces the constraints that make the Dixon-Coles model identifiable.
Ideally this would allow arbitrary constraints to be added to additional predictor variables specified in
dixoncoles_ext
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