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Elastic Net Sparse co-ordinate descent doesn't take the maxium of the absolute value of the weight #10992

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Craigacp opened this issue Apr 17, 2018 · 2 comments

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@Craigacp
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@Craigacp Craigacp commented Apr 17, 2018

In cd_fast.pyx, the function sparse_enet_coordinate_descent at lines 483 & 484 doesn't take the absolute value of the weight to check the max, it uses the signed value. This means it will ignore negative updates, and probably trigger the duality gap check more frequently than it should. Looking at lines 270 and 271 of enet_coordinate_descent the absolute value of the weight is used.

I think this is a replica of issue #283, which was fixed many years ago in enet_coordinate_descent, enet_coordinate_descent_gram and enet_coordinate_descent_multi_task.

agramfort added a commit to agramfort/scikit-learn that referenced this issue Apr 18, 2018
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@agramfort agramfort commented Apr 18, 2018

@Craigacp can you check #10995 if this is what you suggested?

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@Craigacp
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@Craigacp Craigacp commented Apr 18, 2018

@agramfort, yep that's it. Sorry I couldn't do a pull request, it would have taken a while to get approval from my management.

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