sparse_ho.algo.Forward

class sparse_ho.algo.Forward(use_stop_crit=True, verbose=False)

Algorithm to compute the hypergradient using forward differentiation of proximal coordinate descent.

The algorithm jointly and iteratively computes the regression coefficients and the Jacobian using forward differentiation of proximal coordinate descent.

Parameters
use_stop_crit: bool, optional (default=True)

Use stopping criterion in hypergradient computation. If False, run to maximum number of iterations.

verbose: bool, optional (default=False)

Verbosity of the algorithm.

__init__(use_stop_crit=True, verbose=False)

Initialize self. See help(type(self)) for accurate signature.

Methods

__init__([use_stop_crit, verbose])

Initialize self.

compute_beta_grad(X, y, log_alpha, model, …)

Compute beta and hypergradient, with forward differentiation of proximal coordinate descent.