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Adding Multi-Task ElasticNet support#194

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PABannier wants to merge 29 commits intorust-ml:masterrust-ml/linfa:masterfrom PABannier:mtl_elastic_netPABannier/linfa:mtl_elastic_netCopy head branch name to clipboard

+637-40

Commits

Commits on Jan 19, 2022

• added block coordinate descent function

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• added duality_gap_mtl computation

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• ENH cd pass to be consistent with bcd

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• added prox operator for MTL Enet

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• added helper functions for tests

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• fix failing CD tests

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• working ent mtl penalties

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• bcd lower objective test pass

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• added MultiTaskEnet struct

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• added MTENET documentation

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• added API MTENET

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• added variance, z-score, conf interval for multitask ENET

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Commits on Jan 22, 2022

• added multi-task estimators

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• added tests for MTL

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Commits on Jan 23, 2022

• pass comments

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• CLN files

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• cleaner implementation

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• cln tests

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Commits on Feb 19, 2022

• changed map into fold

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• added tests for Enet and MTL

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• added incorrect target shape

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• WIP: made variance params generic over the number of tasks

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Commits on Feb 20, 2022

• added z_score and confidence_95th for MTL

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• map instead of fold

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• fix confidence interval and z-score

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Commits on Feb 21, 2022

• converted back fold to map

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Commits on Mar 3, 2022

• pass comments

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Commits on Mar 20, 2022

• Merge branch 'master' of https://github.com/PABannier/linfa into mtl_elastic_net

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• WIP make compute_variance generic over the dimension

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