Compute and use dual_gap
in coordinate descent solver
#6759
Labels
cuml-accel
Issues related to cuml.accel
improvement
Improvement / enhancement to an existing function
Linear Models
Sklearn's coordinate descent solver computes and uses the
dual_gap
as part of its stopping criteria, while ours does not. This causes a few problems:cuml.accel
layer, our exposed estimators lack adual_gap_
fitted attribute, exposing the difference between the primary and the dual as a result of the fit. We tried to patch around this in Supportdual_gap_
onElasticNet
&Lasso
#6714, but it came with a performance cost and didn't make sense if the computed value wasn't being used in the solver.tol
parameter differs between solvers. Currently we work around that by scaling thetol
parameter when converting to/from sklearn's parameters. If our solver's had similar stopping criteria we wouldn't need to do this, and could better guarantee functionally equivalent results.Since we'll need to look into the solver anyway in #6736, I think we should consider making this change to better improve compatibility with sklearn's
ElasticNet
/Lasso
implementations.The text was updated successfully, but these errors were encountered: