These are chat archives for elemental/chat

8th
Feb 2017
Ryan H. Lewis
@rhl-
Feb 08 2017 01:40
@poulson ping?
Is there any reason why we can’t further generalize elastic net to penalize l1||Gx||_1 + l2||Gx||_2 for a square matrix G.
or even two matrices G,H (where in my case G=H)
Ryan H. Lewis
@rhl-
Feb 08 2017 01:58
to make it simple, i’m thinking of G and H as diagonal matrices.
Looking at the EN code, it looks like I need to just patch up the corresponding bits of the objective function
Ryan H. Lewis
@rhl-
Feb 08 2017 02:03
If I change it to: l_1 ||Gx|| + l_2||Hx|| then I need to stick H on the upper two entries of the diagonal of Q in your EN function, and then (assuming G = diag(g)) stick the entries of g in where the first two array of ones are..
and H can be an arbitrary matrix. Not sure how to do the same thing for G here.. but, I don’t need it.
Jack Poulson
@poulson
Feb 08 2017 16:35
There's no reason that wouldn't be possible, but it wouldn't be "Elastic Net" anymore
it's still a QP
Ryan H. Lewis
@rhl-
Feb 08 2017 21:05
@poulson was thinking of doing elastic net with a regularizer. E.g. in ||Ax-b|| making ||(AP^{-1})Px-b|| then saying z = Px