On Sun, Jul 21, 2013 at 1:41 PM, Kun Yang <kuny...@stanford.edu> wrote:
> The algorithm is not solving the normal equation as in the ordinary linear > regression. I did not detail the algorithm to solve the penalized > optimization in the paper. To solve the penalized version, I will use the > coordinate descent which is well documented in other paper (see Freedman's > paper, for 1000 variables, it takes ~1min to do cross validation in the R > package) and is very efficient. > > As I discussed in the conclusion section, to solve the problem with large > number of predictors, it is still a challenge even though in the single > machine or MPI version, but the proposed algorithm can handle the number of > variable at the order of 5000 and it covers lots of applications. > Should the document be updated to describe what you intend to do?
