NEWS
swjm 0.1.2
- Corrected the stagewise update directions under the scaled penalties. The
argmax of the update objective over the scaled-penalty unit ball carries a
factor 1/xi on every death-model coordinate (scaled lasso and mixed-sign
cooperative branches: e_j sgn(g)/xi; group and same-sign cooperative
branches: (g_a, g_b/xi^2)/||(g_a, g_b/xi)||_2). Earlier versions used
unit-norm directions in rescaled gradient coordinates, which under-stepped
the death-model block by the rescaling factor at every iteration and
systematically over-shrank death-model coefficients.
- The gradient-rescaling factor is now frozen at its initial value, so each
fit emulates a single fixed scaled penalty and the solution paths are well
behaved.
- Results computed with earlier versions of the package will differ,
particularly death-model coefficient estimates and selection summaries.