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use eigen leads for solving lasso
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anujanegi committed Dec 11, 2024
1 parent 515539e commit 36e22b9
Showing 1 changed file with 3 additions and 1 deletion.
4 changes: 3 additions & 1 deletion bsi_zoo/estimators.py
Original file line number Diff line number Diff line change
Expand Up @@ -594,10 +594,12 @@ def gprime(w):

alpha = alpha * alpha_max

eigen_fields, sing, eigen_leads = _safe_svd(L, full_matrices=False)

# y->M
# L->gain
x = _solve_reweighted_lasso(
L, y, alpha, n_orient, weights, max_iter, max_iter_reweighting, gprime
eigen_leads, y, alpha, n_orient, weights, max_iter, max_iter_reweighting, gprime
)

return x
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