Add observation weights #29
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Just a quick scan but this all looks reasonable. If we can add some tests and it passes, this should be an easy merge. |
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Hi mentor, I am finishing poisson and am going to finish this one right away. |
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@wzzlcss, is there anything else you wanted to do on this PR or should I go ahead and merge it? |
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Hi mentors, this PR implements observation weights. The changes I am making are multiplying sample weights to gradient, loss and changing to weighted mean in null model, as well as add weight when computing maximum column norm for step size and largest lambda. It seems that glmnet's largest lambda is different.