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Support sparse matrices

Open PABannier opened this issue 4 years ago • 1 comments

In high dimensional statistics, we usually rely on CSC and CSR arrays when matrices are very sparse. It is particularly for speeding up the coordinate descent procedure.

I can implement that in the ElasticNet subpackage if you find it worth it. What do you think?

PABannier avatar Jan 16 '22 19:01 PABannier

The sprs crate implements CSR matrices and is already used in linfa-kernel and linfa-processing. Integrating it into ElasticNet would be welcome.

YuhanLiin avatar Jan 19 '22 02:01 YuhanLiin