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Investigate SAG/SAGA solver

See original GitHub issue

Description

The newly introduced tight tests for Ridge in #22910 together with the random seed fixture in #22749 revealed some shortcomings of the sag and saga solver:

~~It shows some random behavior even with fixed random seed.~~
The tol needs to be set much smaller to receive comparable results with the other solvers of Ridge.

Ideally, the cause for both issues can be identified and fixed.

Some links for context

https://github.com/scikit-learn/scikit-learn/issues/23014 https://github.com/scikit-learn/scikit-learn/pull/23017 https://github.com/scikit-learn/scikit-learn/pull/23026 https://github.com/scikit-learn/scikit-learn/pull/23152 #23177

Issue Analytics

State:
Created a year ago
Comments:6 (6 by maintainers)

Top GitHub Comments

1reaction

TomDLTcommented, Dec 2, 2022

could this be connected to #24679 ?

No. The linked issue is a potential mistake on the prox operator in SAGA. However, the prox operator is not used in Ridge, because the prox operator is only used for L1 regularization. Therefore, this potential mistake should not affect Ridge convergence.

edit: #24679 was not a mistake.

0reactions

glevvcommented, Oct 28, 2022

could this be connected to #24679 ?

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