BENCH newton-lsmr solver for GLMs - inner stopping criterion#26707
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lorentzenchr wants to merge 40 commits intoscikit-learn:mainfrom
Draft
BENCH newton-lsmr solver for GLMs - inner stopping criterion#26707lorentzenchr wants to merge 40 commits intoscikit-learn:mainfrom
lorentzenchr wants to merge 40 commits intoscikit-learn:mainfrom
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- keep dtype float32 after LSMR - lower test precision in test_NewtonLSMRSolver_multinomial_A_b_on_3_classes
* SKLEARN_TESTS_GLOBAL_RANDOM_SEED="all" pytest -x
* for benchmarking of inner stopping criterion of inexact Newton methods
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This was referenced Jun 26, 2023
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Reference Issues/PRs
This PR is not for merge, but for analysis of #25462.
The newton-lsmr solver needs a good inner stopping criterion with a good forcing sequence. This is investigated here and benchmarks are run.
For stopping criteria of inexact Newton methods (mainly conjugate gradient for inner solver) see:
https://www.csie.ntu.edu.tw/~cjlin/papers/tncg/tncg.pdf
https://doi.org/10.1109/TNNLS.2020.3045836
Any other comments?
See added notebook Bench_Newton_LSMR.ipynb in this PR for analysis results.