On Tue, Nov 23, 2010 at 04:33:00PM +0100, Sebastian Walter wrote: > At first glance it looks as if a relaxation is simply not possible: > either there are additional rows or not. > But with some technical transformations it is possible to reformulate > the problem into a form that allows the relaxation of the integer > constraint in a natural way.
> Maybe this is also possible in your case? Well, given that it is a cross-validation score that I am optimizing, there is not simple algorithm giving this score, so it's not obvious at all that there is a possible relaxation. A road to follow would be to find an oracle giving empirical risk after estimation of the penalized problem, and try to relax this oracle. That's two steps further than I am (I apologize if the above paragraph is incomprehensible, I am getting too much in the technivalities of my problem. > Otherwise, well, let me know if you find a working solution ;) Nelder-Mead seems to be working fine, so far. It will take a few weeks (or more) to have a real insight on what works and what doesn't. Thanks for your input, Gael _______________________________________________ NumPy-Discussion mailing list NumPy-Discussion@scipy.org http://mail.scipy.org/mailman/listinfo/numpy-discussion
