Hi,
I went through the enet_coordinate_descent function in cd_fast.pyx. I have
some questions which are noobish but I'll go ahead and ask them anyway.
It seems in L176 in each cycle, each omega_j is updated as
[image: \frac{\omega_{j}\sum_{i = 1}^n(X_{i}^j)^2 - \alpha + \sum_{i = 1}^n
(y_{i} - X'\omega)(X_{j}^i)}{\sum_{i = 1}^n X_{i}^j+ \beta}]
...1]
when the term other than alpha in the numerator is greater than, alpha
(correct me if I'm wrong)
When I went through the wikipedia article, and from my previous knowledge,
don't we just do partial derivative of the cost function with respect to
omega_{j} and equate it to zero for one cycle of iterations.
The cost function is
1 norm(y - X w, 2)^2 + alpha norm(w, 1) + beta norm(w, 2)^2
- ----
2 2
If we differentiate this with respect to w and equate to zero, shouldn't we
get something like
[image: -\frac{\alpha + \sum_{i = 1}^n (y_{i} - X'\omega)(X_{j}^i)}{\beta}]
I don't understand where I am going wrong
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