Hello,
I was looking at the unit test for the function "graph_lasso":
"test_graph_lasso". It seems that the method (solver) should be passed to the
function "graph_lasso" using the parameter "mode". The unit test is testing
for multiple alpha values and for both methods "cd" and "lars" but the function
"graph_lasso" is always called with mode='cd'.
If you pass the solver method to "graph_lasso" then it starts failing with
alpha=0.01 and method='lars' because the costs (values of the objective
function) don't always decrease. The estimated covariance matrix is also not
almost equal between the two methods so that test fails too.
Is what I am seeing a "miss"? I am more than happy to try to fix the unit test
but I would need some pointers as I am new to this project.
Laurent
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