quantile_lasso or gurobi seems sensitive to floating number precision

[jingjtang]

We ran into the error

Error in .local(x, i, j, ..., value) : 
  not-yet-implemented 'Matrix[<-' method

when using quantile_lasso using test.rds.

This is the script that I used test.R

We will see the error mentioned above if run the training with quantile_lasso. If we explore further into the error, we will know that gurobi tells us that this problem is INFEASIBLE.

However, we won't run into the same error if we do either of the thing listed below:

• replace tau=0.9 to tau=0.900001
• replace gurobi with glpk
• change the precision of the floating number by saving and re-loading the data using save.csv and read.csv

This seems weird.