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maxIt=max.auc or min.aum #6

Merged
merged 9 commits into from
May 12, 2023
Merged

maxIt=max.auc or min.aum #6

merged 9 commits into from
May 12, 2023

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tdhock
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@tdhock tdhock commented Apr 10, 2023

Two new variants for line search: keep going until

  • AUC starts decreasing, aum_line_search(maxIterations="max.auc")
  • AUM starts increasing, aum_line_search(maxIterations="min.aum")
    In both cases we only return information for the best step size (not all step sizes, as is the case when maxIterations is positive).
    TODO document quadratic worst case time complexity.

@tdhock tdhock requested a review from phase April 10, 2023 23:03
@tdhock tdhock merged commit ce30aad into main May 12, 2023
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