Incrementing robust with different cost function #166
Merged
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Made process term sum of squares, and balanced process and measurement terms, as in Aravkin2013: https://jmlr.org/papers/volume14/aravkin13a/aravkin13a.pdf
There is an equation for how to balance terms in the Huber loss case, but$c_2 \to \infty$ as $\kappa \to 0$ , where I believe kappa is equivalent to my $c_2$ approach $\sqrt{2}$ ? I'll ask @saravkin on Friday along with possible specialized interior point solver stuff.
huberM. That doesn't make sense to me, because as kappa or M goes to 0, huber becomes the 1 norm, so shouldn't