Solver: Iterative Hessian Sketch #119
Open
Conversation
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Codecov Report✅ All modified and coverable lines are covered by tests. 📢 Thoughts on this report? Let us know! |
vp314
reviewed
Nov 26, 2025
Contributor
vp314
left a comment
vp314
left a comment
There was a problem hiding this comment.
Minor changes requested. One small addition to the code base to check that the rows of the coefficient matrix exceed the columns. Another test change addition to see if everything works when the dimension of the compression is larger than the number of rows of the coefficient matrix.
Comment on lines
+219
to
+225
| solver.R = UpperTriangular(qr!(solver.mat_view).R) | ||
| # Compute first R' solver R'R x = g | ||
| ldiv!(solver.buffer_vec, solver.R', solver.gradient_vec) | ||
| # Compute second R Solve Rx = (R')^(-1)g will be stored in gradient_vec | ||
| ldiv!(solver.gradient_vec, solver.R, solver.buffer_vec) | ||
| # update the solution | ||
| # solver.solution_vec = solver.solution_vec + alpha * solver.gradient_vec |
Contributor
There was a problem hiding this comment.
We should add "Iterative Hessian Sketch" to the wiki page (either v0.2 or v0.3, your choice). And indicate that we want to allow alternative subsolvers in the inner loop.
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
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Outdated suggestions cannot be applied.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.
This pull request implements Iterative Hessian Sketch solver from Pilanci and Wainwright. The commit includes:
complete_solverfunctionrsolve!function