shrinkage::RuntimeMultivariateProblem

Shrinkage for Rust · rust · 0.3.0

Source: src/problem/runtime.rs

pub type RuntimeMultivariateProblem<'a> = shrinkage::Problem<Box<dyn RuntimeDesign + 'a>, shrinkage::MultivariateGaussian<'a>, shrinkage::AxisPenalty<Box<dyn ProximalPenalty + 'a>>>;

Multivariate Gaussian fitting with a runtime-selected design and penalty.

crate::AxisPenalty specifies the coefficient layout and penalty axis. Each response has its own unpenalized intercept. The shared proximal solver fits all responses jointly, including penalties that couple them.