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loss increases sometimes #22

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dswah opened this issue Oct 17, 2016 · 1 comment

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dswah commented Oct 17, 2016 •

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on some real problems, we see that the negative log likelihood (with l1 penalty) increases.
the increase happens as a result of the update to theta.

here is a plot of the difference in loss after the update to theta. it looks like sometimes the loss increases!

but the lambda updates are protected by the backtracking:

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dswah commented Oct 17, 2016

the loss should NEVER increase due to a Theta update because the objective is convex and we have a closed-form solution for the update.

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