statsmodels / statsmodels/statsmodels
repeated calculations for score, hessian
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- Python
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Description
joint calculation of hessian and gradient was discussed and removed in #409
clogit (by Ana) also has a more elaborate calculation for xbetas, that are repeated.
We need to check if we gain much by trying to streamline the calculations during the optimization.
(and we have a vbench essentially ready for usage)
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Review the prior discussion in issue #409 and inspect the clogit implementation, especially its repeated xbetas, score, and Hessian calculations. Use the available vbench to measure optimization performance before and after any proposed streamlining; done means demonstrating a meaningful gain or documenting that the added complexity is not worthwhile.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- python
- Domain
- performance
- Issue type
- Refactor
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 20/100