Sparse solver for OLS

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#7,806 2 comments 0 reactions 0 assignees View on GitHub

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Assessment

Difficulty
5/5
Estimated time
Over a week
Newbie friendliness
25/100
Issue type
Feature
Clarity
Needs clarification
Activity status
Stale
Tech stack
python
Domain
data, performance

Research direction

Start by locating the Python OLS estimation path and examining how models with many discrete factors construct and solve the LSH. Research a suitable sparse solver and compare it with the current calculation on a large-factor case. Done means the sparse case estimates correctly and improves the reported calculation speed.

Written by the indexing model from the issue text.

Description

comp-regression type-enh

In OLS estimation, when the number of discrete factors in the model is large, the estimation is too slow.
It is better to add sparse solver to speedup the calculation because LSH of the model is sparse for this case.

Dominant language
Python
Stars
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Forks
3.6k
Avg merge
7h 37m
Merged PRs (30d)
96

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