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Sorry, I've been meaning to reply to this for a while but it slipped deep into my pile of TODO's. When you say jitable, do you mean essentially taking it out of C++ and creating a loop that runs in python (but with JIT will be much faster)? If so, take a look at the implementation in scarlet lite:
It should be much easier for you to follow what's going on here, but ping me if you have any questions. |
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scarlet1 uses proximal operators for constraints, scarlet2 uses transformations. So, things like our good-old positivity constraint goes from
np.maximum(0, x)tojnp.exp(x). We could do the former still, but the latter has much better gradients.Now, is there a way to convert our very important monotonicity operator into a jitable transformation? I have doubts because there are a lot of of conditional replacements in the C layer of the operator. But maybe @fred3m has ideas?
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