FIX make PDCD_WS solver usable in GeneralizedLinearEstimator (#274)

Co-authored-by: Badr-MOUFAD <[email protected]>

Author: mathurinm

skglm/experimental/pdcd_ws.py

@@ -82,13 +82,17 @@ class PDCD_WS(BaseSolver):
     _datafit_required_attr = ('prox_conjugate',)
     _penalty_required_attr = ("prox_1d",)
 
-    def __init__(self, max_iter=1000, max_epochs=1000, dual_init=None,
-                 p0=100, tol=1e-6, verbose=False):
+    def __init__(
+        self, max_iter=1000, max_epochs=1000, dual_init=None, p0=100, tol=1e-6,
+        fit_intercept=False, warm_start=True, verbose=False
+    ):
         self.max_iter = max_iter
         self.max_epochs = max_epochs
         self.dual_init = dual_init
         self.p0 = p0
         self.tol = tol
+        self.fit_intercept = fit_intercept  # TODO not handled
+        self.warm_start = warm_start  # TODO not handled
         self.verbose = verbose
 
     def _solve(self, X, y, datafit, penalty, w_init=None, Xw_init=None):

skglm/experimental/tests/test_quantile_regression.py

@@ -3,6 +3,7 @@
 from numpy.linalg import norm
 
 from skglm.penalties import L1
+from skglm import GeneralizedLinearEstimator
 from skglm.experimental.pdcd_ws import PDCD_WS
 from skglm.experimental.quantile_regression import Pinball
 from skglm.utils.jit_compilation import compiled_clone
@@ -37,6 +38,13 @@ def test_PDCD_WS(quantile_level):
     ).fit(X, y)
 
     np.testing.assert_allclose(w, clf.coef_, atol=1e-5)
+    # test compatibility when inside GLM:
+    estimator = GeneralizedLinearEstimator(
+        datafit=Pinball(.2),
+        penalty=L1(alpha=1.),
+        solver=PDCD_WS(),
+    )
+    estimator.fit(X, y)
 
 
 if __name__ == '__main__':