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Fix ssr #559

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Fix ssr #559

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Commits on Sep 18, 2024

  1. fix(ssr): Reconcile indexing for history_ and err_history_ 

    Index alignment between coefficient and error histories was thrown off because
BaseOptimizer initializes history with an unregularized regression, used in
iterative nonconvex regressions.  However, SSR does not require an initial
guess.

This commit removes the initial guess from SSR history_ and adds a test.
    @Jacob-Stevens-Haas
    Jacob-Stevens-Haas committed Sep 18, 2024
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  2. tst: Modified SSR test to find a sparse model 

    Previously, SSR has simply been finding the 0-sparsity model.  Instead of the
algorithm in the paper, it was executing a Bayes Information Criterion-like
model selection, but with a very low l0 penalty.

This test asserts #532
    @Jacob-Stevens-Haas
    Jacob-Stevens-Haas committed Sep 18, 2024
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  3. fix(ssr): Select model by error inflection point 

    Closes #532

This commit implements the inflection point criteria from the SSR paper,
although still measuring training loss, rather than cross validation loss.
    @Jacob-Stevens-Haas
    Jacob-Stevens-Haas committed Sep 18, 2024
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  4. fix (ssr): Re-implement l0-based model seletion option 

    Also change test to use better-conditioned feature library, since l0 penalty
is based upon condition number.

Also, fix use of inflection point model selection.  Because error history is
reversed before calculating inflection index, index is from the end of the list

Also, extract calculating the index of inflection in SSR (+ tests)
    @Jacob-Stevens-Haas
    Jacob-Stevens-Haas committed Sep 18, 2024
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  5. fix(ssr): Include full model in model selection list. 

    Also, hack SSR through tests that provide single-feature data in the same
way that trapping was handled.
    @Jacob-Stevens-Haas
    Jacob-Stevens-Haas committed Sep 18, 2024
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