Looser gap tolerenace and don't use informationless observations en n…

…pqreg. (#41)
pkofod · May 4, 2020 · 0bf6bbd · 0bf6bbd
1 parent ecac6eb
commit 0bf6bbd
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Showing 2 changed files with 6 additions and 6 deletions.
diff --git a/src/InteriorPoint.jl b/src/InteriorPoint.jl
@@ -46,7 +46,7 @@ b = X'x
 
 # Set some constants
 beta = 0.99995
-small = 1e-8
+small = 1e-6
 max_it = 500
 n, m = size(X)
 # Generate inital feasible point
@@ -56,7 +56,6 @@ if method.cholesky
 else
     y = -X\Y
 end
-
 dy = copy(y)
 r = c - X*y
 BLAS.axpy!(0.001, (r .== 0.0).*1.0, r)

diff --git a/src/npqreg.jl b/src/npqreg.jl
@@ -5,16 +5,17 @@ function npqreg(y, x, tau, method=IP(); m=50, h=2, xrange=nothing)
 	end
 	z = copy(x)
 	Z = hcat(fill(1, length(x)), z)
-
 	ghat = copy(xrange)
 	dghat = copy(xrange)
 	for i in 1:length(xrange)
 	  z .= x .- xrange[i]
 	  Z[:, 2] .= z
 
-	  w = clamp.(pdf.(Normal(), z./h), eps(T), T(Inf))
-	  wy = w.*y
-	  wZ = w.*Z 
+	  w = pdf.(Normal(), z./h)
+	  widx = findall(x-> x > eps(T), w)
+	  w = w[widx]
+	  wy = w.*y[widx]
+	  wZ = w.*Z[widx, :]
 
 	  r = qreg_coef(wy, wZ, tau, method)