Add optimized Frisch-Newton solver and benchmark for quantile regression#1164
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mdizadi wants to merge 1 commit intopy-econometrics:masterfrom
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Add optimized Frisch-Newton solver and benchmark for quantile regression#1164mdizadi wants to merge 1 commit intopy-econometrics:masterfrom
mdizadi wants to merge 1 commit intopy-econometrics:masterfrom
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mdizadi
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Feb 4, 2026
mdizadi
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- Remove redundant to_array() and drop_multicol_vars() calls from Quantreg.get_fit() (already called in prepare_model_matrix())
- Add optimized solver with Cholesky factorization reuse (5-11% speedup)
- Add sparse solver for comparison (slower for typical problem sizes)
- Add benchmark script comparing all three solver implementations
- Add SPARSE_IMPLEMENTATION.md documenting analysis and findings
- Remove redundant to_array() and drop_multicol_vars() calls from Quantreg.get_fit() (already called in prepare_model_matrix()) - Add optimized solver with Cholesky factorization reuse (5-11% speedup) - Add sparse solver for comparison (slower for typical problem sizes) - Add benchmark script comparing all three solver implementations - Add SPARSE_IMPLEMENTATION.md documenting analysis and findings Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
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