First off, thanks for this very useful package! The interface is smooth and the implementation is quite fast, even for large problems.
I've noticed that some papers make use of regularization penalties when fitting weights for KLIEP (see, e.g., §3.2 of this review). I wonder if it would be possible to incorporate L1, L2, and/or elastic net regularization into the KLIEP optimization? Something similar appears to be implemented for uLSIF.
First off, thanks for this very useful package! The interface is smooth and the implementation is quite fast, even for large problems.
I've noticed that some papers make use of regularization penalties when fitting weights for KLIEP (see, e.g., §3.2 of this review). I wonder if it would be possible to incorporate L1, L2, and/or elastic net regularization into the KLIEP optimization? Something similar appears to be implemented for uLSIF.