Add WyNDA online estimator#631
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ChrisRackauckas merged 1 commit intoJul 8, 2026
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Co-Authored-By: Chris Rackauckas <accounts@chrisrackauckas.com>
This was referenced Jul 8, 2026
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Summary
Ignore this PR until reviewed by @ChrisRackauckas.
This adds
WyNDAtoDataDrivenSparseas an online recursive least-squares estimator with exponential forgetting. It supports an initial inverse covariance scale or matrix, optional initial coefficients, directalg(X, Y)usage, and the existingsolve(problem, alg)sparse-regression path.Tests
timeout 3600 julia --project=lib/DataDrivenSparse -e 'using Pkg; Pkg.test(; test_args=["DataDrivenSparse"])'GROUP=QA timeout 3600 julia --project=lib/DataDrivenSparse -e 'using Pkg; Pkg.test()'julia --project=.runic-env -m Runic --check src test docs libNotes
The estimator is dense rather than thresholded/sparse: the WyNDA online update is the recursive estimator itself, not an optimization loop over sparsity thresholds.