haying/madlib — comment on commit 007ff442bbcedbec7c735f0fc0727904e33c0bc5
File: src/modules/igd/logistic_igd.cpp line 191
By haying:

Good catch! I have also mentioned this point in my commit message and the email to Caleb. In fact, automatically setting step size for IGD is still an open question, on which we are conducting research. The good news is that in most cases we have noticed, constant step size or exponential step size rule 0.5 * 0.95^{#iter} works okay.

At this point, what we suggest is that to open an interface for user to set it. I have done it for low-rank matrix factorization. We are certainly considering some adaptive schemes, not only for setting step sizes, but also setting regularization factors and feature selection.