R/cdm_penalty_threshold_scadL2.R

Defines functions cdm_penalty_threshold_scadL2

Documented in cdm_penalty_threshold_scadL2

## File Name: cdm_penalty_threshold_scadL2.R
## File Version: 0.05

cdm_penalty_threshold_scadL2 <- function(beta, lambda, alpha, a=3.7)
{
    lam1 <- lambda*alpha
    lam2 <- lambda*(1-alpha)
    sign_beta <- sign(beta)
    #-- 2*lambda < abs(beta) < a*lambda
    y <- ( ( a - 1 ) * beta - sign_beta * a * lam1 ) / ( -1 + ( a - 1 )*(1+2*lam2) )
    #-- abs(beta) > a*lambda
    y <- ifelse( abs(beta) > a*lambda, beta / ( 1 + 2*lam2), y )
    #-- abs(beta) < 2*lambda
    z <- ( abs(beta) - lambda )
    z <- ifelse( z < 0, 0, z )
    y <- ifelse( abs(beta) < 2*lambda, z*sign_beta / ( 1 + 2*lam2), y )
    return(y)
}

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CDM documentation built on Nov. 6, 2018, 5:07 p.m.