Estimation of the coefficient matrix

Description

This function computes the coefficient matrix B estimate, column-by-column. The observations of the data matrix X are assumed to have zero mean.

Usage

1
  DESP_SRL_B(X, lambda, solver = 'CD', sto = FALSE, nThreads = 1)

Arguments

X

The data matrix.

lambda

The penalization parameter that promotes sparsity.

solver

The solver. A string indicating the solver to use.

"CD"

specifies the coordinate descent algorithm;

"SCS"

specifies the free Splitting Conic Solver;

"Gurobi"

specifies the commercial Gurobi solver;

"Mosek"

specifies the commercial Mosek solver.

The default is "CD".

sto

Indicates whether a randomized algorithm (stochastic coordinate descent) have to be used when choosing the coordinate descent method, default FALSE.

nThreads

Set the number of threads for parallel processing when choosing the coordinate descent method or the SCS solver, default 1.

Value

The coefficient matrix.

Author(s)

Arnak Dalalyan and Samuel Balmand.

See Also

sqR_Lasso