L1_dts: The algorithm used to calculate the difference of two...

Description Usage Arguments Value Author(s) References Examples

Description

Calculate the difference of two precision matrices estimation, given the sample covariance matrices of two sample classes.

Usage

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L1_dts(SigmaX, SigmaY, rho, lambda)

Arguments

SigmaX

A pXp matrix.

SigmaY

A pXp matrix.

rho

The parameter used in augmented Lagrange method.

lambda

The tuning parameter of lasso penalty.

Value

A symmetric pXp matrix.

Author(s)

Huili Yuan

References

Huili Yuan, Ruibin Xi and Minghua Deng(2015). Differential Network Analysis via the Lasso Penalized D-Trace Loss. http://arxiv.org/abs/1511.09188

Examples

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##generate samples
library(MASS)
set.seed(1);
Sigma1 = genp(50,0.2,0.5)
set.seed(1);
Sigma2 = Sigma1+genp1(50,100,0.5)
tdelta = Sigma2-Sigma1
SigmaX<-solve(Sigma1)
SigmaY<-solve(Sigma2)
n<-200
p<-50
X1<-mvrnorm(n,rep(0,p),SigmaX)
Y1<-mvrnorm(n,rep(0,p),SigmaY)
##use of L1_dts
dtsmatrix<-L1_dts(SigmaX, SigmaY,1,0.5)

Difdtl documentation built on Jan. 15, 2017, 8:21 a.m.