dantzigS: Dantzig selector using the lpsolve package

In GDSARM: Gauss - Dantzig Selector: Aggregation over Random Models

Dantzig selector using the lpsolve package

Description

The Dantzig selector (DS) finds a solution for the model parameters of a linear model, beta using linear programming. For a given delta, DS minimizes the L_1-norm (sum of absolute values) of beta subject to the constraint that max(|t(X)(y-X * beta)|)<= delta.

Usage

dantzigS(X, y, delta, scale.X = 1)

Arguments

X	a design matrix.
y	a vector of responses.
delta	the specific value of delta for which the Dantzig Selector optimization needs to be solved
scale.X	a number by which each column of X should be scaled

Value

A list containing the (a) opt (Value of objective function at optimum), (b) status (Numeric indicator: 0 = success, 2 = no feasible solution), (c) beta (the estimated values of beta), (d) delta

Source

Cand\'es, E. and Tao, T. (2007). The Dantzig selector: Statistical estimation when p is much larger than n. Annals of Statistics 35 (6), 2313–2351.

Phoa, F. K., Pan, Y. H. and Xu, H. (2009). Analysis of supersaturated designs via the Dantzig selector. Journal of Statistical Planning and Inference 139 (7), 2362–2372.

GDSARM documentation built on July 14, 2022, 1:05 a.m.