R/update_beta_convex.R

In L2E: Robust Structured Regression via the L2 Criterion

#' Beta update in L2E convex regression - PG
#'
#' \code{update_beta_convex} updates beta for L2E convex regression using PG
#'
#' @param y Response vector
#' @param b Current estimate for beta
#' @param tau Current estimate for tau
#' @param max_iter Maximum number of iterations
#' @param tol Relative tolerance
#' @return Returns a list object containing the new estimate for beta (vector) and the number of iterations (scalar) the update step utilized
#' @importFrom stats fitted
#' @importFrom cobs conreg
#'
update_beta_convex <- function(y,b,tau,max_iter=1e2,tol=1e-4) {

    n <- length(y)
    for (i in 1:max_iter) {
      b_last <- b
      r <- y - b
      w <- exp(-0.5* (tau*r)**2 )
      z <- w*y + (1-w)*b
      b <- fitted(conreg(z,convex=TRUE))
      if (norm(as.matrix(b_last-b),'f') < tol*(1 + norm(as.matrix(b_last),'f'))) break
    }
  return(list(beta=b,iter=i))
}