Description Usage Arguments Details Value See Also
Solves the optimization problem needed to create equi-correlated knockoffs
1 |
Sigma |
A positive-definite covariance matrix |
Computes the closed-form solution to the semidefinite programming problem:
\mathrm{maximize} \; s \quad \mathrm{subject} \; \mathrm{to:} \; 0 <= s <= 1, \; 2Σ - sI >= 0
used to generate equi-correlated knockoffs.
The closed form-solution to this problem is s = 2λ_{\mathrm{min}}(Σ) \land 1
The solution s to the semidefinite programming problem defined above
Other Optimize knockoffs: MFKnockoffs.knocks.solve_asdp
,
MFKnockoffs.knocks.solve_sdp
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