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`

MFKnockoffs documentation built on May 2, 2019, 6:33 a.m.

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