MFKnockoffs.knocks.solve_equi: Optimization for equi-correlated knockoffs

Description Usage Arguments Details Value See Also

Description

Solves the optimization problem needed to create equi-correlated knockoffs

Usage

1

Arguments

Sigma

A positive-definite covariance matrix

Details

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

Value

The solution s to the semidefinite programming problem defined above

See Also

Other Optimize knockoffs: MFKnockoffs.knocks.solve_asdp, MFKnockoffs.knocks.solve_sdp


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