Nothing
PathwiseCoordinateOptimization <- function(y, X, beta=NULL, lambda=0.1, tol=0.000001, maxiter=1000, show=FALSE){
n = dim(X)[1]
p = dim(X)[2]
if (is.null(beta)) beta=as.matrix(ginv(t(X) %*% X) %*% t(X) %*% y)
error=sum(beta^2)
iter=0
while ((error>tol) & (iter<maxiter)){
iter=iter+1
betaold=beta
for (j in 1:p){
r = y - X[,-j] %*% beta[-j,]
b= sum(r * X[,j])/n
beta[j,]=0
if (b >0 & lambda < abs(b)) beta[j,]=b-lambda
if (b <0 & lambda < abs(b)) beta[j,]=b+lambda
}
error=sum((beta-betaold)^2)
if (show)
print(c(iter,error))
}
return(beta)
}
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