R/NR_gamma.R

In NBtsVarSel: Variable Selection in a Specific Regression Time Series of Counts

NR_gamma <-
function(Y, X, beta, gamma, alpha, n.iter){
  new.params = gamma
  iter = 1
  eps = 10^-6
  erreur = 1 + eps
  
  while((erreur>eps) && (iter<=n.iter)){
    old.params = new.params
    res_grad_hess = grad_hess_gamma(Y, X, beta, gamma, alpha)
    hessienne = res_grad_hess[[2]]
    grad = res_grad_hess[[1]]
    res_svd = svd(hessienne)
    U = res_svd$u
    V = res_svd$v
    ind_vp_not_null = which(round(res_svd$d,digits=6)!=0)
    Lambda = diag(1/res_svd$d[ind_vp_not_null],length(ind_vp_not_null))
    hess_inv = V[,ind_vp_not_null] %*% Lambda %*% t(U[,ind_vp_not_null])
    gamma = gamma - as.numeric(hess_inv %*% grad)
    
    new.params = gamma
    erreur = max(abs(new.params-old.params))
    iter = iter + 1
  }
  return(gamma)
}