R/SOS.R

In TULIP: A Toolbox for Linear Discriminant Analysis with Penalties

SOS <- function(x, y, standardize = FALSE, lambda = NULL, eps = 1e-07){
  obj <- dsda(x, y=y, standardize=standardize, lambda=lambda, alpha=1, eps=eps)
  p <- dim(x)[2]
  n <- length(y)
  nlambda <- length(obj$lambda)
  beta <- obj$beta[2:(p+1),]
  lambda <- obj$lambda
  
  
  pi1 <- sum(y==1)/n
  pi2 <- sum(y==2)/n
  newlambda <- lambda*sqrt(pi1*pi2)
  newbeta <- beta*sqrt(pi1*pi2)
  
  outlist <- list(beta=newbeta, lambda=newlambda)
  class(outlist) <- c("SOS")
  outlist
}