Q.func: An auxiliary function in FISTA algorithm

In VARDetect: Multiple Change Point Detection in Structural VAR Models

An auxiliary function in FISTA algorithm

Description

Auxiliary function for FISTA implementation

Usage

Q.func(x, y, A, b, L, AtA, Atb)

Arguments

x	Model parameter for previous update
y	Model parameter for updating
A	An n by p design matrix
b	A correspond vector, or matrix with size of n by 1 or n by p
L	Learning rate
AtA	Gram matrix for design matrix A
Atb	Inner product for design matrix A and correspond vector b

Value

Value of function Q

VARDetect documentation built on May 10, 2022, 9:07 a.m.