fista.LpS: A function to solve low rank plus sparse model estimation...
In VARDetect: Multiple Change Point Detection in Structural VAR Models

fista.LpS

R Documentation

A function to solve low rank plus sparse model estimation using FISTA algorithm

A function to solve low rank plus sparse model estimation

fista.LpS(
  A,
  b,
  lambda,
  mu,
  alpha_L = 0.25,
  niter = 100,
  backtracking = TRUE,
  x.true
)

`A`	A design matrix with size of n by p
`b`	A matrix, (or vector) with size of n by p (or n by 1)
`lambda`	A positive numeric value, indicating the tuning parameter for sparse component
`mu`	A positive numeric value, indicating the tuning parameter for low rank component
`alpha_L`	The constraint coefficient of low rank component, default is 0.25
`niter`	The maximum number of iterations required for FISTA
`backtracking`	A boolean argument, indicating that use backtracking in the FISTA
`x.true`	A p by p matrix, the true model parameter. Only available for simulation.

A list object, including the followings

sparse.comp: Estimated sparse component
lr.comp: Estimated low-rank component
obj.val: Values of objective function
rel.err: Relative errors compared with the true model parameters if available