fista.nuclear: A helper function for implementing FISTA algorithm to...
In VARDetect: Multiple Change Point Detection in Structural VAR Models

fista.nuclear

R Documentation

A helper function for implementing FISTA algorithm to estimate low-rank matrix

Function to estimate low-rank matrix using FISTA algorithm

fista.nuclear(A, b, lambda, d, niter, backtracking = TRUE, phi.true)

`A`	A n by p design matrix
`b`	A correspond vector, or a matrix
`lambda`	tuning parameter
`d`	model dimension
`niter`	the maximum number of iterations required for applying FISTA algorithm
`backtracking`	a boolean argument, indicate whether use backtracking or not
`phi.true`	true model parameter, only available for simulations

A list object, including

phi.hat: Estimated low-rank matrix
obj.vals: Values of objective function for all iterations
rel.err: Relative error to the true model parameter, only available for simulation