prox.nuclear.func: Proximal function with nuclear norm penalty updating

In VARDetect: Multiple Change Point Detection in Structural VAR Models

Proximal function with nuclear norm penalty updating

Description

Proximal function with nuclear norm

Usage

prox.nuclear.func(w1, y, A, b, L, lambda, AtA, Atb)

Arguments

w1	previously updated model parameter
y	updated model parameter
A	design matrix
b	correspond vector, or matrix
L	learning rate
lambda	tuning parameter for low-rank component
AtA	Gram matrix of design matrix A
Atb	inner product of design matrix A and correspond vector b

Value

Value of proximal function with nuclear norm penalty

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