W1L1: 1-Wasserstein projection

In WpProj: Linear p-Wasserstein Projections

1-Wasserstein projection

Description

1-Wasserstein projection

Usage

W1L1(
  X,
  Y,
  theta = NULL,
  penalty = c("none", "lasso", "scad", "mcp"),
  model.size = NULL,
  lambda = numeric(0),
  lambda.min.ratio = 1e-04,
  nlambda = 10,
  gamma = 1,
  display.progress = FALSE,
  solver = c("cone", "rqPen", "gurobi", "mosek"),
  ...
)

Arguments

X	Covariates
Y	Predictions from arbitrary model
theta	Parameters of original linear model. Optional.
penalty	penalty term to use. One of "none", "lasso","scad","mcp"
model.size	Maximum number of coefficients in interpretable model
lambda	Lambdas to use
lambda.min.ratio	Minimum lambda to select if choosing lambdas using default methods
nlambda	number of lambdas to look through
gamma	parameter for SCAD and MCP methods
display.progress	Print intermediate output?
solver	Solver to use. Must be one of "rqPen", "gurobi", "mosek", though "mosek" is preferred.
...	options to pass to solvers

Value

WpProj object

WpProj documentation built on May 29, 2024, 7:55 a.m.