WInfL1: Infinity-Wasserstein Linear Projections With an L1 Penalty

In WpProj: Linear p-Wasserstein Projections

Infinity-Wasserstein Linear Projections With an L1 Penalty

Description

Infinity-Wasserstein Linear Projections With an L1 Penalty

Usage

WInfL1(
  X,
  Y,
  theta = NULL,
  penalty = c("none", "lasso", "mcp", "scad"),
  lambda = numeric(0),
  lambda.min.ratio = 1e-04,
  gamma = 1.5,
  nlambda = 10,
  solver = c("cone", "mosek", "gurobi"),
  options = list(solver_opts = NULL, init = NULL, tol = 1e-07, iter = 100),
  model.size = NULL,
  display.progress = FALSE,
  ...
)

Arguments

X	An n x p matrix of covariates
Y	An n x s matrix of predictions
theta	optional parameter matrix for selection methods. Should be p x s.
penalty	Form of penalty. One of "none", "lasso", "mcp","scad"
lambda	Penalty parameter for lasso regression.
lambda.min.ratio	Minimum lambda ratio for self selected lambda.
gamma	tuning parameters for SCAD and MCP.
nlambda	Number of lambda values.
solver	Which solver to use. One of "cone","mosek", or "gurobi". Note "mosek" and "gurobi" are commercial installers.
options	A list containing slots solver_opts, options for each solver, init, initial conditions fed into each solver, tol, tolerance for convergence, and iter, the maximum number of iterations
model.size	The maximum number of paramters to consider. Should be an integer greater than 1 and less than or equal to the number of covariates
display.progress	Whether to display progress. TRUE or FALSE
...	Additional arguments passed to the solver as needed

Value

A WpProj object

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