control: Set control parameters

In covglasso: Sparse Covariance Matrix Estimation

Description

Set control parameters of the coordinate descent algorithm for the graphical lasso for sparse covariance matrix estimation.

Usage

control(iter.out = 1e04, iter.in = 1e03, tol.out = 1e-04, tol.in = 1e-03)

Arguments

iter.out	Maximum number of iterations in the in the outer loop of the coordinate descent algorithm.
iter.in	Maximum number of iterations in the in the inner loop of the coordinate descent algorithm.
tol.out	Tolerance value for judging when convergence has been reached. Used in the outer loop of the coordinate descent algorithm.
tol.in	Tolerance value for judging when convergence has been reached. Used in the inner loop of the coordinate descent algorithm.

Details

Function control is used to set control parameters of the coordinate descent algorithm employed for solving the covariance graphical lasso.

Value

A list of parameters values.

References

Wang, H. (2014). Coordinate descent algorithm for covariance graphical lasso. Statistics and Computing, 24:521.

covglasso documentation built on July 14, 2021, 5:11 p.m.