Nothing
cqr.lasso.admm= function(X,y,tau,lambda,rho,beta,maxit){
# # X: n by p design matrix
# # y: n by 1 response vector
# # tau: Quantile level
# # lambda: penalty parameter
# # rho: augmented lagrangian parameter
# # alpha: over-relaxation parameter
if(missing(maxit)){
maxit = 200
}
if(missing(rho)){
rho=0.4
}
if(missing(beta)){
beta=solve(t(X)%*%X,t(X)%*%y)
}
if(missing(lambda)){
lambda=1
}
n=dim(X)[1]
p = dim(X)[2]
k=length(tau)
b=mean(y-X%*%beta)
beta=c(rep(b,k),beta)
bmatrix=matrix(c(rep(1,n),rep (0,n*k)),n*k,k+1)[,-(k+1)]
X.star= cbind(bmatrix,t(matrix(t (X),p,n*k)))
y.star=rep(y,k)
tau.star=c(t(matrix(tau,k,n)))
betai=CQRPADMMCPP(X.star,y.star,beta,maxit,tau.star,rho,lambda,p,k)
beta=matrix(betai[-(1:k)])
b=betai[1:k]
return(list(beta=beta,b=b))
}
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