fusedlasso | R Documentation |

The function computes coefficients of a fused lasso penalized linear regression model using modified Jacobi gradient descent Algorithm for a pair of lambda1 and lambda2 values.

fusedlasso(x,y,lambda1,lambda2,intercept=TRUE,normalize=TRUE, alpha=1e-6,eps=1e-6,tol=1e-8,maxiter=1e5)

`x` |
x is a matrix of order n x p where n is number of observations and p is number of predictor variables. Rows should represent observations and columns should represent predictor variables. |

`y` |
y is a vector of response variable of order n x 1. |

`lambda1` |
The value of lambda1 |

`lambda2` |
The value of lambda2 |

`intercept` |
If TRUE, model includes intercept, else the model does not have intercept. |

`normalize` |
If TRUE, columns of x matrix are normalized with mean 0 and norm 1 prior to fitting the model. The coefficients at end are returned on the original scale. Default is normalize = TRUE. |

`alpha` |
The quantity in approximating |

`eps` |
A value which is used to set a coefficient to zero if coefficients value is within - eps to + eps. Default is eps = 1e-6. |

`tol` |
Tolerance criteria for convergence of solutions. Default is tol = 1e-6. |

`maxiter` |
Maximum number of iterations permissible for solving optimization problem for a particular lambda. Default is 10000. Rarely you need to change this to higher value. |

An object of class ‘extlasso’ with following components:

`intercept` |
Value of intercept: TRUE or FALSE as used in input |

`coef` |
A vector of order (p+1) if intercept is TRUE, first element being estimates of intercept or a vector of order p if intercept is FALSE. Here p is number of predictor variables. |

`lambda1` |
The value of lambda1 |

`lambda2` |
The value of lambda2 |

`L1norm` |
L1norm of the coefficients |

`lambda.iter` |
Number of iterations |

`of.value` |
Objective function value |

B N Mandal and Jun Ma

Mandal, B.N. and Jun Ma, (2014). A Jacobi-Armijo Algorithm for LASSO and its Extensions.

n=50 p=100 rho=0 beta=rep(0,p) beta[1:20]=1 beta[11:15]=2 beta[25]=3 beta[41:45]=1 x=matrix(rnorm(n*p),n,p) y=x%*%beta+rnorm(n,0,0.5) f1<-fusedlasso(x,y,lambda1=0.1,lambda2=1) plot(beta,col="blue",type="b",pch=1,ylim=range(beta,f1$coef)) lines(f1$coef,type="b",lty=1,col="black") legend("topright",pch=1,lty=1,merge=TRUE,text.col=c("blue","black"),legend=c("True","Fitted"))

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