R/project_gradient.R

In hdme: High-Dimensional Regression with Measurement Error

# Function which does the project gradient descent
# Based on a Matlab function developed by Po-Ling Loh and Martin J. Wainwright
#' @useDynLib hdme, .registration = TRUE
#' @importFrom Rcpp sourceCpp
project_gradient <- function(Q, b, maxits, alpha, R, betaOld, tol) {
  its <- 1 # Number of iterations
  change <- 1 # Initial value, change per iteration
  p <- length(b)
  while(its <= maxits & change > tol){
    grad <- Q %*% betaOld - b
    betaNew <- project_onto_l1_ball(betaOld - alpha*grad, R)
    diff <- sum((betaNew - betaOld)^2)
    change <- diff / alpha
    betaOld <- betaNew
    its <- its+1
  }
  if(its == maxits+1) print('Max iterations')
  return(betaNew)
}