Nothing
hcov <-
function(S,lambda1,lambda2=100000,lambda3=100000,convergence=1e-10,maxiter=1000,start="cold",var.init=NULL,trace=FALSE){
# Checking arguments
if(isSymmetric(S)==FALSE) stop("Input matrix is not symmetric!")
if(lambda1<0) stop("tuning parameter cannot be negative!")
if(lambda2<0) stop("tuning parameter cannot be negative!")
if(lambda3<0) stop("tuning parameter cannot be negative!")
if(lambda1==0 & lambda2==0 & lambda3==0) stop("At least one tuning parameter needs to be nonzero!")
if(start!="cold" && start!="warm") stop("Invalid argument")
cl <- match.call()
hubind <- NULL
n <- nrow(S)
p <- nrow(S)
rho <- 2.5
i <- 1
# Variables initialization
if(start=="cold"){
oldSigma <- Sigma <- V <- Z <- diag(rep(1,p))
W1 <- W2 <- W3 <- Gamma <- matrix(0,p,p)
tildeSigma <- tildeV <- tildeZ <- matrix(0,p,p)
}
else if(start=="warm"){
Sigma <- diag(rep(1,p))
oldSigma <- var.init$Sigma
V <- var.init$V
Z <- var.init$Z
W1 <- var.init$W1
W2 <- var.init$W2
W3 <- var.init$W3
Gamma <- var.init$Gamma
tildeSigma <- var.init$tildeSigma
tildeV <- var.init$tildeV
tildeZ <- var.init$tildeZ
}
criteria <- 1e10
# While loop for the iterations
while(criteria > convergence && i<=maxiter){
if(trace==TRUE && i%%10==0) print(paste("iteration = ",i,sep=""))
Sigma <- updateSigma(tildeSigma,W1,S,rho,0.001)
Z <- updateZ(tildeZ,W3,lambda1,rho)
V <- updateV(tildeV,W2,lambda2,lambda3,rho)
Gamma <- updateGamma(Sigma,V,Z,W1,W2,W3,rho)
tildeSigma <- updatetildeTheta(Sigma,W1,Gamma,rho)
tildeV <- updatetildeV(V,W2,Gamma,rho)
tildeZ <- updatetildeZ(Z,W3,Gamma,rho)
W1 <- W1+Sigma-tildeSigma
W2 <- W2+V-tildeV
W3 <- W3+Z-tildeZ
i <- i+1
Sigma <- Z+V+t(V)
criteria <- sum((Sigma-oldSigma)^2)/sum((oldSigma)^2)
oldSigma <- Sigma
}
if(i>maxiter){
warning("The algorithm has not converged by the specified maximum number of iteration")
}
Sigma<-Z+V+t(V)
Obj <- HcovObj(Sigma,S,Z,V,lambda1,lambda2,lambda3)
tempV<-V
diag(tempV) <- 0
tempV[which(abs(tempV)<1e-5)] <- 0
hubind <- which(apply(abs(tempV),2,sum)!=0)
# return output
out <- list()
class(out) <- "hcov"
out$Sigma <- Sigma
out$V <- V
out$Z <- Z
out$W1 <- W1
out$W2 <- W2
out$W3 <- W3
out$Gamma <- Gamma
out$tildeTheta <- tildeSigma
out$tildeV <- tildeV
out$tildeZ <- tildeZ
out$objective <- Obj
out$cl <- cl
out$hubind <- hubind
out$lambda1 <- lambda1
out$lambda2 <- lambda2
out$lambda3 <- lambda3
out$p <- p
out$n <- n
return(out)
}
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