Performs a single pass of BCD on a matrix R.

Share:

Description

To solve the unconstrained problem, R is Sigmahat. To solve constrained problem, R is the current partial residual (excluding A terms).

Usage

1
subdiag.thresh(R, lam, w = NULL)

Arguments

R

p-by-p symmetric matrix

lam

Non-negative penalty parameter. Controls sparsity level.

w

(p-1)-by-(p-1) lower-triangular matrix (above diagonal ignored). w[l,] gives the l weights for g_l. Defaults to w[l,m]=sqrt(2 * l)/(l - m + 1) for m <= l