create.solve_equi: Optimization for equi-correlated fixed-X and Gaussian...

Description Usage Arguments Details Value See Also

View source: R/solve_equi.R

Description

This function solves a very simple optimization problem needed to create fixed-X and Gaussian SDP knockoffs on the full the covariance matrix. This may be significantly less powerful than create.solve_sdp.

Usage

1

Arguments

Sigma

positive-definite p-by-p covariance matrix.

Details

Computes the closed-form solution to the semidefinite programming problem:

\mathrm{maximize} \; s \quad \mathrm{subject} \; \mathrm{to:} \; 0 ≤q s ≤q 1, \; 2Σ - sI ≥q 0

used to generate equi-correlated knockoffs.

The closed form-solution to this problem is s = 2λ_{\mathrm{min}}(Σ) \land 1.

Value

The solution s to the optimization problem defined above.

See Also

Other optimization: create.solve_asdp(), create.solve_sdp()


knockoff documentation built on July 2, 2020, 12:02 a.m.