Nothing
lvglasso_calc <- function(Sigmahat,lambda1,lambda2,convergence=1e-10,maxiter=1000,rho=2.5){
p <- nrow(Sigmahat)
# Variables Initialization
oldR <- R <- S <- L <- diag(rep(1,p))
Gamma <- matrix(0,p,p)
criteria <- 1e10
i <- 1
# While loop for the iterations
while(criteria > convergence && i <= maxiter){
R <- updateR(S,L,Sigmahat,Gamma,rho)
S <- updateS(R,L,Gamma,lambda1,rho)
L <- updateL(R,S,Gamma,lambda2,rho)
Gamma <- Gamma+rho*(R-S+L)
R <- S-L
aa <- sum((oldR)^2) + 1e-7
criteria <- sum((R-oldR)^2)/aa
#criteria <- sum((R-oldR)^2)/sum((oldR)^2)
oldR <- R
i <- i+1
}
R <- S-L
if(i>maxiter){
warning("The algorithm has not converged by the specified maximum number of iteration")
}
return(list(R=R,S=S,L=L,Gamma=Gamma,iteration=i))
}
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