cd_algorithm_options: Coordinate Descent (CD) Algorithm to Compute Penalized...

In pense: Penalized Elastic Net S/MM-Estimator of Regression

Coordinate Descent (CD) Algorithm to Compute Penalized Elastic Net S-estimates

Description

Set options for the CD algorithm to compute adaptive EN S-estimates.

Usage

cd_algorithm_options(
  max_it = 1000,
  reset_it = 8,
  linesearch_steps = 4,
  linesearch_mult = 0.5
)

Arguments

max_it	maximum number of iterations.
reset_it	number of iterations after which the residuals are re-computed from scratch, to prevent numerical drifts from incremental updates.
linesearch_steps	maximum number of steps used for line search.
linesearch_mult	multiplier to adjust the step size in the line search.

Value

options for the CD algorithm to compute (adaptive) PENSE estimates.

See Also

mm_algorithm_options to optimize the non-convex PENSE objective function via a sequence of convex problems.

pense documentation built on Feb. 16, 2023, 9:36 p.m.