sgl_lambda_sequence: Computing a Lambda Sequence

Description Usage Arguments Value Author(s)

View source: R/lambda_sequence.R

Description

Computes a decreasing lambda sequence of length d. The sequence ranges from a data determined maximal lambda λ_\textrm{max} to the user supplied lambda.min.

Usage

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sgl_lambda_sequence(module_name, PACKAGE, data, parameterGrouping = NULL,
  groupWeights = NULL, parameterWeights = NULL, alpha, d = 100,
  lambda.min, algorithm.config = sgl.standard.config,
  lambda.min.rel = FALSE)

Arguments

module_name

reference to objective specific C++ routines.

PACKAGE

name of the calling package.

data

list of data objects – will be parsed to the specified module.

parameterGrouping

grouping of parameters, a vector of length p. Each element of the vector specifying the group of the parameters in the corresponding column of β.

groupWeights

group weights, a vector of length length(unique(parameterGrouping)) (the number of groups).

parameterWeights

parameters weights, a matrix of size q \times p.

alpha

the α value, 0 for group lasso, 1 for lasso, between 0 and 1 gives a sparse group lasso penalty.

d

the length of the lambda sequence.

lambda.min

the smallest lambda value in the computed sequence.

algorithm.config

the algorithm configuration.

lambda.min.rel

is lambda.min relative to lambda.max ? (i.e. actual lambda min used is lambda.min*lambda.max, with lambda.max the computed maximal lambda value)

Value

a vector of length d containing the compute lambda sequence.

Author(s)

Martin Vincent


sglOptim documentation built on Oct. 21, 2018, 9:04 a.m.