cpen: C code for convex penalized least squares regression.

In simest: Constrained Single Index Model Estimation

Description

This function is only intended for an internal use.

Usage

cpen(dim, t_input, z_input, w_input, a0_input,
	lambda_input, Ky_input, L_input, U_input,
	fun_input, res_input, flag, tol_input, 
	zhat_input, iter, Deriv_input)

Arguments

dim	vector of sample size and maximum iteration.
t_input	x-vector in cvx.pen.reg.
z_input	y-vector in cvx.pen.reg.
w_input	w-vector in cvx.pen.reg.
a0_input	initial vector for iterative algorithm.
lambda_input	lambda-value in cvx.pen.reg.
Ky_input	Internal vector used for algorithm.
L_input	Internal vector. Set to 0.
U_input	Internal vector. Set to 0.
fun_input	Internal vector. Set to 0.
res_input	Internal vector. Set to 0.
flag	Logical for stop criterion.
tol_input	tolerance level used in cvx.pen.reg.
zhat_input	Internal vector. Set to zero. Stores the final output.
iter	Iteration number inside the algorithm.
Deriv_input	Internal vector. Set to zero. Stores the derivative vector.

Details

See the source for more details about the algorithm.

Value

Does not return anything. Changes the inputs according to the iterations.

Author(s)

Arun Kumar Kuchibhotla, [e-mail].

Source

Dontchev, A. L., Qi, H. and Qi, L. (2003). Quadratic Convergence of Newton's Method for Convex Interpolation and Smoothing. Constructive Approximation, 19(1):123-143.

simest documentation built on May 2, 2019, 5:40 a.m.