loss: Calculating the loss of the MIP used to estimate a SMI model

In smimodel: Sparse Multiple Index Models for Nonparametric Forecasting

Calculating the loss of the MIP used to estimate a SMI model

Description

Calculates the value of the objective function (loss function) of the mixed integer program used to estimate a SMI model.

Usage

loss(Y, Yhat, alpha, lambda0, lambda2)

Arguments

Y	Column matrix of response.
Yhat	Predicted value of the response.
alpha	Vector of index coefficients.
lambda0	Penalty parameter for L0 penalty.
lambda2	Penalty parameter for L2 penalty.

Value

A numeric.

smimodel documentation built on April 8, 2026, 5:06 p.m.