R/utils.R

In tboot: Tilted Bootstrap

# Find the locally optimum resampling weights
# given Lagrange multiplier lambda and data x.
argmin_lagrangian <- function(x, lambda) {
  as.vector(1 / (x %*% lambda))
}

# For the real optimization.
objective_function <- function(x, lambda, target) {
  new_q <- argmin_lagrangian(x, lambda)
  constraint_value <- apply(x * new_q, 2, sum)
  squares <- (constraint_value - target) ^ 2
  sum(squares)
}