L1_ceiling: The largest meaningful value of the L1 parameter
In ArtemSokolov/gelnet: Generalized Elastic Nets

Description Usage Arguments Details Value

Computes the smallest value of the LASSO coefficient L1 that leads to an all-zero weight vector for a given gelnet model

1	L1_ceiling(modeldef)

modeldef

model definition constructed through gelnet() arithmetic

The cyclic coordinate descent updates the model weight w_k using a soft threshold operator S( \cdot, λ_1 d_k ) that clips the value of the weight to zero, whenever the absolute value of the first argument falls below λ_1 d_k. From here, it is straightforward to compute the smallest value of λ_1, such that all weights are clipped to zero.

The largest meaningful value of the L1 parameter (i.e., the smallest value that yields a model with all zero weights)

ArtemSokolov/gelnet documentation built on Sept. 13, 2019, 4:01 a.m.