Description Usage Arguments Value
Cross validation function for GLASSO.
1 2 3 4 | CV_GLASSOc(X, S, lam, diagonal = FALSE, path = FALSE, crit_out = "avg",
crit_in = "loss", tol_out = 1e-04, tol_in = 1e-04, maxit_out = 10000L,
maxit_in = 10000L, adjmaxit_out = 10000L, K = 5L, crit_cv = "loglik",
start = "warm", trace = "progress")
|
X |
option to provide a nxp matrix. Each row corresponds to a single observation and each column contains n observations of a single feature/variable. |
S |
option to provide a pxp sample covariance matrix (denominator n). If argument is |
lam |
positive tuning parameters for elastic net penalty. If a vector of parameters is provided, they should be in increasing order. |
diagonal |
option to penalize the diagonal elements of the estimated precision matrix (Ω). Defaults to |
path |
option to return the regularization path. This option should be used with extreme care if the dimension is large. If set to TRUE, cores will be set to 1 and errors and optimal tuning parameters will based on the full sample. Defaults to FALSE. |
crit_out |
criterion for convergence in outer (blockwise) loop. Criterion |
crit_in |
criterion for convergence in inner (lasso) loop. Criterion for convergence. Criterion |
tol_out |
convergence tolerance for outer (blockwise) loop. Defaults to 1e-4. |
tol_in |
convergence tolerance for inner (lasso) loop. Defaults to 1e-4. |
maxit_out |
maximum number of iterations for outer (blockwise) loop. Defaults to 1e4. |
maxit_in |
maximum number of iterations for inner (lasso) loop. Defaults to 1e4. |
adjmaxit_out |
adjusted maximum number of iterations. During cross validation this option allows the user to adjust the maximum number of iterations after the first |
K |
specify the number of folds for cross validation. |
crit_cv |
cross validation criterion ( |
start |
specify |
trace |
option to display progress of CV. Choose one of |
list of returns includes:
lam |
optimal tuning parameter. |
path |
array containing the solution path. Solutions will be ordered by ascending lambda values. |
min.error |
minimum average cross validation error (cv.crit) for optimal parameters. |
avg.error |
average cross validation error (cv.crit) across all folds. |
cv.error |
cross validation errors (cv.crit). |
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