L1_dts: The algorithm used to calculate the difference of two...

In SusanYuan/Difdtl: Difference of Two Precision Matrices Estimation

Description

Calculate the difference of two precision matrices estimation, given the sample covariance matrices of two sample classes.

Usage

L1_dts(SigmaX, SigmaY, rho, lambda)

Arguments

SigmaX	A pXp matrix.
SigmaY	A pXp matrix.
rho	The parameter used in augmented Lagrange method.
lambda	The tuning parameter of lasso penalty.

Value

A symmetric pXp matrix.

Author(s)

Huili Yuan

References

Huili Yuan, Ruibin Xi and Minghua Deng(2015). Differential Network Analysis via the Lasso Penalized D-Trace Loss. http://arxiv.org/abs/1511.09188

Examples

##generate samples
library(MASS)
set.seed(1);
Sigma1 = genp(50,0.2,0.5)
set.seed(1);
Sigma2 = Sigma1+genp1(50,100,0.5)
tdelta = Sigma2-Sigma1
SigmaX<-solve(Sigma1)
SigmaY<-solve(Sigma2)
n<-200
p<-50
X1<-mvrnorm(n,rep(0,p),SigmaX)
Y1<-mvrnorm(n,rep(0,p),SigmaY)
##use of L1_dts
dtsmatrix<-L1_dts(SigmaX, SigmaY,1,0.5)

SusanYuan/Difdtl documentation built on May 9, 2019, 3:23 p.m.