fit_inspre_sequence: Fits inspre model for sequence of lambda values.

In brielin/inspre: INverse SParse REgression

Fits inspre model for sequence of lambda values.

Description

Fits inspre model for sequence of lambda values.

Usage

fit_inspre_sequence(
  X,
  lambda,
  W = NULL,
  rho = 1,
  its = 100,
  delta_target = 1e-04,
  symmetrize = FALSE,
  verbose = 1,
  gamma = 0,
  train_prop = 1,
  mu = 5,
  tau = 2.5,
  solve_its = 3,
  ncores = 1,
  warm_start = FALSE,
  constraint = "UV",
  DAG = FALSE
)

Arguments

X	DxD Matrix to find approximate sparse inverse of.
lambda	Float or sequence of floats. Path of L1 regularization strength on inverse of X.
W	DxD Matrix of weights.
rho	Float. Initial learning rate for ADMM.
its	Integer. Maximum number of iterations.
delta_target	Float. Target change in solution.
symmetrize	True to force the output to be symmetric. If the input is symmetric, the output isn't always perfectly symmetric due to numerical issues.
verbose	0, 1 or 2. 2 to print convergence progress for each lambda, 1 to print convergence result for each lambda, 0 for no output.
gamma	Float or sequence of floats. Determinant penalty strength.
train_prop	Proportion of the dataset to use to train the model. Set to 1.0 to use all data.
mu	rho modification parameter for ADMM. Rho will be increased/decreased when the dual constrant and primal constraint are off by a factor of > mu.
tau	rho modification parameter for ADMM. When called for, rho will be increased/decreased by the factor tau.
solve_its	Integer, number of iterations of bicgstab/lasso to run for each U and V update.
ncores	Integer, number of cores to use.
warm_start	Boolean, TRUE to start next fit with result of previous fit. Default FALSE.
constraint	One of "UV" or "VU". Constraint to use.
DAG	Bool. True to resitrict solutions to approximate DAGs.

brielin/inspre documentation built on Dec. 3, 2023, 4:55 a.m.