inspre_worker: Worker function to fit inspre for a single value of lambda.

In brielin/inspre: INverse SParse REgression

Worker function to fit inspre for a single value of lambda.

Description

Worker function to fit inspre for a single value of lambda.

Usage

inspre_worker(
  X,
  W = NULL,
  rho = 1,
  lambda = 0.01,
  its = 100,
  delta_target = 1e-04,
  warm_start = NULL,
  symmetrize = FALSE,
  verbose = FALSE,
  gamma = 0,
  mu = 5,
  tau = 1.5,
  solve_its = 3,
  ncores = 1,
  constraint = "UV",
  DAG = FALSE
)

Arguments

X	DxD Matrix to find approximate sparse inverse of.
W	DxD Matrix of weights.
rho	Float, learning rate for ADMM.
lambda	Float. L1 regularization strength on inverse of X.
its	Integer. Maximum number of iterations.
delta_target	Float. Target change in solution.
warm_start	List with elements "U" and "V" containing starting point.
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	Bool. True to print solution progress.
gamma	Float. Determinant penalty strength.
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.
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.