mOmega: Matrix version solution path function for the Penalized...

In cescwang85/PIE: Penalized Interaction Estimation for Ultrahigh Dimensional Quadratic Regression

Matrix version solution path function for the Penalized Interaction Estimation (PIE)

Description

Matrix version solution path function for the Penalized Interaction Estimation (PIE)

Usage

mOmega(Sn, An, lambda = NULL, nlambda = 50, lambda.min.ratio = 0.01,
  err = 10^(-4), maxIter = 10^3, rho = 1)

Arguments

Sn	the sample covariance matrix.
An	the sample kernel matrix.
lambda	user supplied tuning parameter;
err	the precision used to control the convergence. Default is 1e-4.
maxIter	Maximum number of iterations. Default is 1000.
rho	step parameter for the ADMM. Default is 1.

Value

A list of sparse asymmetric p*p matrices, lambda and also the number of iterations.

cescwang85/PIE documentation built on Sept. 10, 2022, 3:28 p.m.