penalty_function: Penalty Function

In donaldRwilliams/GGMncv: Gaussian Graphical Models with Nonconvex Regularization

Description

Compute the penalty function for nonconvex penalties.

Usage

penalty_function(
  theta = seq(-5, 5, length.out = 1e+05),
  penalty = "atan",
  lambda = 1,
  gamma = c(0.01, 0.05)
)

Arguments

theta	Numeric vector. Values for which the derivative is computed.
penalty	Character string. Which penalty should be used (defaults to "atan")? See ggmncv for the available penalties.
lambda	Numeric. Regularization parameter (defaults to 1).
gamma	Numeric vector. Hyperparameter(s) for the penalty function

Value

A list of class penalty_function, including the following:

• deriv: Data frame including the penalty function, theta, gamma, and the chosen penalty.

Note

Some care is required for specifying gamma. For example, the default value for scad is 3.7 and it must be some value greater than 2 \insertCitefan2001variableGGMncv. The default values in GGMncv are set to recommended values in the respective papers.

References

\insertAllCited

Examples

func <- penalty_function(theta =  seq(-5,5,length.out = 10000),
                            lambda = 1,
                            gamma = c(0.01, 0.05, 0.1))

head(func$pen)

donaldRwilliams/GGMncv documentation built on Dec. 28, 2021, 5:20 p.m.