RSAVS_UpdateSW: Update S and W

In fenguoerbian/RSAVS: Robust Subgroup Analysis and Variable Selection

Update S and W

Description

These functions perform the updating step of s_vec and w_vec in the ADMM algorithm for different types of penalty functions.

The updating steps of s_vec and w_vec share the same pattern in the ADMM algorithm. These functions correspond to different penalty types (p1_type and p2_type) provided from the original solver function.

• UpdateSW_Identity: identity update, this is needed when there is no shrinkage applied, possibly since the corresponding lam is set to 0.

• UpdateSW_Lasso: Lasso update

• UpdateSW_SCAD: SCAD update

• UpdateSW_MCP: MCP update

Usage

RSAVS_UpdateSW_Identity(invec, param, const_r, const_bc)

RSAVS_UpdateSW_Lasso(invec, param, const_r, const_bc)

RSAVS_UpdateSW_SCAD(invec, param, const_r, const_bc)

RSAVS_UpdateSW_MCP(invec, param, const_r, const_bc)

Arguments

invec	numerical vector, the orignal s_vec or w_vec.
param	numerical vector, parameters needed for the penalty function.
const_r	numerical scalar, parameter needed in the quadratic term in the augmented part.
const_bc	numerical scalar, parameter represents the weight of corresponding penalty part in the objective function

Note

Please refer to the vignette about the algorithm detail design to find out more about how these parameters are defined.

See Also

RSAVS_Path_PureR, RSAVS_Solver_PureR

fenguoerbian/RSAVS documentation built on Oct. 25, 2024, 3:16 p.m.