l2e_regression_sparse_dist: L2E sparse regression with distance penalization

In jocelynchi/L2E-package-demo: Robust Structured Regression via the L2 Criterion

L2E sparse regression with distance penalization

Description

l2e_regression_sparse_dist performs robust sparse regression under the L2 criterion with the distance penalty

Usage

l2e_regression_sparse_dist(
  y,
  X,
  beta,
  tau,
  k,
  rho = 1,
  stepsize = 0.9,
  sigma = 0.5,
  max_iter = 100,
  tol = 1e-04,
  Show.Time = TRUE
)

Arguments

y	Response vector
X	Design matrix
beta	Initial vector of regression coefficients
tau	Initial precision estimate
k	The number of nonzero entries in the estimated coefficients
rho	The parameter in the proximal distance algorithm
stepsize	The stepsize parameter for the MM algorithm (0, 1)
sigma	The halving parameter sigma (0, 1)
max_iter	Maximum number of iterations
tol	Relative tolerance
Show.Time	Report the computing time

jocelynchi/L2E-package-demo documentation built on Oct. 6, 2022, 6:05 a.m.