R/objectives.R

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

#' Objective function of the L2E regression - eta
#'
#' \code{objective} computes the objective of the L2E regression in terms of eta
#'
#' @param eta The current estimate of eta
#' @param r Vector of residuals
#' @param method Mean or median
#' @return Returns the output of the objective function (scalar)
#' @importFrom stats median
#' @export
objective <- function(eta, r, method="mean"){

  v1 <- exp(-0.5*exp(2*eta)*r^2)

  s1 <- exp(eta)/(2*sqrt(pi))

  if(method=="mean"){
    s2 <- exp(eta)* sqrt(2/pi)*mean(v1)
  }else{
    s2 <- exp(eta)* sqrt(2/pi)*median(v1)
  }

  return(s1-s2)
}


#' Objective function of the L2E regression - tau
#'
#' \code{objective_tau} computes the objective of the L2E regression in terms of tau
#'
#' @param tau The current estimate of tau
#' @param r Vector of residuals
#' @param method Mean or median
#' @return Returns the output of the objective function (scalar)
#' @importFrom stats median
#' @export
objective_tau <- function(tau, r, method="mean"){

  v1 <- exp(-0.5*tau^2*r^2)

  s1 <- tau/(2*sqrt(pi))

  if(method=="mean"){
    s2 <- tau* sqrt(2/pi)*mean(v1)
  }else{
    s2 <- tau* sqrt(2/pi)*median(v1)
  }

  return(s1-s2)
}