ESPgenlasso: Get Exact Solution Path for genlasso problem.

In jshwang0311/GenLassoTest: GenLasso for Rank-deficient Design Matrices

Description

This function solves the genlasso problem for all lambda. So, we can get the solution path object which contains dual solution u, break point lambda, primal solution beta and so on.

Usage

ESPgenlasso(
  y,
  X,
  D,
  genlasso.option = F,
  thres.lambda = 0.1,
  iter = 1e+05,
  tol = 1e-12
)

Arguments

y	a numeric response vector.
X	a matrix of predictor variables.
D	a penalty matrix.
genlasso.option	whether to use the genlasso package.
thres.lambda	minimum threshold lambda.
iter	maximum threshold iteration number.
tol	tolerance.

Value

solution path object.

Examples

y <- matrix(c(1000), nrow = 1)
X <- matrix(c(1,1,0),nrow = 1)
D <- matrix(c(1,0,0,0,1,1,0,0,-1), nrow = 3)
ESPgenlasso(y,X,D,genlasso.option = FALSE)

jshwang0311/GenLassoTest documentation built on Dec. 21, 2021, 3:17 a.m.