prox_sparse_func: proximal function of sparse component

In kevinbai92/LSvarEstimate: Low Rank Plus Sparse VAR Model Estimation

Description

proximal function of sparse component

Usage

prox_sparse_func(w1, y, A, b, L, lambda, AtA, Atb)

Arguments

w1	proximal vector
y	alternative coefficient vector
A	design matrix
b	target vector
L	learning rate
lambda	tuning parameter for sparse penalty
AtA	crossproduct of A
Atb	crossproduct of A and b

Details

This function is proximal function for sparse component. It returns the updated coefficient vector (matrix).

Value

value of proximal function

Examples

set.seed(100)
w1 <- stats::rnorm(10)
y <- stats::rnorm(10)
A <- matrix(stats::rnorm(200), 20, 10)
b <- stats::rnorm(20)
L <- 0.1
lambda <- 0.5
AtA <- t(A) %*% A
Atb <- t(A) %*% b
prox_sparse_func(w1, y, A, b, L, lambda, AtA, Atb)

kevinbai92/LSvarEstimate documentation built on May 8, 2020, 1:04 a.m.