approx.balance: Compute approximately balancing weights

In swager/balanceHD: Approximately balanced estimation of average treatment effects in high dimensions.

Description

Returns the minimizer of: (1 - zeta) ||gamma||^2 + zeta ||M'gamma - balance.target||_infty^2 (*)

Usage

approx.balance(M, balance.target, zeta = 0.5,
  allow.negative.weights = FALSE, optimizer = c("mosek", "pogs",
  "pogs.dual", "quadprog"), bound.gamma = FALSE, verbose = FALSE)

Arguments

M	the feature matrix, see (*)
balance.target	the target solution, see (*)
zeta	tuning parameter, see (*)
allow.negative.weights	are the gammas allowed to be negative?
optimizer	Which optimizer to use? Mosek is a commercial solver, but free academic licenses are available. Needs to be installed separately. Pogs runs ADMM and may be useful for large problems, and must be installed separately. Quadprog is the default R solver.
bound.gamma	whether upper bound on gamma should be imposed
verbose	whether the optimizer should print progress information

Value

gamma, the minimizer of (*)

swager/balanceHD documentation built on Aug. 10, 2021, 1:54 a.m.