cdOptim: Coordinate descent optimisation for non smooth functions

In tathagatabasu/SubgradOptim: Optimisation with piece-wise differentiable functions.

Description

Function for minimising piecewise differentiable objective functions.

Usage

cdOptim(theta, fn, theta_it, tol = 1e-06, maxit = 1000)

Arguments

theta	Initial value.
fn	Function to optimise.
theta_it	Iterative theta for coordinate descent algorithm. Default is NULL.
tol	Relative convergence tolerance
maxit	Maximum number of iterations if relative convergence is not reached. Default is 1000.

Value

The function returns a list with following components

par	The best set of parameters
value	The value of the function corresponding to best set of parameters.
iteration	Number of iterations taken

tathagatabasu/SubgradOptim documentation built on Nov. 5, 2019, 10 a.m.