R/Choleski_factors.R
In umich-biostatistics/ECLasso: Solving Equality-Constrained Generalized Linear Models or Cox Regression with Lasso Penalty via Alternating Direction Method of Multipliers (ADMM)
Defines functions
Choleski_factors
Choleski_factors <-
function(E,rho)
{
m=nrow(E);
n=ncol(E);
if (m>=n)
U=chol(t(E)%*%E+rho*diag(n)) else
U=chol(diag(m)+1/rho*(E%*%t(E)))
L=t(U);
return(list(L,U))
}
umich-biostatistics/ECLasso documentation built on Jan. 29, 2020, 9:12 p.m.
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Defines functions Choleski_factors
Choleski_factors <-
function(E,rho)
{
m=nrow(E);
n=ncol(E);
if (m>=n)
U=chol(t(E)%*%E+rho*diag(n)) else
U=chol(diag(m)+1/rho*(E%*%t(E)))
L=t(U);
return(list(L,U))
}
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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