DWDLargeR-package {DWDLargeR}

Fast Algorithms for Large Scale Generalized Distance Weighted Discrimination

Description

Solving large scale distance weighted discrimination. The main algorithm is a symmetric Gauss-Seidel based alternating direction method of multipliers (ADMM) method.

Details

The package DWDLargeR contains two main functions:
penaltyParameter
genDWD

Author(s)

Xin-Yee Lam, J.S. Marron, Defeng Sun, and Kim-Chuan Toh

References

Lam, X.Y., Marron, J.S., Sun, D.F., and Toh, K.C. (2018) “Fast algorithms for large scale generalized distance weighted discrimination", Journal of Computational and Graphical Statistics, forthcoming.
https://arxiv.org/abs/1604.05473