createFastIhtPrior {IterativeHardThresholding}

Create a fastIHT Cyclops prior object

Description

createFastIhtPrior creates a fastIHT Cyclops prior object for use with fitCyclopsModel.

Usage

createFastIhtPrior(
  K,
  penalty = 0,
  exclude = c(),
  forceIntercept = FALSE,
  fitBestSubset = FALSE,
  initialRidgeVariance = 10000,
  tolerance = 1e-08,
  maxIterations = 10000,
  threshold = 1e-06
)

Arguments

K

Maximum # of non-zero covariates

penalty

Specifies the IHT penalty

exclude

A vector of numbers or covariateId names to exclude from prior

forceIntercept

Logical: Force intercept coefficient into regularization

fitBestSubset

Logical: Fit final subset with no regularization

initialRidgeVariance

Numeric: variance used for algorithm initiation

tolerance

Numeric: maximum abs change in coefficient estimates from successive iterations to achieve convergence

maxIterations

Numeric: maximum iterations to achieve convergence

threshold

Numeric: absolute threshold at which to force coefficient to 0

Value

An IHT Cyclops prior object of class inheriting from "cyclopsPrior" for use with fitCyclopsModel.

Examples

nobs = 500; ncovs = 100
prior <- createFastIhtPrior(K = 3, penalty = log(ncovs), initialRidgeVariance = 1 / log(ncovs))