createIhtPrior {IterativeHardThresholding}

Create an IHT Cyclops prior object

Description

createIhtPrior creates an IHT Cyclops prior object for use with fitCyclopsModel.

Usage

createIhtPrior(
  K,
  penalty = "bic",
  exclude = c(),
  forceIntercept = FALSE,
  fitBestSubset = FALSE,
  initialRidgeVariance = 0.1,
  tolerance = 1e-08,
  maxIterations = 10000,
  threshold = 1e-06,
  delta = 0
)

Arguments

K

Maximum # of non-zero covariates

penalty

Specifies the IHT penalty; possible values are 'BIC' or 'AIC' or a numeric value

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

delta

Numeric: change from 2 in ridge norm dimension

Value

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

Examples

prior <- createIhtPrior(K = 10)