prox.sparse.func {LSVAR} | R Documentation |
Proximal function with l1-norm penalty updating
Description
Proximal function with l1-norm
Usage
prox.sparse.func(w1, y, A, b, L, lambda, AtA, Atb)
Arguments
w1 |
previously updated model parameter |
y |
updated model parameter |
A |
design matrix |
b |
correspond vector, or matrix |
L |
learning rate |
lambda |
tuning parameter for sparse component |
AtA |
Gram matrix of design matrix A |
Atb |
inner product of design matrix A and correspond vector b |
Value
Value of proximal function with l1-norm penalty
[Package LSVAR version 1.2 Index]