| control {covglasso} | R Documentation |
Set control parameters
Description
Set control parameters of the coordinate descent algorithm for the graphical lasso for sparse covariance matrix estimation.
Usage
control(iter.out = 1e04, iter.in = 1e03, tol.out = 1e-04, tol.in = 1e-03)
Arguments
iter.out |
Maximum number of iterations in the in the outer loop of the coordinate descent algorithm. |
iter.in |
Maximum number of iterations in the in the inner loop of the coordinate descent algorithm. |
tol.out |
Tolerance value for judging when convergence has been reached. Used in the outer loop of the coordinate descent algorithm. |
tol.in |
Tolerance value for judging when convergence has been reached. Used in the inner loop of the coordinate descent algorithm. |
Details
Function control is used to set control parameters of the coordinate descent algorithm employed for solving the covariance graphical lasso.
Value
A list of parameters values.
References
Wang, H. (2014). Coordinate descent algorithm for covariance graphical lasso. Statistics and Computing, 24:521.