| objective {npmr} | R Documentation |
NPMR objective function
Description
Return the objective function of the data and the fitted parameters for nuclear penalized multinomial regression. The objective is the sum of the negative log-likelihood and the product of the regularization parameter and nuclear norm of the fitted regression coefficient matrix. Intended for internal use only.
Usage
objective(B, b, X, Y, lambda)
Arguments
B |
fitted regression coefficient matrix |
b |
fitted regression intercept vector |
X |
covariate matrix |
Y |
multinomial response matrix |
lambda |
regularization parameter (maybe be a vector of values) |
Value
a vector of objective values for the NPMR optimization problem, one for each
value of lambda
Author(s)
Scott Powers, Trevor Hastie, Rob Tibshirani
References
Scott Powers, Trevor Hastie and Rob Tibshirani (2016). “Nuclear penalized multinomial regression with an application to predicting at bat outcomes in baseball.” In prep.