objectiveFast {npmr}

Shortcut computation for NPMR objective function

Description

Computes the objective function for NPMR more quickly than objective by leveraging pre-computed fitted values, which is the bottleneck in computing the objective. Intended for internal use only.

Usage

objectiveFast(B, P, W, lambda)

Arguments

B

fitted regression coefficient matrix

P

matrix of fitted multinomial class probabilities

W

vector containing indices of P which correspond to observed data

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.

See Also

objective, nuclear, PGDnpmr