check_KKT {penalizedcdf}

Check on the condition of Karush-Kuhn-Tucker

Description

Control over Karush-Kuhn-Tucker (Karush, 1939) conditions for the estimates obtained.

Usage

check_KKT(obj,
          intercept = TRUE)

Arguments

obj

Object to be checked.

intercept

Is the intercept used in the model?

Value

grd

The value of gradient.

hx

The value of equality constraint.

glob

The global value of derivative (grd + hx).

test

Is the condition verified?

lmb

The values of lambda used in the model

Author(s)

Daniele Cuntrera, Luigi Augugliaro, Vito Muggeo

References

Karush, W. (1939). Minima of functions of several variables with inequalities as side constraints. M. Sc. Dissertation. Dept. of Mathematics, Univ. of Chicago.

Examples

p <- 10
n <- 100
X <- cbind(1, matrix(rnorm(n * p), n , p))
b.s <- c(1, rep(0, p))
b.s[sample(2:p, 3)] <- 1
y <- drop(crossprod(t(X), b.s))
out <- cdfPen(X = X, y = y)

KKT <- check_KKT(out)
plot(KKT$test)