mm_algorithm_options {pense}

MM-Algorithm to Compute Penalized Elastic Net S- and M-Estimates

Description

Additional options for the MM algorithm to compute EN S- and M-estimates.

Usage

mm_algorithm_options(
  max_it = 500,
  tightening = c("adaptive", "exponential", "none"),
  tightening_steps = 2,
  en_algorithm_opts
)

Arguments

max_it

maximum number of iterations.

tightening

how to make inner iterations more precise as the algorithm approaches a local minimum.

tightening_steps

for adaptive tightening strategy, how often to tighten until the desired tolerance is attained.

en_algorithm_opts

options for the inner LS-EN algorithm. See en_algorithm_options for details.

Value

options for the MM algorithm.

See Also

cd_algorithm_options for a direct optimization of the non-convex PENSE loss.