prox_gradient_mapping {changepointsHD} | R Documentation |
Performs the proximal-gradient mapping operation to estimate a regularized version of the inverse cov. matrix. Follows the procedure described in, http://dept.stat.lsa.umich.edu/~yvesa/sto_prox.pdf
prox_gradient_mapping(data, theta_start, update_w, update_change, regularizer, max_iter, tol)
data |
N x P matrix corresponding to the raw data. |
theta_start |
Initial value for precision estimate. |
update_w |
Step size for prox-gradient mapping. |
update_change |
Proportion of |
regularizer |
Regularizing constant, lambda. |
max_iter |
Number of mapping iterations. |
tol |
Tolerance at which the algorithm stops running. |
Theta (precision matrix) estimate.
Leland Bybee <lelandb@umich.edu>