fista.nuclear {VARDetect} | R Documentation |
A helper function for implementing FISTA algorithm to estimate low-rank matrix
Description
Function to estimate low-rank matrix using FISTA algorithm
Usage
fista.nuclear(A, b, lambda, d, niter, backtracking = TRUE, phi.true)
Arguments
A |
A n by p design matrix |
b |
A correspond vector, or a matrix |
lambda |
tuning parameter |
d |
model dimension |
niter |
the maximum number of iterations required for applying FISTA algorithm |
backtracking |
a boolean argument, indicate whether use backtracking or not |
phi.true |
true model parameter, only available for simulations |
Value
A list object, including
- phi.hat
Estimated low-rank matrix
- obj.vals
Values of objective function for all iterations
- rel.err
Relative error to the true model parameter, only available for simulation
[Package VARDetect version 0.1.8 Index]