fista.LpS {VARDetect} | R Documentation |
A function to solve low rank plus sparse model estimation using FISTA algorithm
Description
A function to solve low rank plus sparse model estimation
Usage
fista.LpS(
A,
b,
lambda,
mu,
alpha_L = 0.25,
niter = 100,
backtracking = TRUE,
x.true
)
Arguments
A |
A design matrix with size of n by p |
b |
A matrix, (or vector) with size of n by p (or n by 1) |
lambda |
A positive numeric value, indicating the tuning parameter for sparse component |
mu |
A positive numeric value, indicating the tuning parameter for low rank component |
alpha_L |
The constraint coefficient of low rank component, default is 0.25 |
niter |
The maximum number of iterations required for FISTA |
backtracking |
A boolean argument, indicating that use backtracking in the FISTA |
x.true |
A p by p matrix, the true model parameter. Only available for simulation. |
Value
A list object, including the followings
- sparse.comp
Estimated sparse component
- lr.comp
Estimated low-rank component
- obj.val
Values of objective function
- rel.err
Relative errors compared with the true model parameters if available
[Package VARDetect version 0.1.8 Index]