fastclime.selector {fastclime} | R Documentation |
Select the precision matrix and solution path for a given parameter lambda
fastclime.selector(lambdamtx, icovlist, lambda)
lambdamtx |
The sequence of regularization parameters for each column, it is a |
icovlist |
A |
lambda |
The user specified parameter lambda. The function will return the solution path corresponding to this value. Note |
The output from fastclime
stores a list of precision matrice and a matrix of parameters. This program will select the required solution path and precision matrix for a given parameter lambda
.
An object with S3 class "fastclime.selector" is returned:
icov |
The estimated precision matrix corresponding to |
adaj |
The estimated graph path corresponding to |
sparsity |
The sparsity level of this estimated graph for this value of lambda. |
The function is able to estimate the precision matrices corresponding to all lambda
values ranging from 1
to lambda.min
, provided a large enough nlambda
is used in fastclime
. The function will give a message if the program could not find the solution path corresponding to the required lamba
. The user may want to incease nlambda
in fastclime
in order to find the required solution path.
Haotian Pang, Han Liu and Robert Vanderbei
Maintainer: Haotan Pang<hpang@princeton.edu>
fastclime
and fastclime-package
#generate data L = fastclime.generator(n = 100, d = 20) #graph path estimation out1 = fastclime(L$data,0.1) out2 = fastclime.selector(out1$lambdamtx, out1$icovlist,0.2) fastclime.plot(out2$adaj)