Wrapper for genlassoRcpp — genlasso

See for details genlassoRcpp

Usage

genlasso_wrapper(y, W, m, eta1, eta2, a, rho, max_iter, eps, truncate)

y: A numeric vector
W: Weight matrix
m: Number of graphs
eta1: lambda1 / rho, with \(\rho\) is penalty parameter for the global ADMM algorithm (Default: 1)
eta2: lambda2 / rho
a: constant
rho: the \(\rho\) penalty parameter for the ADMM algorithm
max_iter: Maximum number of iterations (Default: 100)
eps: If the relative difference between two update steps is smaller than \(\epsilon\), the algorithm stops. See relative_difference_precision_matrices (Default: 1e-4)
truncate: All values of the final \(\hat{\Theta}_i\)'s below truncate will be set to 0. (Default: 1e-4)