The \(Z\)-update Step

A C implementation of the \(Z\)-update step. We solve a generalized LASSO problem repeatedly for each of the individual edges

Usage

updateZRcpp(m, p, Theta, Y, W, eta1, eta2, a, rho, max_iter, eps, truncate)

Arguments

m

The number of graphs

p

The number of variables

Theta

A list of matrices with the \(\Theta\)-matrices

Y

A list of matrices with the \(Y\)-matrices

W

The weight matrix \(W\) of dimensions \(m x m\)

eta1

Equals \(\lambda_1 / rho\)

eta2

Equals \(\lambda_2 / rho\)

a

Value added to the diagonal of \(-D'D\) so that the matrix is positive definite, see matrix_A_inner_ADMM

rho

The ADMM's parameter

max_iter

Maximum number of iterations

eps

Stopping criterion. If differences are smaller than \(\epsilon\), algorithm is halted

truncate

Values below truncate are set to 0

Value

The estimated vector \(\hat{\beta}\)

Author

Louis Dijkstra