Determine the Diagonal of Matrix \(A\)

The wFLSA algorithm requires the choice of a matrix \(A\) such that \(A - D'D\) is positive semidefinite. We choose the matrix \(A\) to be diagonal with a fixed value \(a\). This function determines the smallest value of \(a\) such that \(A - D'D\) is indeed positive semidefinite. We do this be determining the largest eigenvalue

Usage

calculate_diagonal_matrix_A(W, eta1, eta2)

Arguments

W

Weight matrix \(W\)

eta1, eta2

The values \(\eta_1 = \lambda_1 / \rho\) and \(\eta_2 = \lambda_2 / \rho\)

Value

Value of \(a\)

References

Zhu, Y. (2017). An Augmented ADMM Algorithm With Application to the Generalized Lasso Problem. Journal of Computational and Graphical Statistics, 26(1), 195–204. https://doi.org/10.1080/10618600.2015.1114491