optimize.multiplier {swfdr}R Documentation

recursive internal function to find an optimal value of lambda so that trace(X+lambda*omega) = target

Description

This implementation relies on the knowledge that a larger lagrange multiplier leads to lower trace(X+lambda*omega).

Usage

optimize.multiplier(X, omega, target = 5, interval = c(1e-06, 1, 2),
  values = c(NA, NA, NA), tol = 1e-04)

Arguments

X

matrix

omega

matrix

target

numeric, target for trace(X+lambda*omega)

interval

numeric vector of length 2, current range for lambda (internal use)

values

numeric vector of length 2, current target estimates (internal use)

tol

numeric, numerical tolerance, does not need to be very small

Details

The implementation starts in an interval (0, 1, 2) and the expands the interval or zooms in to find an

Value

value of lagrange multiplier that bring criterion close to its target


[Package swfdr version 1.12.0 Index]