standardform {SSPA} | R Documentation |
Transforms an objective function containing non-diagonal penalty to standard form (diagonal penalty)
standardform(b, A, L)
b |
the b vector of the system: Ax = b. |
A |
the A matrix of the system: Ax = b. |
L |
non-diagonal penalty |
details follow.
Transformed system ||Ax - b || + lambda ||L|| with L diagonal.
Maarten van Iterson