Create a fastIHT Cyclops prior object — createFastIhtPrior • IterativeHardThresholding

createFastIhtPrior creates a fastIHT Cyclops prior object for use with fitCyclopsModel.

createFastIhtPrior(
  K,
  penalty = 0,
  exclude = c(),
  forceIntercept = FALSE,
  fitBestSubset = FALSE,
  initialRidgeVariance = 10000,
  tolerance = 1e-08,
  maxIterations = 10000,
  threshold = 1e-06
)

Arguments

K	Maximum # of non-zero covariates
penalty	Specifies the IHT penalty
exclude	A vector of numbers or covariateId names to exclude from prior
forceIntercept	Logical: Force intercept coefficient into regularization
fitBestSubset	Logical: Fit final subset with no regularization
initialRidgeVariance	Numeric: variance used for algorithm initiation
tolerance	Numeric: maximum abs change in coefficient estimates from successive iterations to achieve convergence
maxIterations	Numeric: maximum iterations to achieve convergence
threshold	Numeric: absolute threshold at which to force coefficient to 0

Value

An IHT Cyclops prior object of class inheriting from "cyclopsPrior" for use with fitCyclopsModel.

Examples

nobs = 500; ncovs = 100
prior <- createFastIhtPrior(K = 3, penalty = log(ncovs), initialRidgeVariance = 1 / log(ncovs))