update_step_gamma {ShiVa} | R Documentation |
Update Step for Gamma
Description
Performs one update step for the gamma_k
parameter in an iterative optimization routine, potentially applying L1 shrinkage.
Usage
update_step_gamma(gamma_k, X_k, Sigma, r, lambda2, t, penalty, V, q_k)
Arguments
gamma_k |
Current value of the |
X_k |
The |
Sigma |
Current covariance matrix. |
r |
Residual vector, typically |
lambda2 |
Non-negative tuning parameter controlling the degree of L1 shrinkage applied to |
t |
Step size for the gradient update. |
penalty |
Penalty type; either |
V |
Baseline covariance matrix when |
q_k |
The |
Value
A list containing:
gamma_k |
The updated value of |
Sigma |
The updated covariance matrix |
[Package ShiVa version 1.0.1 Index]