icm_subset_cpp {iclogcondist} | R Documentation |
Iterative Convex Minorant (ICM) Subset Algorithm
Description
This function implements the ICM algorithm for solving the sub-problem in the active set algorithm.
This is a support of the active set algorithm, computing the optimal values phi_tilde
with reduced number of knots in the sub-problem.
It uses backtracking to ensure convergence (Jongbloed, 1998).
Usage
icm_subset_cpp(
phi_tilde_initial,
is,
tau_no_Inf,
L_Rc,
Lc_R,
Lc_Rc,
ri,
li,
weight,
tol = 1e-10,
max_iter = 500
)
Arguments
phi_tilde_initial |
A numeric vector representing the initial values of the reduced variables |
is |
A numeric vector indicating the nodes with unequal left-hand slope and right-hand slope. |
tau_no_Inf |
A numeric vector containing the unique time points, excluding infinity. |
L_Rc |
Indices of observations where the event is in the intersection of L group and the complement of R group. The L group consists of samples with left intervals time <= min(all right intervals time). The R group consists of samples with infinity right interval time. |
Lc_R |
Indices of observations where the event is in the intersection of the complement of L group and R group. |
Lc_Rc |
Indices of observations where the event is in the intersection of the complement of L group and the complement of R group. |
ri |
A numeric vector of indices corresponding to the right bounds of the intervals in |
li |
A numeric vector of indices corresponding to the left bounds of the intervals in |
weight |
A numeric vector representing the weights for each observation. |
tol |
A numeric value specifying the tolerance for convergence. Default is |
max_iter |
An integer specifying the maximum number of iterations. Default is |
Value
A list containing:
- phi_tilde_hat
The estimated values of the reduced variable
phi_tilde
at the end of the ICM iterations.
References
Jongbloed, G.: The iterative convex minorant algorithm for nonparametric estimation. J. Comput. Gr. Stat. 7(3), 310–321 (1998)