hdim::CoordinateDescentWithScreen< T > Class Template Reference

Inheritance diagram for hdim::CoordinateDescentWithScreen< T >:

Collaboration diagram for hdim::CoordinateDescentWithScreen< T >:

Public Member Functions
	CoordinateDescentWithScreen (const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &X, const Eigen::Matrix< T, Eigen::Dynamic, 1 > &Y, const Eigen::Matrix< T, Eigen::Dynamic, 1 > &Beta_0)
Eigen::Matrix< T, Eigen::Dynamic, 1 >	operator() (const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &X, const Eigen::Matrix< T, Eigen::Dynamic, 1 > &Y, const Eigen::Matrix< T, Eigen::Dynamic, 1 > &Beta_0, const T lambda, const T duality_gap_target)
	Run the Sub-Gradient Descent algorithm until the duality gap is below the threshold specified by duality_gap_target. More...
Eigen::Matrix< T, Eigen::Dynamic, 1 >	operator() (const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &X, const Eigen::Matrix< T, Eigen::Dynamic, 1 > &Y, const Eigen::Matrix< T, Eigen::Dynamic, 1 > &Beta_0, const T lambda, const unsigned int num_iterations)
	Run the AbstractSolver for a fixed number of steps, specified by num_iterations. More...

Additional Inherited Members
Protected Member Functions inherited from hdim::internal::Solver< T >
virtual Eigen::Matrix< T, Eigen::Dynamic, 1 >	update_rule (const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &X, const Eigen::Matrix< T, Eigen::Dynamic, 1 > &Y, const Eigen::Matrix< T, Eigen::Dynamic, 1 > &Beta_0, T lambda)=0

Detailed Description

template<typename T>
class hdim::CoordinateDescentWithScreen< T >

Definition at line 29 of file coordinatedescentwithscreen.hpp.

Member Function Documentation

template<typename T >

Eigen::Matrix< T, Eigen::Dynamic, 1 > hdim::CoordinateDescentWithScreen< T >::operator() ( const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &  X, const Eigen::Matrix< T, Eigen::Dynamic, 1 > &  Y, const Eigen::Matrix< T, Eigen::Dynamic, 1 > &  Beta_0, const T  lambda, const T  duality_gap_target  )

virtual

Run the Sub-Gradient Descent algorithm until the duality gap is below the threshold specified by duality_gap_target.

Parameters

X	An n x p design matrix.
Y	A 1 x n vector of predictors.
Beta_0	A 1 x n vector of starting parameters.
lambda	Current grid element.
duality_gap_target	The algorithm will iterate until the compute duality gap is below duality_gap_target. Note care should be exercised, as the algorithm can iterate ad infinitum.

Returns

A 1 x n vector of results from the algorithm.

Reimplemented from hdim::internal::Solver< T >.

Definition at line 156 of file coordinatedescentwithscreen.hpp.

template<typename T >

Eigen::Matrix< T, Eigen::Dynamic, 1 > hdim::CoordinateDescentWithScreen< T >::operator() ( const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &  X, const Eigen::Matrix< T, Eigen::Dynamic, 1 > &  Y, const Eigen::Matrix< T, Eigen::Dynamic, 1 > &  Beta_0, const T  lambda, const unsigned int  num_iterations  )

virtual

Run the AbstractSolver for a fixed number of steps, specified by num_iterations.

Parameters

X	An n x p design matrix.
Y	A 1 x n vector of predictors.
Beta_0	A 1 x n vector of starting parameters.
lambda	Current grid element.
num_iterations	The number of times the algorithm should iterate.

Returns

A 1 x n vector of results from the algorithm.

Reimplemented from hdim::internal::Solver< T >.

Definition at line 79 of file coordinatedescentwithscreen.hpp.