Minimises 1/2 ||Ax - b||^2 + lam * ||x||_1; the prox is
soft-thresholding at lam * t, not at t.
Usage
lasso_fista(A, b, lam, max_iter = 500L, tol = 1e-10, accelerate = TRUE)
Arguments
- A
Numeric matrix.
- b
Numeric vector.
- lam
Non-negative penalty.
- max_iter
Integer, maximum iterations.
- tol
Stop when the step is at most tol.
- accelerate
If TRUE run FISTA, otherwise ISTA.
Value
A list with estimate, x, fun,
objective, iterations, L, accelerated,
converged, method, lambda, L.
Examples
set.seed(4)
A <- matrix(rnorm(100 * 5), 100, 5)
b <- A %*% c(2, 0, 0, -1, 0) + rnorm(100, sd = 0.1)
round(lasso_fista(A, as.numeric(b), lam = 5)$x, 3)
#> [1] 1.949 0.000 0.000 -0.922 0.000
