hex.optimization

Class ADMM.L1Solver

java.lang.Object

hex.optimization.ADMM.L1Solver

Enclosing class:

ADMM

public static class ADMM.L1Solver
extends java.lang.Object

Field Summary

Fields

Modifier and Type	Field and Description
static double	DEFAULT_ABSTOL
static double	DEFAULT_RELTOL

Constructor Summary

Constructors

Constructor and Description
ADMM.L1Solver(double eps, int max_iter)
ADMM.L1Solver(double eps, int max_iter, double reltol, double abstol)

Method Summary

Methods

Modifier and Type	Method and Description
static double	estimateRho(double x, double l1pen, double lb, double ub) Estimate optimal rho based on l1 penalty and (estimate of) soltuion x without the l1penalty
ADMM.L1Solver	setGradientNorm(water.util.MathUtils.Norm n)
boolean	solve(ADMM.ProximalSolver solver, double[] res, double lambda)
boolean	solve(ADMM.ProximalSolver solver, double[] z, double l1pen, boolean hasIntercept, double[] lb, double[] ub)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT_RELTOL

public static double DEFAULT_RELTOL

DEFAULT_ABSTOL

public static double DEFAULT_ABSTOL

Constructor Detail

ADMM.L1Solver

public ADMM.L1Solver(double eps,
             int max_iter)

ADMM.L1Solver

public ADMM.L1Solver(double eps,
             int max_iter,
             double reltol,
             double abstol)

Method Detail

setGradientNorm

public ADMM.L1Solver setGradientNorm(water.util.MathUtils.Norm n)

solve

public boolean solve(ADMM.ProximalSolver solver,
            double[] res,
            double lambda)

solve

public boolean solve(ADMM.ProximalSolver solver,
            double[] z,
            double l1pen,
            boolean hasIntercept,
            double[] lb,
            double[] ub)

estimateRho

public static double estimateRho(double x,
                 double l1pen,
                 double lb,
                 double ub)

Estimate optimal rho based on l1 penalty and (estimate of) soltuion x without the l1penalty

Parameters:

x -

l1pen -

Returns: