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
L_BFGS.ProgressMonitor	_pm
double[]	_u
static double	DEFAULT_ABSTOL
static double	DEFAULT_RELTOL

Constructor Summary

Constructors

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

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) solution x without the l1penalty
ADMM.L1Solver	setGradientNorm(water.util.MathUtils.Norm n)
boolean	solve(ADMM.ProximalSolver solver, double[] res, double lambda, boolean hasIntercept)
boolean	solve(ADMM.ProximalSolver solver, double[] z, double l1pen, boolean hasIntercept, double[] lb, double[] ub)
java.lang.String	toString()

Methods inherited from class java.lang.Object

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

Field Detail

_u

public double[] _u

DEFAULT_RELTOL

public static double DEFAULT_RELTOL

DEFAULT_ABSTOL

public static double DEFAULT_ABSTOL

_pm

public L_BFGS.ProgressMonitor _pm

Constructor Detail

ADMM.L1Solver

public ADMM.L1Solver(double eps,
             int max_iter,
             double[] u)

ADMM.L1Solver

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

Method Detail

setGradientNorm

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

solve

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

solve

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

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object

estimateRho

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

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

Parameters:

x -

l1pen -

Returns: