penalty_derivative function

Penalty Derivative

Compute the derivative for a nonconvex penalty.

penalty_derivative(
  theta = seq(-5, 5, length.out = 1e+05),
  penalty = "atan",
  lambda = 1,
  gamma = c(0.01, 0.05)
)

Arguments

• theta: Numeric vector. Values for which the derivative is computed.
• penalty: Character string. Which penalty should be used (defaults to "atan")? See ggmncv for the available penalties.
• lambda: Numeric. Regularization parameter (defaults to 1).
• gamma: Numeric vector. Hyperparameter(s) for the penalty function

Returns

A list of class penalty_derivative, including the following:

• deriv: Data frame including the derivative, theta, gamma, and the chosen penalty.
• lambda: Regularization parameter.

Note

Some care is required for specifying gamma. For example, the default value for scad is 3.7 and it must be some value greater than 2 if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="fan2001variable",package="GGMncv",cached_env=.Rdpack.currefs) . The default values in GGMncv are set to recommended values in the respective papers.

Examples

deriv <- penalty_derivative(theta =  seq(-5,5,length.out = 10000),
                            lambda = 1,
                            gamma = c(0.01, 0.05, 0.1))

head(deriv$deriv)

References

if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_all_ref(.Rdpack.currefs)