public class ConstrainedLASSOProblem extends LMProblem
| Constructor and Description |
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ConstrainedLASSOProblem(ConstrainedLASSOProblem that)
Copy constructor.
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ConstrainedLASSOProblem(Vector y,
Matrix X,
double t)
Constructs a LASSO problem in the constrained form.
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| Modifier and Type | Method and Description |
|---|---|
double |
t()
Get the penalization parameter for the constrained form of LASSO.
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A, checkInputs, intercept, invOfwAtwA, nExogenousFactors, nFactors, nObs, wA, weights, wy, X, ypublic ConstrainedLASSOProblem(Vector y, Matrix X, double t)
y - the vector of response variable (n * 1), properly demeaned and scaledX - the design matrix of factors (n * m), properly demeaned and scaledt - the penalization parameterpublic ConstrainedLASSOProblem(ConstrainedLASSOProblem that)
that - another LASSOProblemCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.