R/control_options.R
en_algorithm_options.RdThe package supports different algorithms to compute the EN estimate
for weighted LS loss functions.
Each algorithm has certain characteristics that make it useful for some
problems.
To select a specific algorithm and adjust the options, use any of
the en_***_options functions.
en_lars_options(): Use the tuning-free LARS algorithm.
This computes exact (up to numerical errors) solutions to the EN-LS
problem.
It is not iterative and therefore can not benefit from approximate
solutions, but in turn guarantees that a solution will be found.
en_cd_options(): Use an iterative coordinate descent algorithm which
needs \(O(n p)\) operations per iteration and converges sub-linearly.
en_admm_options(): Use an iterative ADMM-type algorithm which needs
\(O(n p)\) operations per iteration and converges sub-linearly.
en_dal_options(): Use the iterative Dual Augmented Lagrangian (DAL)
method.
DAL needs \(O(n^3 p^2)\) operations per iteration, but converges
exponentially.