Use the DAL Elastic Net Algorithm

en_dal_options(
  max_it = 100,
  max_inner_it = 100,
  eta_multiplier = 2,
  eta_start_conservative = 0.01,
  eta_start_aggressive = 1,
  lambda_relchange_aggressive = 0.25
)

Arguments

max_it

maximum number of (outer) iterations.

max_inner_it

maximum number of (inner) iterations in each outer iteration.

eta_multiplier

multiplier for the barrier parameter. In each iteration, the barrier must be more restrictive (i.e., the multiplier must be > 1).

eta_start_conservative

conservative initial barrier parameter. This is used if the previous penalty is undefined or too far away.

eta_start_aggressive

aggressive initial barrier parameter. This is used if the previous penalty is close.

lambda_relchange_aggressive

how close must the lambda parameter from the previous penalty term be to use an aggressive initial barrier parameter (i.e., what constitutes "too far").

Value

options for the DAL EN algorithm.

See also

Other EN algorithms: en_admm_options(), en_lars_options()