Solves the optimization problem needed to create equi-correlated knockoffs
MFKnockoffs.knocks.solve_equi(Sigma)A positive-definite covariance matrix
The solution \(s\) to the semidefinite programming problem defined above
Computes the closed-form solution to the semidefinite programming problem: $$ \mathrm{maximize} \; s \quad \mathrm{subject} \; \mathrm{to:} \; 0 <= s <= 1, \; 2\Sigma - sI >= 0 $$ used to generate equi-correlated knockoffs.
The closed form-solution to this problem is \(s = 2\lambda_{\mathrm{min}}(\Sigma) \land 1\)
Other Optimize knockoffs: MFKnockoffs.knocks.solve_asdp,
MFKnockoffs.knocks.solve_sdp