WpProj (version 0.2.1)

W1L1: 1-Wasserstein projection

Description

1-Wasserstein projection

Usage

W1L1(
  X,
  Y,
  theta = NULL,
  penalty = c("none", "lasso", "scad", "mcp"),
  model.size = NULL,
  lambda = numeric(0),
  lambda.min.ratio = 1e-04,
  nlambda = 10,
  gamma = 1,
  display.progress = FALSE,
  solver = c("cone", "rqPen", "gurobi", "mosek"),
  ...
)

Value

WpProj object

Arguments

X

Covariates

Y

Predictions from arbitrary model

theta

Parameters of original linear model. Optional.

penalty

penalty term to use. One of "none", "lasso","scad","mcp"

model.size

Maximum number of coefficients in interpretable model

lambda

Lambdas to use

lambda.min.ratio

Minimum lambda to select if choosing lambdas using default methods

nlambda

number of lambdas to look through

gamma

parameter for SCAD and MCP methods

display.progress

Print intermediate output?

solver

Solver to use. Must be one of "rqPen", "gurobi", "mosek", though "mosek" is preferred.

...

options to pass to solvers