Research Article
Variable Selection and Parameter Estimation with the Atan Regularization Method
Algorithm 1
Iteratively reweighted Lasso (IRL) algorithm.
(1) Start with . Set and . | Outer loop: | (2) Set and ; | (3) Increment and ; | (4) Update the weights: , ; | Inner loop: | Solve the Karush-Kuhn-Tucker (KKT) conditions for fixed : | , if , | , if , | (5) Goto Step (3); | (6) Repeat Steps (3)–(5) until . | The estimate is the limit point of the outer loop, ; | (7) Decrement and . Return to (2) using as a warm start. |
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