optimize.multiplier {swfdr} | R Documentation

## recursive internal function to find an optimal value of lambda so that trace(X+lambda*omega) = target

### Description

This implementation relies on the knowledge that a larger lagrange multiplier leads to lower trace(X+lambda*omega).

### Usage

    optimize.multiplier(X, omega, target = 5, interval = c(1e-06, 1, 2),
      values = c(NA, NA, NA), tol = 1e-04)

### Arguments

`X` | matrix
`omega` | matrix
`target` | numeric, target for trace(X+lambda*omega)
`interval` | numeric vector of length 2, current range for lambda (internal use)
`values` | numeric vector of length 2, current target estimates (internal use)
`tol` | numeric, numerical tolerance, does not need to be very small

### Details

The implementation starts in an interval (0, 1, 2) and the expands the interval or zooms in to find an

### Value

value of lagrange multiplier that bring criterion close to its target

[Package swfdr version 1.13.0 Index]