Initialising index coefficients

Initialises index coefficient vector through linear regression or penalised linear regression.

Usage

init_alpha(
  Y,
  X,
  index.ind,
  init.type = "penalisedReg",
  lambda0 = 1,
  lambda2 = 1,
  M = 10
)

Arguments

Y

Column matrix of response.

X

Matrix of predictors entering indices.

index.ind

An integer vector that assigns group index for each predictor.

init.type

Type of initialisation for index coefficients. ("penalisedReg" - Penalised linear regression; "reg" - Linear regression)

lambda0

If init.type = "penalisedReg", penalty parameter for L0 penalty.

lambda2

If init.type = "penalisedReg", penalty parameter for L2 penalty.

M

If init.type = "penalisedReg", the big-M value to be used in the MIP.

Value

A list containing the following components:

alpha_init

Normalised vector of index coefficients.

alpha_nonNormalised

Non-normalised (i.e. prior to normalising) vector of index coefficients.