Calculating the loss of the MIP used to estimate a SMI model

Calculates the value of the objective function (loss function) of the mixed integer program used to estimate a SMI model.

Usage

loss(Y, Yhat, alpha, lambda0, lambda2)

Arguments

Y

Column matrix of response.

Yhat

Predicted value of the response.

alpha

Vector of index coefficients.

lambda0

Penalty parameter for L0 penalty.

lambda2

Penalty parameter for L2 penalty.

Value

A numeric.