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updog (version 1.1.3)

uni_em: EM algorithm to fit weighted ash objective.

Description

Solves the following optimization problem $$\max_{\pi} \sum_k w_k \log(\sum_j \pi_j \ell_jk).$$ It does this using a weighted EM algorithm.

Usage

uni_em(weight_vec, lmat, pi_init, lambda, itermax, obj_tol)

Arguments

weight_vec

A vector of weights. Each element of weight_vec corresponds to a column of lmat.

lmat

A matrix of inner weights. The columns are the "individuals" and the rows are the "classes."

pi_init

The initial values of pivec. Each element of pi_init corresponds to a row of lmat.

lambda

The penalty on the pi's. Should be greater than 0 and really really small.

itermax

The maximum number of EM iterations to take.

obj_tol

The objective stopping criterion.

Value

A vector of numerics. The update of pivec in flexdog_full.