loss2_irsvm

Compute composite loss value for epsilon-insensitive type function

regression

classification

Algorithms compute robust estimators for loss functions in the concave convex (CC) family by the iteratively reweighted convex optimization (IRCO), an extension of the iteratively reweighted least squares (IRLS). The IRCO reduces the weight of the observation that leads to a large loss; it also provides weights to help identify outliers. Applications include robust (penalized) generalized linear models and robust support vector machines. The package also contains penalized Poisson, negative binomial, zero-inflated Poisson, zero-inflated negative binomial regression models and robust models with non-convex loss functions. Wang et al. (2014) <doi:10.1002/sim.6314>,
Wang et al. (2015) <doi:10.1002/bimj.201400143>,
Wang et al. (2016) <doi:10.1177/0962280214530608>,
Wang (2021) <doi:10.1007/s11749-021-00770-2>,
Wang (2024) <doi:10.1111/anzs.12409>.

Zhu Wang

mpath

Regularized Linear Models

loss2_irsvm function

<dl> <dt>y</dt>
<dd>response variable values</dd> <dt>f</dt>
<dd>fitted values of <code>y</code></dd> <dt>weights</dt>
<dd>observation weights, same length as <code>y</code></dd> <dt>cfun</dt>
<dd>integer from 1-8, concave function as in <code>irsvm_fit</code></dd> <dt>dfun</dt>
<dd>integer value, only <code>dfun=2</code> is implemented for now. Convex function as in <code>irsvm_fit</code></dd> <dt>s</dt>
<dd>tuning parameter of <code>cfun</code>. <code>s &gt; 0</code> and can be equal to 0 for <code>cfun="tcave"</code>.</dd> <dt>delta</dt>
<dd>a small positive number provided by user only if <code>cfun="gcave"</code> and <code>0 &lt; s &lt;1</code></dd> <dt>eps</dt>
<dd>non-negative parameter for epsilon-insensitive loss</dd></dl>

Arguments

Zhu Wang &lt;zwang145@uthsc.edu&gt;

Author

Composite Loss Value for epsilon-insensitive Type — loss2_irsvm

<dl>

 <dt>y</dt>
<dd>response variable values</dd>

 <dt>f</dt>
<dd>fitted values of <code>y</code></dd>

 <dt>weights</dt>
<dd>observation weights, same length as <code>y</code></dd>

 <dt>cfun</dt>
<dd>integer from 1-8, concave function as in <code>irsvm_fit</code></dd>

 <dt>dfun</dt>
<dd>integer value, only <code>dfun=2</code> is implemented for now. Convex function as in <code>irsvm_fit</code></dd>

 <dt>s</dt>
<dd>tuning parameter of <code>cfun</code>. <code>s &gt; 0</code> and can be equal to 0 for <code>cfun="tcave"</code>.</dd>

 <dt>delta</dt>
<dd>a small positive number provided by user only if <code>cfun="gcave"</code> and <code>0 &lt; s &lt;1</code></dd>

 <dt>eps</dt>
<dd>non-negative parameter for epsilon-insensitive loss</dd>

</dl>

loss2_irsvm: Composite Loss Value for epsilon-insensitive Type

Description

Usage

Value

Arguments

Author

Details

References

See Also