Sourced from: https://rdrr.io/github/celiaescribe/BDcocolasso/src/R/ADMM_proj.R ADMM algorithm — ADMM_proj • TransCLIME

Finds the nearest positive semi-definite matrix with respect to the max norm

Usage

ADMM_proj(
  mat,
  epsilon = 1e-04,
  mu = 10,
  it.max = 1000,
  etol = 1e-04,
  etol_distance = 1e-04
)

Arguments

mat: Matrix to be projected
epsilon: Approximation of the space of positive semi-definite matrix at epsilon
mu: Penalty parameter of ADMM algorithm
it.max: Number maximum of iterations
etol: Tolerance parameter for the convergence of primal and dual residual
etol_distance: Tolerance parameter for the convergence of the distance

Value

list containing

mat Projected matrix
df_ADMM dataframe containing parameters of the ADMM algorithm for each iteration of the algorithm

See also

https://web.stanford.edu/~boyd/papers/pdf/admm_distr_stats.pdf