SparSNP/multivariable.h at master · gabraham/SparSNP · GitHub

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/*
 * This program is free software; you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation; either version 3 of the License, or
 * (at your option) any later version.
 *
 * Copyright (C) 2011-2012 Gad Abraham and National ICT Australia (NICTA).
 * All rights reserved.
 */

#define NEWTON_THRESH 1e-3
#define NEWTON_THRESH_MAX 30
#define NEWTON_DEVIANCE_MIN 1e-6

#define NEWTON_SUCCESS 1

/* didn't converge within predefined iterations */
#define NEWTON_ERR_NO_CONVERGENCE 2

/* converged but to a very large value */
#define NEWTON_ERR_DIVERGENCE 3

int newton(double *x, double *y, double *beta, double *invhessian,
      int n, int p, double lambda2, int verbose);

int make_hessian(double *hessian, double *x,
      double beta_intercept, double beta, int n);

int multivariable_newton(Opt *opt, gmatrix *g, int nums1,
      int *pselected, int *numselected, int *rets);

/*int multivariable_lasso(Opt *opt, gmatrix *g, int nums1,
      int *pselected, int *numselected, int *rets);*/