Computes Objective Value From Allocation Vector — compute_objective

Returns the objective value given a design vector as well an an objective function. This is sometimes duplicated in Java. However, within Java, tricks are played to make optimization go faster so Java's objective values may not always be the same as the true objective function (e.g. logs or constants dropped).

Usage

compute_objective_val(
  X,
  indic_T,
  objective = "abs_sum_diff",
  inv_cov_X = NULL,
  use_safe_inverse = FALSE
)

Arguments

X: The n x p design matrix
indic_T: The n-length binary allocation vector
objective: The objective function to use. Default is abs_sum_diff and the other option is mahal_dist.
inv_cov_X: Optional: the inverse sample variance covariance matrix. Use this argument if you will be doing many calculations since passing this in will cache this data.
use_safe_inverse: Should a regularized inverse be used for the Mahalanobis objective? Default is FALSE.

Author

Adam Kapelner

Examples

if (FALSE) { # \dontrun{
X = matrix(rnorm(12), nrow = 6)
indic_T = c(1, 0, 1, 0, 1, 0)
compute_objective_val(X, indic_T, objective = "abs_sum_diff")
} # }