Beta update in L2E convex regression - PG

update_beta_convex updates beta for L2E convex regression using PG

update_beta_convex(y, b, tau, max_iter = 100, tol = 1e-04)

Arguments

y

Response vector
b

Current estimate for beta
tau

Current estimate for tau
max_iter

Maximum number of iterations
tol

Relative tolerance

Value

Returns a list object containing the new estimate for beta (vector) and the number of iterations (scalar) the update step utilized