[R] What's meaning of the lambda in nlrq output

Sun, Shuguang shuguang at gmail.com
Fri Dec 29 14:28:09 CET 2006


I used the nlrq function in the package "quantreg". There is a lambda in
the output when I set trace=TRUE.

With different start point, the results are converged, but the last
lambda is different.
I want to know the meaning "lambda=1" and "lambda=0".

Many Thanks!

Examples of output
1. Where the last lambda=1:
108.6581 :  0.3 8.0
iter    0 value 108.658087
final  value 49.875178
converged
lambda = 0.6304686
49.87518 :  0.3539175 5.6116474
iter    0 value 48.123700
final  value 48.120120
converged
lambda = 0.7646881
48.12012 :  0.4701847 6.4582566
iter    0 value 47.833255
final  value 47.832257
converged
lambda = 0.8588522
47.83226 :  0.5052472 6.8564865
final  value 47.802009
converged
lambda = 1
47.80201 :  0.5257616 7.0207726
iter    0 value 47.776363
final  value 47.747994
stopped after 4 iterations
lambda = 0.5044797
47.74799 :  0.5474859 7.1612348
final  value 47.746067
converged
lambda = 1
47.74607 :  0.5503345 7.1881443
iter    0 value 47.746099
final  value 47.746099
converged
lambda = 0.999864
47.7461 :  0.5502692 7.1879762

2. Where the last lambda=0:
54.16497 :  0.6 8.0
iter    0 value 54.164967
final  value 47.768140
converged
lambda = 0.2133083
47.76814 :  0.5560481 7.2205976
iter    0 value 47.768140
final  value 47.767343
converged
lambda = 0.004997877
47.76734 :  0.5557633 7.2172873
iter    0 value 47.787967
final  value 47.747700
stopped after 3 iterations
lambda = 0.1719594
47.7477 :  0.547935 7.165428
iter    0 value 47.799883
final  value 47.747700
converged
lambda = 0
47.7477 :  0.547935 7.165428


-- 
Shg SUN
@China



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