sparse2_l1_l1.sparse2_ridge_l1vsl1

class sparse2_l1_l1.sparse2_ridge_l1vsl1(mu=0.01, V1=100, V2=100, eta_alpha='auto', eta_w1='auto', eta_beta='auto', eta_w2='auto', n_iter=2000, tol=0.01, sparsity=None, fit_intercept=True)[source]

Sparse Ridge NPIV estimator using $ell_1-ell_1$ optimization for nested NPIV.

This class solves the high-dimensional sparse ridge problem using $ell_1$ relaxations for the minimax optimization problem in a nested NPIV setting.