sparse_l1_l1.sparse_ridge_l1vsl1

class sparse_l1_l1.sparse_ridge_l1vsl1(lambda_theta=0.01, B=100, eta_theta='auto', eta_w='auto', n_iter=2000, tol=0.01, sparsity=None, fit_intercept=True)[source]

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

This class solves the high-dimensional sparse ridge problem using $ell_1$ relaxations for the minimax optimization problem.