sparse_l2_l2.sparse_ridge_l2vsl2

class sparse_l2_l2.sparse_ridge_l2vsl2(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 $ell_2-ell_2$ optimization.

This class solves the high-dimensional sparse ridge problem using $ell_2$ relaxations for the minimax optimization problem.