Merge pull request #41 from ocbe-uio/avoid-solve

Reduced calls to `solve()`
ocbe-uio · Mar 26, 2024 · dca38ae · dca38ae
2 parents d1136bd + 8130c12
commit dca38ae
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diff --git a/DESCRIPTION b/DESCRIPTION
@@ -1,6 +1,6 @@
 Package: MADMMplasso
 Title: Multi Variate Multi Response 'ADMM' with Interaction Effects
-Version: 0.0.0.9016
+Version: 0.0.0.9017
 Authors@R:
     c(
         person(

diff --git a/R/admm_MADMMplasso.R b/R/admm_MADMMplasso.R
@@ -110,6 +110,7 @@ admm_MADMMplasso <- function(beta0, theta0, beta, beta_hat, theta, rho1, X, Z, m
 
   SVD_D <- Diagonal(x = svd.w$d)
   R_svd <- (svd.w$u %*% SVD_D) / N
+  R_svd_inv <- solve(R_svd)
 
   rho <- rho1
   Big_beta11 <- V
@@ -155,8 +156,8 @@ admm_MADMMplasso <- function(beta0, theta0, beta, beta_hat, theta, rho1, X, Z, m
       part_z <- DD3 %*% t(W_hat)
       part_y <- DD3 %*% my_beta_jj
 
-      beta_hat_j <- solve(solve(R_svd) + (svd.w$tv) %*% part_z)
-      beta_hat_j <- beta_hat_j %*% ((svd.w$tv) %*% part_y)
+      beta_hat_j <- solve(R_svd_inv + svd.w$tv %*% part_z)
+      beta_hat_j <- beta_hat_j %*% (svd.w$tv %*% part_y)
       beta_hat_j <- part_z %*% beta_hat_j
       beta_hat_JJ <- part_y - beta_hat_j
       beta_hat_JJ <- matrix(beta_hat_JJ, ncol = 1)