sparse_l1_l1.sparse_l1vsl1

class sparse_l1_l1.sparse_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 Linear NPIV estimator using \(\ell_1-\ell_1\) optimization.

This class solves the high-dimensional sparse linear problem using \(\ell_1\) relaxations for the minimax optimization problem.