sparse_l2_l2.sparse_l2vsl2

class sparse_l2_l2.sparse_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 Linear NPIV estimator using \(\ell_2-\ell_2\) optimization.

This class solves the high-dimensional sparse linear problem using \(\ell_2\) relaxations for the minimax optimization problem.