The first version of this code was created by Bodhisattva Sen at Columbia University. What is presented here is a slightly adapted version to aid in the estimation of CNLS.
Adaptations done by
Andrew L. Johnson firstname.lastname@example.org
Jose Luis Preciado email@example.com
Daisuke Yagi firstname.lastname@example.org
Function to compute the CONVEX Regression of the response y on the data matrix x
Function NEEDS the quadprog function in Optimization Toolbox in the computer
y: the response variable — a column vector of length n
x: the data matrix of the predictors (of size n*p);
Note that the vector of ones is NOT required in the data matrix
We also integrated the efficient algorithm developed by Lee, C.-Y. (2014). This will help to reduce the computational time.