l1-penalizing method

• Here is the code implementing the l1-penalizing method introduced in Learning Multiple Quantiles With Neural Networks.
• The algorithm provides non-crossing quantiles estimates of response variable for given explanatory data.
• Additionally, projected gradient descent method and interior-point method for multiple quantiles are also included.

Cite

@article{moon2021learning,
  title={Learning multiple quantiles with neural networks},
  author={Moon, Sang Jun and Jeon, Jong-June and Lee, Jason Sang Hun and Kim, Yongdai},
  journal={Journal of Computational and Graphical Statistics},
  volume={30},
  number={4},
  pages={1238--1248},
  year={2021},
  publisher={Taylor \& Francis}
}