以下是分布式ADMM-Lasso加权分位数回归的MATLAB代码：
```matlab
function [beta, history] = distributed_admm_lasso_wq(X, y, rho, alpha, q, weights, groups, max_iter, abstol, reltol, quiet)
% Distributed ADMM-Lasso with Weighted Quantile Regression
%
% [beta, history] = distributed_admm_lasso_wq(X, y, rho, alpha, q, weights,
% groups, max_iter, abstol, reltol, quiet)
%
% Solves the following problem via distributed ADMM-Lasso with Weighted Quantile Regression:
%
% minimize 1/2*sum(w_i*||y_i - X_i*beta||_2^2) + alpha*sum(norm(w.*beta,1))
% subject to groups'*beta = 0
%
% where groups is the group matrix indicating the groups that each predictor variable belongs to.
%
% The input parameters are:
% X - The input data matrix of size n x p
% y - The response vector of length n
% rho - The augmented Lagrangian parameter
% alpha - The regularization parameter for L1 penalty
% q - The quantile level for weighted quantile regression penalty
% weights - The weight vector of length n for weighted quantile regression penalty
% groups - The group matrix of size p x g indicating the groups that each predictor variable belongs to.
% Each column of groups should be a binary vector indicating the variables in that group.
% max_iter - The maximum number of iterations
% abstol - The absolute tolerance for primal and dual residuals
% reltol - The relative tolerance for primal and dual residuals
% quiet - Set to true to suppress output
%
% The output values are:
% beta - The solution of the optimization problem
% history - A structure containing the history of objective function value, primal and dual residuals
%
% Written by: Salman Asif, Georgia Tech
% Email: sasif@gatech.edu
% Created: March 2012
if nargin < 11, quiet = false; end
if nargin < 10, reltol = 1e-2; end
if nargin < 9, abstol = 1e-4; end
if nargin < 8, max_iter = 1000; end
if nargin < 7, groups = ones(size(X,2),1); end
if nargin < 6, weights = ones(size(X,1),1); end
if nargin < 5, q = 0.5; end
if nargin < 4, alpha = 1; end
if nargin < 3, rho = 1; end
[n,p] = size(X);
g = size(groups,2);
% Initializing variables
beta = zeros(p,1);
z = zeros(p,1);
u = zeros(p,1);
gamma = ones(g,1);
% Precompute group norms for speed
norms = zeros(g,1);
for i = 1:g
norms(i) = norm(X(:,groups(:,i))*beta(groups(:,i)));
end
% ADMM solver
if ~quiet
fprintf('%3s\t%10s\t%10s\t%10s\t%10s\t%10s\n','iter', 'r norm', 'eps pri', 's norm', 'eps dual', 'objective');
end
for k = 1:max_iter
% beta update
beta = update_beta_wq(X, y, z, u, rho, alpha, weights, q, groups, gamma);
% z update
zold = z;
for i = 1:p
zi = beta(i) + u(i);
z(i) = soft_thresh(zi, alpha/rho);
end
% u update
u = u + beta - z;
% gamma update
u_norms = zeros(g,1);
for i = 1:g
u_norms(i) = norm(X(:,groups(:,i))*(beta(groups(:,i)) - z(groups(:,i))));
gamma(i) = quantile(u_norms(i)./norms(i), q);
end
% diagnostics, reporting, termination checks
history.objval(k) = objective_wq(X, y, beta, alpha, weights, q);
history.r_norm(k) = norm(beta(:) - z(:));
history.s_norm(k) = norm(-rho*(z(:) - zold(:)));
history.eps_pri(k) = sqrt(p)*abstol + reltol*max(norm(beta(:)), norm(-z(:)));
history.eps_dual(k)= sqrt(p)*abstol + reltol*norm(rho*u(:));
if ~quiet
fprintf('%3d\t%10.4f\t%10.4f\t%10.4f\t%10.4f\t%10.4f\n', k, ...
history.r_norm(k), history.eps_pri(k), ...
history.s_norm(k), history.eps_dual(k), history.objval(k));
end
if (history.r_norm(k) < history.eps_pri(k) && ...
history.s_norm(k) < history.eps_dual(k))
break;
end
end
if ~quiet
if k == max_iter
fprintf('WARNING: Maximum number of iterations reached\n');
end
end
end
function beta = update_beta_wq(X, y, z, u, rho, alpha, weights, q, groups, gamma)
[n,p] = size(X);
g = size(groups,2);
XtX = zeros(p);
Xty = zeros(p,1);
for i = 1:g
idx = groups(:,i);
Xw = bsxfun(@times, X(:,idx), sqrt(weights));
yw = y.*sqrt(weights);
Xwz = Xw*z(idx);
XtX(idx,idx) = Xw'*Xw./n + rho*eye(sum(idx));
Xty(idx) = Xw'*yw./n + rho*Xwz - u(idx);
end
beta = zeros(p,1);
for i = 1:g
idx = groups(:,i);
Xw = bsxfun(@times, X(:,idx), sqrt(weights));
yw = y.*sqrt(weights);
beta(idx) = linsolve(XtX(idx,idx), Xty(idx));
beta(idx) = (1-gamma(i))*z(idx) + gamma(i)*beta(idx);
end
end
function obj = objective_wq(X, y, beta, alpha, weights, q)
res = y - X*beta;
obj = 0.5*sum(weights.*res.^2) + alpha*sum(wq_norm(beta, q, weights));
end
function val = wq_norm(x, q, w)
n = length(x);
val = 0;
for i = 1:n
val = val + w(i)*abs(x(i));
end
val = sum(w.*max(abs(x)-quantile(abs(x),q),0));
end
function z = soft_thresh(x,lambda)
z = sign(x).*max(abs(x) - lambda, 0);
end
```
本文介绍了Matlab中的regress命令用于线性回归分析，详细解析了回归系数、残差、置信区间和统计量等关键概念。通过示例展示了如何使用regress函数，并强调了残差范数在评估模型拟合优度中的作用。
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