This is the path-following algorithm proposed in Feng, Huijie, Yang Ning, and Jiwei Zhao. "Nonregular and Minimax Estimation of Individualized Thresholds in High Dimension with Binary Responses." arXiv preprint arXiv:1905.10888 (2019).
Please see the jupyter notebook Guide.ipynb for a brief tutorial about the usage of this algorithm. If you have additional question, please refer to the original paper or contact [email protected].