View source: R/ProxGrad_Coefficient_Functions.R
coef.cv.ProxGrad | R Documentation |
coef.cv.ProxGrad
returns the coefficients for a cv.ProxGrad object.
## S3 method for class 'cv.ProxGrad' coef(object, ...)
object |
An object of class cv.ProxGrad. |
... |
Additional arguments for compatibility. |
The coefficients for the cv.ProxGrad object.
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
cv.ProxGrad
# Data simulation set.seed(1) n <- 50 N <- 2000 p <- 1000 beta.active <- c(abs(runif(p, 0, 1/2))*(-1)^rbinom(p, 1, 0.3)) # Parameters p.active <- 100 beta <- c(beta.active[1:p.active], rep(0, p-p.active)) Sigma <- matrix(0, p, p) Sigma[1:p.active, 1:p.active] <- 0.5 diag(Sigma) <- 1 # Train data x.train <- mvnfast::rmvn(n, mu = rep(0, p), sigma = Sigma) prob.train <- exp(x.train %*% beta)/ (1+exp(x.train %*% beta)) y.train <- rbinom(n, 1, prob.train) # Test data x.test <- mvnfast::rmvn(N, mu = rep(0, p), sigma = Sigma) prob.test <- exp(x.test %*% beta)/ (1+exp(x.test %*% beta)) y.test <- rbinom(N, 1, prob.test) # CV ProxGrad - Single Group proxgrad.out <- cv.ProxGrad(x.train, y.train, glm_type = "Logistic", include_intercept = TRUE, alpha_s = 3/4, n_lambda_sparsity = 100, tolerance = 1e-5, max_iter = 1e5) # Coefficients coef(proxgrad.out)
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