Nothing
getblanketlasso <-
function(X,Y,maxNoVariables=10,maxNoVariablesSimult=5){
p <- ncol(X)
if(p <=maxNoVariables){
usevar <- 1:p
}else{
lobs <- coef(glmnet(X,Y,family= if(!is.factor(Y)) "gaussian" else "binomial"))[-1,]
nnz <- apply(lobs!=0,2,sum)
nnzsel <- 0
usevarcandidate <- numeric(0)
usevar <- numeric(0)
while(length(usevarcandidate)<maxNoVariables & nnzsel<max(nnz)){
nnzsel <- nnzsel+1
sel <- which( nnz==nnzsel)
if(length(sel)>0) usevarcandidate <- sort(unique(c(usevarcandidate, which(apply(lobs[,sel,drop=FALSE]!=0,1,any)))))
if(length(usevarcandidate)<=maxNoVariables) usevar <- usevarcandidate
}
# the following applies if several variables enter at once
}
testsets <- list()
if(length(usevar)>0){
for (ic in ((1:2^length(usevar))-1)){
testsets[[ic+1]] <- usevar[which( ((ic %/% 2^(0:(length(usevar)-1))) %% 2 )==1)]
}
}
testsets <- unique(testsets)
le <- sapply(testsets,length)
testsets <- testsets[ keep <- which(le>0 & le <= maxNoVariablesSimult) ]
testsets <- testsets[order(le[keep])]
return(testsets)
}
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