Description Usage Arguments Details Value Note Author(s) References See Also Examples
Calculates the Gram matrices K_v for a chosen kernel, determines μ, note μ (qmax), for which the number of active groups in the RKHS group lasso solution is equal to qmax, and fits a solution of an RKHS ridge group sparse or an RKHS group lasso problem for each pair of penalty parameters (μ (qmax),γ), in the Gaussian regression model.
1 | RKHSMetMod_qmax(Y, X, kernel, Dmax, gamma, qmax, rat, Num, verbose)
|
Y |
Vector of response observations of size n. |
X |
Matrix of observations with n rows and d columns. |
kernel |
Character, indicates the type of the reproducing kernel: matern (matern kernel), brownian (brownian kernel), gaussian (gaussian kernel), linear (linear kernel), quad (quadratic kernel). See the function |
Dmax |
Integer, between 1 and d, indicates the order of interactions considered in the meta model: Dmax=1 is used to consider only the main effects, Dmax=2 to include the main effects and the interactions of order 2,…. See the function |
gamma |
Vector of non negative scalars, values of the penalty parameter γ in decreasing order. If γ=0 the function solves an RKHS Group Lasso problem and for γ>0 it solves an RKHS Ridge Group Sparse problem. |
qmax |
Integer, shows the maximum number of active groups in the obtained solution. |
rat |
Positive scalar, to restrict the minimum value of μ considered in the algorithm, μ_{min}=μ_{max}/(√{n}\times rat). The value μ_{max} is calculated inside the program, see function |
Num |
Integer, it is used to restrict the number of different values of the penalty parameter μ to be evaluated in the RKHS Group Lasso algorithm until it achieves μ (qmax): for Num = 1 the program is done for 3 different values of μ, μ_{1}=(μ_{min}+μ_{max})/2, μ_{2}=(μ_{min}+μ_{1})/2 or μ_{2}=(μ_{1}+μ_{max})/2 depending on the number of active groups in the meta model associated with μ_{1}, μ_{3}=μ_{min}. |
verbose |
Logical, if TRUE, prints: the group v for which the correction of Gram matrix K_v is done, and for each pair of (μ,γ): the number of current iteration, active groups and convergence criterias. Set as FALSE by default. |
Details.
List of three components "mus", "qs", and "MetaModel":
mus |
Vector, values of the evaluated penalty parameters μ in the RKHS Group Lasso algorithm until it achieves μ (qmax). |
qs |
Vector, number of active groups associated with each element in mus. |
MetaModel |
List with the same length as the vector gamma. Each component of the list is a list of 3 components "mu", "gamma" and "Meta-Model": |
mu |
Scalar, the value μ (qmax). |
gamma |
Positive scalar, element of the input vector gamma associated with the estimated Meta-Model. |
Meta-Model |
An RKHS Ridge Group Sparse or RKHS Group Lasso object associated with the penalty parameters mu and gamma: |
intercept |
Scalar, estimated value of intercept. |
teta |
Matrix with vMax rows and n columns. Each row of the matrix is the estimated vector θ_{v} for v=1,...,vMax. |
fit.v |
Matrix with n rows and vMax columns. Each row of the matrix is the estimated value of f_{v}=K_{v}θ_{v}. |
fitted |
Vector of size n, indicates the estimator of m. |
Norm.n |
Vector of size vMax, estimated values for the Ridge penalty norm. |
Norm.H |
Vector of size vMax, estimated values of the Sparse Group penalty norm. |
supp |
Vector of active groups. |
Nsupp |
Vector of the names of the active groups. |
SCR |
Scalar, equals to \Vert Y-f_{0}-∑_{v}K_{v}θ_{v}\Vert ^{2}. |
crit |
Scalar, indicates the value of penalized criteria. |
gamma.v |
Vector, coefficients of the Ridge penalty norm, √{n}γ\timesgama_v. |
mu.v |
Vector, coefficients of the Group Sparse penalty norm, nμ\timesmu_v. |
iter |
List of two components: maxIter, and the number of iterations until the convergence is achieved. |
convergence |
TRUE or FALSE. Indicates whether the algorithm has converged or not. |
RelDiffCrit |
Scalar, value of the first convergence criteria at the last iteration, \Vert\frac{θ_{lastIter}-θ_{lastIter-1}}{θ_{lastIter-1}}\Vert ^{2}. |
RelDiffPar |
Scalar, value of the second convergence criteria at the last iteration, \frac{crit_{lastIter}-crit_{lastIter-1}}{crit_{lastIter-1}}. |
For the case γ=0 the outputs "mu"=μ_{g} and "Meta-Model" is the same as the one returned by the function RKHSgrplasso
.
Halaleh Kamari
Kamari, H., Huet, S. and Taupin, M.-L. (2019) RKHSMetaMod : An R package to estimate the Hoeffding decomposition of an unknown function by solving RKHS Ridge Group Sparse optimization problem. <arXiv:1905.13695>
calc_Kv
, mu_max
, RKHSgrplasso
, pen_MetMod
, grplasso_q
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 | d <- 3
n <- 50
library(lhs)
X <- maximinLHS(n, d)
c <- c(0.2,0.6,0.8)
F <- 1;for (a in 1:d) F <- F*(abs(4*X[,a]-2)+c[a])/(1+c[a])
epsilon <- rnorm(n,0,1);sigma <- 0.2
Y <- F + sigma*epsilon
Dmax <- 3
kernel <- "matern"
gamma <- c(.5,.01,.001,0)
Num <- 10
rat <- 100
qmax <- 4
result <- RKHSMetMod_qmax(Y, X, kernel, Dmax, gamma, qmax, rat, Num,FALSE)
names(result)
result$mus
result$qs
l <- length(gamma)
for(i in 1:l){print(result$MetaModel[[i]]$mu)}
for(i in 1:l){print(result$MetaModel[[i]]$gamma)}
for(i in 1:l){print(result$MetaModel[[i]]$`Meta-Model`$Nsupp)}
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