RelimpPCR: A Relative Importance PCA Regression Function

In RelimpPCR: Relative Importance PCA Regression

A Relative Importance PCA Regression Function

Description

This function performs a relative importance PCA regression. It performs PCA and then applys a relative importnace measure on each additional factor. The output shows optimal PCA factor selection for a given regression.

Usage

RelimpPCR(
  Y,
  X,
  target_r2,
  validation_split = 1,
  relimp_algorithm = "last",
  max_predictors = 0,
  remove_factors = TRUE,
  factors_to_remove = 0,
  max_factors_to_remove = 15,
  normalize_data = TRUE,
  plot_this = TRUE,
  verbose = FALSE,
  multicore = TRUE,
  cores = 2,
  random_seed = NA
)

Arguments

Y	(list/vector): This a list/vector of Y values for the regression.
X	(data frame): This is the input data for the regression.
target_r2	(float 0-1): The algorithm will attempt to return to you the simplest model (i.e. with fewest predictors) that satisfies your target_r2 value; If no model satisfies this condition, then the full model (with all predictors) will be returned.
validation_split	(float 0-1): This determines how much of your data set will be in the train data set. The remainder will be allocated to the test data set. If set to 1, train and test samples will be identical.
relimp_algorithm	(string): This is the "type" of relative importance that will be used for measuring raw predictors (not PCA factors).
max_predictors	(int): The maximum number of predictors/factors you want reviewed. Note: For importance measures all predictors/factors will be analyzed for relative importance. Rather, this limits how many predictors/factors are added onto the model to show iteratively increasing R-Suared.
remove_factors	(bool): If any eigenvalue, resulting from performing PCA on your data set, is too small for relative importance, it can be removed automatically if this is TRUE. If FALSE, the same situation will produce an error.
factors_to_remove	(int): If remove_factors is TRUE, you can either a) set this to 0 to have the script iteratively remove PCA factors until the relative importance calculation works (recommended if you do not know how many PCA factors to remove, but takes longer), or b) set this to any positive integer smaller than the number of factors. In condition b, the script will go ahead and remove the X smallest factors (X being the number this argument is set to).
max_factors_to_remove	(int): If remove_factors is TRUE and factors_to_remove is 0, then this will determine how many factors the script will delete before "giving up". This is to prevent a possible very long process. This can be set to 0 to iterate through all columns (not recommended).
normalize_data	(bool): Whether or not to normalize (subtract mean and divide by standard deviation) before analysis.
plot_this	(bool): Whether or not to plot the r-squared values. Default is TRUE.
verbose	(bool): Whether or not to include some additional narration around the status of the process. Default is FALSE.
multicore	(bool): Whether or not to use mclapply instead of sapply. Default is TRUE.
cores	(int): The number of cores to distribute work across for multicore operations.
random_seed	(int): Random seed (if you wish to use one). NA indicates no random seed.

Value

out (list): A list containing all of the below components...

$pca_loadings: The PCA loadings.

$pca_object: The trained PCA object.

$pca_factors_rank: The numerical ranking of the PCA factors.

$original_r2_train: The r-squared values when iteratively adding unordered training predictors.

$pca_r2_train: The r-squared values when iteratively adding unordered training PCA factors.

$relimp_pca_r2_train: The r-squared values when iteratively adding ordered training PCA factors (ordered by relative importance of the training data set).

$best_model: The model with the fewest predictors that has r-squared equal to or above the "target_r2" argument.

$num_factors: The number of PCA factors used in the best model.

$scaling_factors: The mean and standard deviations used to scale the X columns and Y column.

$relimp_r2_train: ONLY RETURNED IF relative importance for ordered predictors is successful. This contains the r-squared values when iteratively adding ordered predictors (ordered by relative importance of the training data set).

$ranked_features: ONLY RETURNED IF relative importance for ordered predictors is successful. This contains the numerical ranking of predictors.

$original_r2_test: ONLY RETURNED IF validation_split argument is not equal to 1. This contains the r-squared values when iteratively adding unordered testing predictors.

$pca_r2_test: ONLY RETURNED IF validation_split argument is not equal to 1: This contains the r-squared values when iteratively adding unordered testing PCA factors.

$relimp_pca_r2_test: ONLY RETURNED IF validation_split argument is not equal to 1. This contains the r-squared values when iteratively adding ordered testing PCA factors (ordered by relative importance of the training data set).

$relimp_r2_test: ONLY RETURNED IF validation_split argument is not equal to 1 AND relative importance for ordered predictors is successful. This contains the r-squared values when iteratively adding ordered testing predictors (ordered by relative importance of the training data set).

Examples

#Below performs single core relative importance principal 
#components regression of mpg against cyl, disp, and hp (all from the mtcars 
#sample data set), optimizing for a r-squared value of 0.75.
y = mtcars$mpg[1:20]; x = mtcars[1:20,c("cyl","disp")]
pcr_object = RelimpPCR(Y = y, X = x,target_r2 = 0.75, multicore = FALSE,
remove_factors = FALSE, normalize_data = FALSE, plot_this = FALSE)

RelimpPCR documentation built on June 7, 2023, 6:22 p.m.