The method of vertex discriminant analysis (VDA) is ideally suited to handle multiple categories and an excess of predictors over training cases. vda.le
is an elaboration of VDA that simultaneously conducts classification of k possible categories and variable selection of p features, based on a data set of n cases. Variable selection is imposed using L1 (Lasso) and group Euclidean penalties. To use only Lasso penalization, set λ2=0. To use only Euclidean penalization, set λ1=0.
1  vda.le(x, y, lambda1, lambda2)

x 
n x p matrix or data frame containing the cases for each feature. The rows correspond to cases and the columns to the features. Intercept column is not included in this. 
y 
n x 1 vector representing the outcome variable. Each element denotes which one of the k classes that case belongs to 
lambda1 
Tuning parameter to control the lasso penalty. The default value is 1/n. For determining the optimal 
lambda2 
Tuning parameter to control the Euclidean penalty. The default value is 0.01. For determining the optimal 
vda.le
carries out cyclic coordinate descent in the context of VDA to minimize the loss function. By adding lasso (L1norm) and group Euclidean penalties to the VDA loss function, unnecessary predictors are elimnated, adding parsimony and making the model more interpretable. Lasso penalties are applied to each predictor coefficient separately, while Euclidean penalties couples the coefficients of a single predictor and penalize the group collectively. If lambda1=0
, then the overall penalty reduces to only group penalties. When lambda2=0
, then the overall penalty reduces to the lasso. With these penalties in place, cyclic coordinate descent accelerates estimation of all coefficients.
feature 
Feature matrix 
stand.feature 
The feature matrix where the all columns are standardized, with the exception of the intercept column which is left unstandardized. 
class 
Class vector 
cases 
Number of cases, n. 
classes 
Number of classes, k. 
features 
Number of feautres, p. 
lambda 
Vector of tuning constants where the first component is 
predicted 
Vector of predicted category values based on VDA. 
coefficient 
The estimated coefficient matrix where the columns represent the coefficients for each predictor variable corresponding to 
training_error_rate 
The percentage of instances in the training set where the predicted outcome category is not equal to the case's true category. 
nonzeros 
Number of feature coefficients retained in the model. Is equal to p  number of features eliminated by penalization. 
selected 
An integer vector which represents the attributes that were selected after penalization. 
call 
The matched call. 
Edward Grant, Xia Li, Kenneth Lange, Tong Tong Wu
Maintainer: Edward Grant edward.m.grant@gmail.com
Wu, T.T. and Lange, K. (2010) Multicategory Vertex Discriminant Analysis for HighDimensional Data. Annals of Applied Statistics, Volume 4, No 4, 16981721.
Lange, K. and Wu, T.T. (2008) An MM Algorithm for Multicategory Vertex Discriminant Analysis. Journal of Computational and Graphical Statistics, Volume 17, No 3, 527544.
For determining the optimal values for lambda1
and lambda2
, see cv.vda.le
For VDA without variable selection, see vda.r
.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28  # load zoo data
# column 1 is name, columns 2:17 are features, column 18 is class
data(zoo)
#matrix containing all predictor vectors
x < zoo[,2:17]
#outcome class vector
y < zoo[,18]
#run VDA, Only Lasso Penalization, Set lambda2=0
outlasso <vda.le(x,y,lambda1=.02,lambda2=0)
#run VDA, Only Euclidean Penalization, Set lambda1=0
outeuclid <vda.le(x,y,lambda1=0,lambda2=0.04)
#run VDA, Lasso and Euclidean Penalization
outLE<vda.le(x,y,lambda1=0.009,lambda2=0.05)
summary(outLE)
#Predict five cases based on VDA, Lasso and Euclidean Penalization
fivecases < matrix(0,5,16)
fivecases[1,] < c(1,0,0,1,0,0,0,1,1,1,0,0,4,0,1,0)
fivecases[2,] < c(1,0,0,1,0,0,1,1,1,1,0,0,4,1,0,1)
fivecases[3,] < c(0,1,1,0,1,0,0,0,1,1,0,0,2,1,1,0)
fivecases[4,] < c(0,0,1,0,0,1,1,1,1,0,0,1,0,1,0,0)
fivecases[5,] < c(0,0,1,0,0,0,1,0,0,0,0,0,0,0,0,0)
predict(outLE, fivecases)

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