R/autotune-package.R

In autotune: Faster and more Efficient Lasso (than 'glmnet' and 'scalreg') with Data-Driven Tuning

#' autotune: Lasso with data-driven tuning for linear models
#'
#' This package fits lasso path for high-dimensional regression using
#' coordinate descent while automatically tuning it's regularization parameter.
#' autotune Lasso is 10-50 times than the standard glmnet implementation of lasso,
#' and over 100 times faster than scaled lasso. Additionally, it gives reliable 
#' noise level estimate for the regression problem. 
#'
#' \tabular{ll}{ Package: \tab autotune\cr Type: \tab Package\cr Version: \tab
#' 1.0\cr Date: \tab 2025-09-18\cr }
#' Very simple to use. Accepts \code{x,y} data for linear regression model,
#' and produces the regularization path which automatically estimates an
#' optimal tuning parameter \code{lambda}.\cr
#' @section Functions: Only 1 function, more autotune algorithms for VAR, random forests,
#' coming soon!
#'   \itemize{
#'     \item \code{\link{autotune_lasso}}
#'   }
#' 
#' @author Tathagata Sadhukhan Ines Wilms Stephan Smeekes
#' and Sumanta Basu\cr Maintainer: Tathagata Sadhukhan(ts767@@cornell.edu)
#' @docType package
#' @name autotune-package
#' @keywords lasso data-driven-tuning package fast accurate 
#' 
#' @examples
#' 
#' set.seed(10)
#' n <- 80
#' p <- 500
#' s <- 5
#' type <- 1
#' snr <- 3
#' betatrue <- c(rep(1,s), rep(0, p - s))
#' x <- scale(matrix(rnorm(n * p), ncol = p))
#' error.sd <- sqrt((betatrue %*% betatrue)/snr)
#' err <- rnorm(n, sd = error.sd)
#' y <- x %*% betatrue + err
#' y <- y - mean(y)
#' ans <- autotune_lasso(x, y, trace_it = TRUE)
#' b <- betatrue
#' # The Predictors which are actually significant:
#' which(b != 0)
#' # The Predictors which had nonzero estmated coefficients:
#' which(ans$beta != 0)
#' # Top 10 predictors X_i's in the ranking of X_i's given by autotune:
#' ans$sorted_predictors[1:10] + 1
#' # No of significant predictors in each CD iteration when sigma_hat is allowed to vary:
#' ans$count_sig_beta
#' # Sigma estimates in each CD iteration:
#' ans$sigma2_seq
#' # Empirical noise variance:
#' var(err)
#' 
#' 
"_PACKAGE"