Fused lasso penalized linear regression

Description

The function computes coefficients of a fused lasso penalized linear regression model using modified Jacobi gradient descent Algorithm for a pair of lambda1 and lambda2 values.

Usage

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fusedlasso(x,y,lambda1,lambda2,intercept=TRUE,normalize=TRUE, 
alpha=1e-6,eps=1e-6,tol=1e-8,maxiter=1e5)

Arguments

x

x is a matrix of order n x p where n is number of observations and p is number of predictor variables. Rows should represent observations and columns should represent predictor variables.

y

y is a vector of response variable of order n x 1.

lambda1

The value of lambda1

lambda2

The value of lambda2

intercept

If TRUE, model includes intercept, else the model does not have intercept.

normalize

If TRUE, columns of x matrix are normalized with mean 0 and norm 1 prior to fitting the model. The coefficients at end are returned on the original scale. Default is normalize = TRUE.

alpha

The quantity in approximating |β| = √(β^2+α) Default is alpha = 1e-12.

eps

A value which is used to set a coefficient to zero if coefficients value is within - eps to + eps. Default is eps = 1e-6.

tol

Tolerance criteria for convergence of solutions. Default is tol = 1e-6.

maxiter

Maximum number of iterations permissible for solving optimization problem for a particular lambda. Default is 10000. Rarely you need to change this to higher value.

Value

An object of class ‘extlasso’ with following components:

intercept

Value of intercept: TRUE or FALSE as used in input

coef

A vector of order (p+1) if intercept is TRUE, first element being estimates of intercept or a vector of order p if intercept is FALSE. Here p is number of predictor variables.

lambda1

The value of lambda1

lambda2

The value of lambda2

L1norm

L1norm of the coefficients

lambda.iter

Number of iterations

of.value

Objective function value

Author(s)

B N Mandal and Jun Ma

References

Mandal, B.N. and Jun Ma, (2014). A Jacobi-Armijo Algorithm for LASSO and its Extensions.

Examples

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n=50
p=100
rho=0
beta=rep(0,p)
beta[1:20]=1
beta[11:15]=2
beta[25]=3
beta[41:45]=1
x=matrix(rnorm(n*p),n,p)
y=x%*%beta+rnorm(n,0,0.5)
f1<-fusedlasso(x,y,lambda1=0.1,lambda2=1)
plot(beta,col="blue",type="b",pch=1,ylim=range(beta,f1$coef))
lines(f1$coef,type="b",lty=1,col="black")
legend("topright",pch=1,lty=1,merge=TRUE,text.col=c("blue","black"),legend=c("True","Fitted"))

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