fasta: Fast Adaptive Shrinkage/Thresholding Algorithm

In fasta: Fast Adaptive Shrinkage/Thresholding Algorithm

Description

fasta implements back-tracking with Barzelai-Borwein step size selection

Usage

fasta(f, gradf, g, proxg, x0, tau1, max_iters = 100, w = 10,
  backtrack = TRUE, recordIterates = FALSE, stepsizeShrink = 0.5,
  eps_n = 1e-15)

Arguments

f	function handle for computing the smooth part of the objective
gradf	function handle for computing the gradient of objective
g	function handle for computing the nonsmooth part of the objective
proxg	function handle for computing proximal mapping
x0	initial guess
tau1	initial stepsize
max_iters	maximum iterations before automatic termination
w	lookback window for non-montone line search
backtrack	boolean to perform backtracking line search
recordIterates	boolean to record iterate sequence
stepsizeShrink	multplier to decrease step size
eps_n	epsilon to prevent normalized residual from dividing by zero

Examples

#------------------------------------------------------------------------
# LEAST SQUARES: EXAMPLE 1 (SIMULATED DATA)
#------------------------------------------------------------------------

set.seed(12345)
n <- 100
p <- 25
X <- matrix(rnorm(n*p),n,p)
beta <- matrix(rnorm(p),p,1)
y <- X%*%beta + rnorm(n)
beta0 <- matrix(0,p,1) # initial starting vector

f <- function(beta){ 0.5*norm(X%*%beta - y, "F")^2 }
gradf <- function(beta){ t(X)%*%(X%*%beta - y) }
g <- function(beta) { 0 }
proxg <- function(beta, tau) { beta }
x0 <- double(p) # initial starting iterate
tau1 <- 10

sol <- fasta(f,gradf,g,proxg,x0,tau1)
# Check KKT conditions
gradf(sol$x)

#------------------------------------------------------------------------
# LASSO LEAST SQUARES: EXAMPLE 2 (SIMULATED DATA)
#------------------------------------------------------------------------

set.seed(12345)
n <- 100
p <- 25
X <- matrix(rnorm(n*p),n,p)
beta <- matrix(rnorm(p),p,1)
y <- X%*%beta + rnorm(n)
beta0 <- matrix(0,p,1) # initial starting vector
lambda <- 10

f <- function(beta){ 0.5*norm(X%*%beta - y, "F")^2 }
gradf <- function(beta){ t(X)%*%(X%*%beta - y) }
g <- function(beta) { lambda*norm(as.matrix(beta),'1') }
proxg <- function(beta, tau) { sign(beta)*(sapply(abs(beta) - tau*lambda,
  FUN=function(x) {max(x,0)})) }
x0 <- double(p) # initial starting iterate
tau1 <- 10

sol <- fasta(f,gradf,g,proxg,x0,tau1)
# Check KKT conditions
cbind(sol$x,t(X)%*%(y-X%*%sol$x)/lambda)

#------------------------------------------------------------------------
# LOGISTIC REGRESSION: EXAMPLE 3 (SIMLUATED DATA)
#------------------------------------------------------------------------

set.seed(12345)
n <- 100
p <- 25
X <- matrix(rnorm(n*p),n,p)
y <- sample(c(0,1),nrow(X),replace=TRUE)
beta <- matrix(rnorm(p),p,1)
beta0 <- matrix(0,p,1) # initial starting vector
f <- function(beta) { -t(y)%*%(X%*%beta) + sum(log(1+exp(X%*%beta))) } # objective function
gradf <- function(beta) { -t(X)%*%(y-plogis(X%*%beta)) } # gradient
g <- function(beta) { 0 }
proxg <- function(beta, tau) { beta }
x0 <- double(p) # initial starting iterate
tau1 <- 10

sol <- fasta(f,gradf,g,proxg,x0,tau1)
# Check KKT conditions
gradf(sol$x)

#------------------------------------------------------------------------
# LASSO LOGISTIC REGRESSION: EXAMPLE 4 (SIMLUATED DATA)
#------------------------------------------------------------------------

set.seed(12345)
n <- 100
p <- 25
X <- matrix(rnorm(n*p),n,p)
y <- sample(c(0,1),nrow(X),replace=TRUE)
beta <- matrix(rnorm(p),p,1)
beta0 <- matrix(0,p,1) # initial starting vector
lambda <- 5

f <- function(beta) { -t(y)%*%(X%*%beta) + sum(log(1+exp(X%*%beta))) } # objective function
gradf <- function(beta) { -t(X)%*%(y-plogis(X%*%beta)) } # gradient
g <- function(beta) { lambda*norm(as.matrix(beta),'1') }
proxg <- function(beta, tau) { sign(beta)*(sapply(abs(beta) - tau*lambda,
  FUN=function(x) {max(x,0)})) }
x0 <- double(p) # initial starting iterate
tau1 <- 10

sol <- fasta(f,gradf,g,proxg,x0,tau1)
# Check KKT conditions
cbind(sol$x,-gradf(sol$x)/lambda)

fasta documentation built on May 2, 2019, 3:28 p.m.