flsa: Fused Lasso Signal Approximator

In flsa: Path Algorithm for the General Fused Lasso Signal Approximator

Fused Lasso Signal Approximator

Description

These functions are the main interface functions for calculating FLSA solutions

Usage

flsa(y, lambda1=0, lambda2=NULL, connListObj = NULL, splitCheckSize=1e+09, 
    verbose=FALSE, thr = 1e-09, maxGrpNum=4*length(y))
flsaTopDown(y, lambda1=0, groups=1:length(y), lambda2=NULL)
flsaGetSolution(solObj, lambda1=0, lambda2=NULL, dim=NULL)

Arguments

y	response variable; numeric
lambda1	penalty parameter vector (non-negative) for the absolute values uf the coefficients; numeric
lambda2	penalty parameter vector (non-negative) for the difference of certain coefficients; numeric
groups	Return solutions for which the given number of groups is present - solutions found exactly at the breakpoint
connListObj	an object specifying which differences are to be penalized by lambda2. If NULL, then the dimensionalty of y is being used. If y is a vector, the differences of neighbouring coefficients are penalized. If y is a matrix, differences of neighbouring coefficients in 2 dimensions are being penalized. For more information see connListObj
splitCheckSize	a parameter specifying from which size on, groups of variables are not being checked for breaking up; can be used to reduce computation time; may lead to inaccurate results
solObj	Solution object as returned by FLSA if lambda2=NULL
dim	dimensions how the result should be formatted for a specific lambda. Used to format the 2-dimensional FLSA as a matrix in the response. For this, just include the dimensions of y as dim
verbose	print status messages during fitting
thr	the error threshold used in the algorithm
maxGrpNum	if every step of the algorithm, a group with a higher number is generated; this limits the number of steps the algorithm can take

Details

flsa is the main function for calculate a flsa fit. If lambda2=NULL, then it returns an object that encodes the whole solution path. Solutions for specific values of lambda1 and lambda2 can then be obtained by using flsaGetSolution.

flsaTopDown calculates the solution of the 1-dimensional FLSA, starting at large values of lambda2. If only solutions for large values of lambda2 are needed, this is more efficient.

Author(s)

Holger Hoefling

See Also

connListObj

Examples

library(flsa)
# generate some artificial data, 1 and 2 dimensional
y <- rnorm(100)
y2Dim = matrix(rnorm(100), ncol=10)

### apply function flsa and get solution directly
lambda2= 0:10/10
res <- flsa(y, lambda2=lambda2)
res2Dim <- flsa(y2Dim, lambda2=lambda2)

### apply the function and get the solution later
resSolObj <- flsa(y, lambda2=NULL)
resSolObjTopDown <- flsaTopDown(y)
resSolObj2Dim <- flsa(y2Dim, lambda2=NULL)

res2 <- flsaGetSolution(resSolObj, lambda2=lambda2)
### here note that the solution object does not store that the input was 2 dimensional
### therefore, res2Dim does not give out the solution as a 2 
### dimensional matrix (unlike the direct version above)
res2Dim2 <- flsaGetSolution(resSolObj2Dim, lambda2=lambda2)

flsa documentation built on May 29, 2024, 4:56 a.m.