tests/testthat/test-compare_with_cvxr.R

In gesso: Hierarchical GxE Interactions in a Regularized Regression Model

context("compare with cvxr")

test_that("training loss is similar to the fit by CVXR", {
  grid = 10^seq(-4, log10(1), length.out=10) 
  # tols = c(1e-4, 1e-5, 1e-6)
  tols = 1e-4

  for (family in c("gaussian", "binomial")){
    #for (seed in 1:3) {
    for (seed in 1:2) {
      file_name = paste0("testdata/compare_with_cvxr/", seed, "_", family, "_data.rds")
      data = readRDS(file_name)
      
      file_name = paste0("testdata/compare_with_cvxr/", seed, "_", family, "_cvxr_results.rds")
      cvxr_fit = readRDS(file_name)
      
      for (tol in tols) {
        fit = gesso.fit(data$G_train, data$E_train, data$Y_train,
                             tolerance=tol, grid=grid, family=family, 
                             normalize=FALSE)
        expect_equal(sum(fit$has_converged != 1), 0)
        expect_lt(max(fit$objective_value - cvxr_fit), tol)
      }
    }
  }
})