addElasticNet: addElasticNet

In lessSEM: Non-Smooth Regularization for Structural Equation Models

addElasticNet

Description

Adds an elastic net penalty to specified parameters. The penalty function is given by:

p( x_j) = \alpha\lambda|x_j| + (1-\alpha)\lambda x_j^2

Note that the elastic net combines ridge and lasso regularization. If \alpha = 0, the elastic net reduces to ridge regularization. If \alpha = 1 it reduces to lasso regularization. In between, elastic net is a compromise between the shrinkage of the lasso and the ridge penalty.

Usage

addElasticNet(mixedPenalty, regularized, alphas, lambdas, weights = 1)

Arguments

mixedPenalty	model of class mixedPenalty created with the mixedPenalty function (see ?mixedPenalty)
regularized	vector with names of parameters which are to be regularized. If you are unsure what these parameters are called, use getLavaanParameters(model) with your lavaan model object
alphas	numeric vector: values for the tuning parameter alpha. Set to 1 for lasso and to zero for ridge. Anything in between is an elastic net penalty.
lambdas	numeric vector: values for the tuning parameter lambda
weights	can be used to give different weights to the different parameters

Details

Identical to regsem, models are specified using lavaan. Currently, most standard SEM are supported. lessSEM also provides full information maximum likelihood for missing data. To use this functionality, fit your lavaan model with the argument sem(..., missing = 'ml'). lessSEM will then automatically switch to full information maximum likelihood as well.

Elastic net regularization:

• Zou, H., & Hastie, T. (2005). Regularization and variable selection via the elastic net. Journal of the Royal Statistical Society: Series B, 67(2), 301–320. https://doi.org/10.1111/j.1467-9868.2005.00503.x

Regularized SEM

• Huang, P.-H., Chen, H., & Weng, L.-J. (2017). A Penalized Likelihood Method for Structural Equation Modeling. Psychometrika, 82(2), 329–354. https://doi.org/10.1007/s11336-017-9566-9

• Jacobucci, R., Grimm, K. J., & McArdle, J. J. (2016). Regularized Structural Equation Modeling. Structural Equation Modeling: A Multidisciplinary Journal, 23(4), 555–566. https://doi.org/10.1080/10705511.2016.1154793

For more details on GLMNET, see:

• Friedman, J., Hastie, T., & Tibshirani, R. (2010). Regularization Paths for Generalized Linear Models via Coordinate Descent. Journal of Statistical Software, 33(1), 1–20. https://doi.org/10.18637/jss.v033.i01

• Yuan, G.-X., Chang, K.-W., Hsieh, C.-J., & Lin, C.-J. (2010). A Comparison of Optimization Methods and Software for Large-scale L1-regularized Linear Classification. Journal of Machine Learning Research, 11, 3183–3234.

• Yuan, G.-X., Ho, C.-H., & Lin, C.-J. (2012). An improved GLMNET for l1-regularized logistic regression. The Journal of Machine Learning Research, 13, 1999–2030. https://doi.org/10.1145/2020408.2020421

For more details on ISTA, see:

• Beck, A., & Teboulle, M. (2009). A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems. SIAM Journal on Imaging Sciences, 2(1), 183–202. https://doi.org/10.1137/080716542

• Gong, P., Zhang, C., Lu, Z., Huang, J., & Ye, J. (2013). A General Iterative Shrinkage and Thresholding Algorithm for Non-convex Regularized Optimization Problems. Proceedings of the 30th International Conference on Machine Learning, 28(2)(2), 37–45.

• Parikh, N., & Boyd, S. (2013). Proximal Algorithms. Foundations and Trends in Optimization, 1(3), 123–231.

Value

Model of class mixedPenalty. Use the fit() - function to fit the model

Examples

library(lessSEM)

# Identical to regsem, lessSEM builds on the lavaan
# package for model specification. The first step
# therefore is to implement the model in lavaan.

dataset <- simulateExampleData()

lavaanSyntax <- "
f =~ l1*y1 + l2*y2 + l3*y3 + l4*y4 + l5*y5 + 
     l6*y6 + l7*y7 + l8*y8 + l9*y9 + l10*y10 + 
     l11*y11 + l12*y12 + l13*y13 + l14*y14 + l15*y15
f ~~ 1*f
"

lavaanModel <- lavaan::sem(lavaanSyntax,
                           data = dataset,
                           meanstructure = TRUE,
                           std.lv = TRUE)

# We can add mixed penalties as follows:

regularized <- lavaanModel |>
  # create template for regularized model with mixed penalty:
  mixedPenalty() |>
  # add penalty on loadings l6 - l10:
  addElasticNet(regularized = paste0("l", 11:15), 
          lambdas = seq(0,1,.1),
          alphas = .4) |>
  # fit the model:
  fit()

lessSEM documentation built on May 29, 2024, 7:10 a.m.