cvSmoothElasticNet: cvSmoothElasticNet

In lessSEM: Non-Smooth Regularization for Structural Equation Models

cvSmoothElasticNet

Description

Implements cross-validated smooth elastic net regularization for structural equation models. The penalty function is given by:

p( x_j) = \alpha\lambda\sqrt{(x_j + \epsilon)^2} + (1-\alpha)\lambda x_j^2

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

Usage

cvSmoothElasticNet(
  lavaanModel,
  regularized,
  lambdas,
  alphas,
  epsilon,
  k = 5,
  standardize = FALSE,
  returnSubsetParameters = FALSE,
  modifyModel = lessSEM::modifyModel(),
  control = lessSEM::controlBFGS()
)

Arguments

lavaanModel	model of class lavaan
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
lambdas	numeric vector: values for the tuning parameter lambda
alphas	numeric vector with values of the tuning parameter alpha. Must be between 0 and 1. 0 = ridge, 1 = lasso.
epsilon	epsilon > 0; controls the smoothness of the approximation. Larger values = smoother
k	the number of cross-validation folds. Alternatively, you can pass a matrix with booleans (TRUE, FALSE) which indicates for each person which subset it belongs to. See ?lessSEM::createSubsets for an example of how this matrix should look like.
standardize	Standardizing your data prior to the analysis can undermine the cross- validation. Set standardize=TRUE to automatically standardize the data.
returnSubsetParameters	set to TRUE to return the parameters for each training set
modifyModel	used to modify the lavaanModel. See ?modifyModel.
control	used to control the optimizer. This element is generated with the controlBFGS function. See ?controlBFGS for more details.

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

Value

model of class cvRegularizedSEM

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)

# Regularization:

lsem <- cvSmoothElasticNet(
  # pass the fitted lavaan model
  lavaanModel = lavaanModel,
  # names of the regularized parameters:
  regularized = paste0("l", 6:15),
  epsilon = 1e-8,
  lambdas = seq(0,1,length.out = 5),
  alphas = .3)

# the coefficients can be accessed with:
coef(lsem)

# elements of lsem can be accessed with the @ operator:
lsem@parameters

# optional: plotting the cross-validation fit requires installation of plotly
# plot(lsem)

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