oem
is a package for the estimation of various penalized regression models using the oem algorithm of [@xiong16]. The focus of oem
is to provide high performance computation for big tall data. Many applications not only have a large number of variables, but a vast number of observations; oem
is designed to perform well in these settings.
The simplest way to install oem
is via the CRAN repositories as the following:
# install.packages("oem", repos = "http://cran.us.rproject.org")
To install the development version, first install the devtools
package
install.packages("devtools", repos = "http://cran.us.rproject.org")
and then installl oem
via the install_github
function
library(devtools) install_github("jaredhuling/oem")
First load oem
library(oem)
Simulate data
nobs < 1e4 nvars < 100 x < matrix(rnorm(nobs * nvars), ncol = nvars) y < drop(x %*% c(0.5, 0.5, 0.5, 0.5, 1, rep(0, nvars  5))) + rnorm(nobs, sd = 4)
Fit a penalized regression model using the oem
function
fit1 < oem(x = x, y = y, penalty = "lasso")
Plot the solution path
plot(fit1)
 Function Name  Functionality 
    
 oem()
 Main fitting function 
 oem.xtx()
 Fitting function for precomputed $X'X,X'y$ 
 big.oem()
 Fitting function for big.matrix()
objects 
 summary.oemfit()
 Summary for oem
objects 
 predict.oemfit()
 Prediction for oem
objects 
 plot.oemfit()
 Plotting for oem
objects 
 logLik.oemfit()
 log Likelihood for oem
objects 
 cv.oem()
 Crossvalidation function 
 xval.oem()
 Fast crossvalidation for linear models 
 summary.cv.oem()
 Summary for cv.oem
objects 
 predict.cv.oem()
 Prediction for cv.oem
objects 
 plot.cv.oem()
 Plotting for cv.oem
objects 
 logLik.cv.oem()
 log Likelihood for cv.oem objects 
 Penalty  Option Name  Penalty Form 
      
 Lasso  lasso
 $\lambda \sum_{j = 1}^pd_j\beta_j$ 
 Elastic Net  elastic.net
 $\lambda \sum_{j = 1}^p\alpha d_j\beta_j + \frac{1}{2}(1  \alpha)\lambda \sum_{j = 1}^pd_j\beta_j^2$ 
 MCP  mcp
 $\lambda \sum_{j = 1}^pd_j \int_0^{\beta_j}(1  x/(\gamma\lambda d_j))+\mathrm{d}x$ 
 SCAD  scad
 $\sum{j = 1}^p p^{SCAD}{\lambda d_j,\gamma}(\beta_j)$ 
 Group Lasso  grp.lasso
 $\lambda \sum{k = 1}^Gd_k\sqrt{\sum_{j \in g_k}\beta_j^2}$ 
 Group MCP  grp.mcp
 $\lambda \sum_{k = 1}^Gp^{MCP}{\lambda d_k,\gamma}(\boldsymbol\beta{g_k}2)$ 
 Group SCAD  grp.scad
 $\lambda \sum{k = 1}^Gp^{SCAD}{\lambda d_k,\gamma}(\boldsymbol\beta{g_k}2)$ 
 Sparse Group Lasso  sparse.grp.lasso
 $\lambda \alpha\sum{j = 1}^pd_j\beta_j + \lambda (1\alpha)\sum_{k = 1}^Gd_k\sqrt{\sum_{j \in g_k}\beta_j^2}$ 
where $\boldsymbol\beta_{g_k}2 = \sqrt{\sum{j \in g_k}\beta_j^2}$, [ p_{\lambda, \gamma}^{SCAD}(\beta) = \left{ \begin{array}{ll} \lambda\beta & \beta \leq \lambda ; \ \frac{\beta^2  2\gamma\lambda\beta + \lambda^2}{2(\gamma  1)} & \lambda < \beta \leq \gamma\lambda ; \ \frac{(\gamma + 1)\lambda^2}{2} & \beta > \gamma\lambda, \ \end{array} \right. ]
and
[ p_{\lambda, \gamma}^{MCP}(\beta) = \lambda \int_0^{\beta}(1  x/(\gamma\lambda ))_+\mathrm{d}x = \ \left{ \begin{array}{ll} \lambda (\beta  \frac{\beta^2} {2 \lambda\gamma}) & \beta \leq \gamma\lambda ; \ \frac{ \lambda^2\gamma}{2} & \beta > \gamma\lambda. \ \end{array} \right. ]
Any penalty with .net
at the end of its name has a ridge term of $\frac{1}{2}(1  \alpha)\lambda \sum_{j = 1}^pd_j\beta_j^2$ added to it and the original penalty multiplied by $\alpha$. For example, grp.mcp.net
is the penalty
$$\lambda \sum_{k = 1}^G\alpha p^{MCP}{\lambda d_k,\gamma}(\boldsymbol\beta{g_k}2) + \frac{1}{2}(1  \alpha)\lambda \sum{j = 1}^pd_j\beta_j^2. $$
The following models are available currently.
 Model  Option Name  Loss Form 
      
 Linear Regression  gaussian
 $\frac{1}{2n}\sum_{i=1}^n(y_i  x_i^T\beta) ^ 2$ 
 Logistic Regression  binomial
 $\frac{1}{n}\sum_{i=1}^n\left[y_i x_i^T\beta  \log (1 + \exp{ x_i^T\beta } ) \right]$
There are plans to include support for multiple responses, binomial models (not just logistic regression), Cox's proportional hazards model, and more if requested.
The oem algorithm is wellsuited to quickly estimate a solution path for multiple penalties simultaneously if the number of variables is not too large. The oem algorithm is only efficient for multiple penalties for linear models.
For the group lasso penalty, the groups
argument must be used. groups
should be a vector which indicates the group number for each variable.
fit2 < oem(x = x, y = y, penalty = c("lasso", "mcp", "grp.lasso", "grp.mcp"), groups = rep(1:20, each = 5))
Plot the solution paths for all models
layout(matrix(1:4, ncol = 2)) plot(fit2, which.model = 1, xvar = "lambda") plot(fit2, which.model = 2, xvar = "lambda") plot(fit2, which.model = 3, xvar = "lambda") plot(fit2, which.model = "grp.mcp", xvar = "lambda")
The following is a demonstration of oem's efficiency for computing solutions for tuning parameter paths for multiple penalties at once.
The efficiency oem for fitting multiple penalties at once only applies to linear models. However, for linear models it is quite efficient, even for a high number of tuning parameters for many different penalties.
nobs < 1e5 nvars < 100 x2 < matrix(rnorm(nobs * nvars), ncol = nvars) y2 < drop(x2 %*% c(0.5, 0.5, 0.5, 0.5, 1, rep(0, nvars  5))) + rnorm(nobs, sd = 4) system.time(fit2a < oem(x = x2, y = y2, penalty = c("grp.lasso"), groups = rep(1:20, each = 5), nlambda = 100L)) system.time(fit2b < oem(x = x2, y = y2, penalty = c("grp.lasso", "lasso", "mcp", "scad", "elastic.net", "grp.mcp", "grp.scad", "sparse.grp.lasso"), groups = rep(1:20, each = 5), nlambda = 100L)) system.time(fit2c < oem(x = x2, y = y2, penalty = c("grp.lasso", "lasso", "mcp", "scad", "elastic.net", "grp.mcp", "grp.scad", "sparse.grp.lasso"), groups = rep(1:20, each = 5), nlambda = 500L))
It is still more efficient to fit multiple penalties at once instead of individually for logistic regression, but the benefit is not as dramatic as for linear models.
nobs < 5e4 nvars < 100 x2 < matrix(rnorm(nobs * nvars), ncol = nvars) y2 < rbinom(nobs, 1, prob = 1 / (1 + exp(drop(x2 %*% c(0.15, 0.15, 0.15, 0.15, 0.25, rep(0, nvars  5)))))) system.time(fit2a < oem(x = x2, y = y2, penalty = c("grp.lasso"), family = "binomial", groups = rep(1:20, each = 5), nlambda = 100L)) system.time(fit2b < oem(x = x2, y = y2, penalty = c("grp.lasso", "lasso", "mcp", "scad", "elastic.net"), family = "binomial", groups = rep(1:20, each = 5), nlambda = 100L))
Here we use the nfolds
argument to specify the number of folds for $k$fold cross validation
system.time(cvfit1 < cv.oem(x = x, y = y, penalty = c("lasso", "mcp", "grp.lasso", "grp.mcp"), gamma = 2, groups = rep(1:20, each = 5), nfolds = 10))
Plot the cross validation mean squared error results for each model
layout(matrix(1:4, ncol = 2)) plot(cvfit1, which.model = 1) plot(cvfit1, which.model = 2) plot(cvfit1, which.model = 3) plot(cvfit1, which.model = 4)
The function xval.oem
offers accelerated cross validation for penalized linear models. In many cases is is orders of magnitude faster than cv.oem. It is only recommended for scenarios where the number of observations is larger than the number of variables. In addition to the computational gains in singlecore usage, it also benefits from parallelizaton using OpenMP (instead of using foreach, as used by cv.oem). For large enough problems, it has on a similar order of computation time as just fitting one OEM model.
nobsc < 1e5 nvarsc < 100 xc < matrix(rnorm(nobsc * nvarsc), ncol = nvarsc) yc < drop(xc %*% c(0.5, 0.5, 0.5, 0.5, 1, rep(0, nvarsc  5))) + rnorm(nobsc, sd = 4) system.time(cvalfit1 < cv.oem(x = xc, y = yc, penalty = "lasso", groups = rep(1:20, each = 5), nfolds = 10)) system.time(xvalfit1 < xval.oem(x = xc, y = yc, penalty = "lasso", groups = rep(1:20, each = 5), nfolds = 10)) system.time(xvalfit2 < xval.oem(x = xc, y = yc, penalty = "lasso", groups = rep(1:20, each = 5), nfolds = 10, ncores = 2)) system.time(ofit1 < oem(x = xc, y = yc, penalty = "lasso", groups = rep(1:20, each = 5)))
A variety of evaluation metrics can be used for cross validation. The available metrics can be found in the table below
 Model  Metric  type.measure=

      
 Linear Regression  Mean squared error  mse
or deviance

  Mean absolute error  mae

      
Logistic Regression Deviance  deviance

  Area under the ROC curve  auc

  Misclassification Rate  class

  Mean squared error of fitted mean  mse

  Mean absolute error of fitted mean  mae

Consider a binary outcome setting with logistic regression.
nobs < 2e3 nvars < 20 x < matrix(runif(nobs * nvars, max = 2), ncol = nvars) y < rbinom(nobs, 1, prob = 1 / (1 + exp(drop(x %*% c(0.25, 1, 1, 0.5, 0.5, 0.25, rep(0, nvars  6))))))
cvfit2 < cv.oem(x = x, y = y, penalty = c("lasso", "mcp", "grp.lasso", "grp.mcp"), family = "binomial", type.measure = "class", gamma = 2, groups = rep(1:10, each = 2), nfolds = 10, standardize = FALSE)
yrng < range(c(unlist(cvfit2$cvup), unlist(cvfit2$cvlo))) layout(matrix(1:4, ncol = 2)) plot(cvfit2, which.model = 1, ylim = yrng) plot(cvfit2, which.model = 2, ylim = yrng) plot(cvfit2, which.model = 3, ylim = yrng) plot(cvfit2, which.model = "grp.mcp", ylim = yrng)
In this case, misclassification rate is not the best indicator of performance. The classes here are imbalanced:
mean(y)
Area under the ROC curve is an alternative classification metric to misclassification rate. It is available by setting type.measure = "auc"
.
cvfit2 < cv.oem(x = x, y = y, penalty = c("lasso", "mcp", "grp.lasso", "grp.mcp"), family = "binomial", type.measure = "auc", gamma = 2, groups = rep(1:10, each = 2), nfolds = 10, standardize = FALSE)
yrng < range(c(unlist(cvfit2$cvup), unlist(cvfit2$cvlo))) layout(matrix(1:4, ncol = 2)) plot(cvfit2, which.model = 1, ylim = yrng) plot(cvfit2, which.model = 2, ylim = yrng) plot(cvfit2, which.model = 3, ylim = yrng) plot(cvfit2, which.model = "grp.mcp", ylim = yrng)
With a very large dataset and computing cluster, the total size of a dataset may be very large, but if the number of variables is only moderately large (on the order of a few thousands) $X^TX$ and $X^TY$ may not be large and may already be available from other computations or can be computed trivially in parallel. The function oem.xtx
computes penalized linear regression models using the OEM algorithm only using $X^TX$ and $X^TY$. Standardization can be achieved by providing a vector of scaling factors (usually the standard deviations of the columns of x). The function is used like the following:
xtx < crossprod(xc) / nrow(xc) xty < crossprod(xc, yc) / nrow(xc) system.time(fit < oem(x = xc, y = yc, penalty = c("lasso", "grp.lasso"), standardize = FALSE, intercept = FALSE, groups = rep(1:20, each = 5))) system.time(fit.xtx < oem.xtx(xtx = xtx, xty = xty, penalty = c("lasso", "grp.lasso"), groups = rep(1:20, each = 5)) ) max(abs(fit$beta[[1]][1,]  fit.xtx$beta[[1]])) max(abs(fit$beta[[2]][1,]  fit.xtx$beta[[2]])) col.std < apply(xc, 2, sd) fit.xtx.s < oem.xtx(xtx = xtx, xty = xty, scale.factor = col.std, penalty = c("lasso", "grp.lasso"), groups = rep(1:20, each = 5))
The OEM package also provides functionality for ondisk computation with the big.oem
function, allowing for fitting penalized regression models on datasets too large to fit in memory. The big.oem
function uses the tools provided by the bigmemory
package, so a big.matrix object must be used for the design matrix.
set.seed(123) nrows < 50000 ncols < 100 bkFile < "bigmat.bk" descFile < "bigmatk.desc" bigmat < filebacked.big.matrix(nrow=nrows, ncol=ncols, type="double", backingfile=bkFile, backingpath=".", descriptorfile=descFile, dimnames=c(NULL,NULL)) # Each column value with be the column number multiplied by # samples from a standard normal distribution. set.seed(123) for (i in 1:ncols) bigmat[,i] = rnorm(nrows)*i yb < rnorm(nrows) + bigmat[,1]  bigmat[,2] ## outofmemory computation fit < big.oem(x = bigmat, y = yb, penalty = c("lasso", "grp.lasso"), groups = rep(1:20, each = 5)) ## fitting with inmemory computation fit2 < oem(x = bigmat[,], y = yb, penalty = c("lasso", "grp.lasso"), groups = rep(1:20, each = 5)) max(abs(fit$beta[[1]]  fit2$beta[[1]]))
Computational time can be reduced a little via OpenMP parallelization of the key computational steps of the OEM algorithm. Simply use the ncores
argument to access parallelization. There is no need for the foreach package.
nobsc < 1e5 nvarsc < 500 xc < matrix(rnorm(nobsc * nvarsc), ncol = nvarsc) yc < drop(xc %*% c(0.5, 0.5, 0.5, 0.5, 1, rep(0, nvarsc  5))) + rnorm(nobsc, sd = 4) system.time(fit < oem(x = xc, y = yc, penalty = c("lasso", "grp.lasso"), standardize = FALSE, intercept = FALSE, groups = rep(1:20, each = 25))) system.time(fitp < oem(x = xc, y = yc, penalty = c("lasso", "grp.lasso"), standardize = FALSE, intercept = FALSE, groups = rep(1:20, each = 25), ncores = 2))
If some variables should not be penalized, this can be specified through the use of the penalty.factor
argument for all penalties other than the group lasso. For the group lasso, the groupspecific weights can be modified by the group.weights
argument. penalty.factor
should be a vector of length equal to the number of columns in x
. Each element in penalty.factor
will be multiplied to the applied tuning parameter for each corresponding variable. For example, for a problem with 5 variables (ncol(x) = 5
), setting penalty.factor = c(1, 1, 1, 0, 0)
will effectively only allow penalization for the first three variables. The group.weights
argument should be a vector with length equal to the number of groups. Similarly to penalty.factor
, these weights will be multiplied to the penalty applied to each group. penalty.factor
and group.weights
can also be used to fit the adaptive lasso and adaptive group lasso, respectively.
The following example shows how to fit an adaptive lasso using oem
nobs < 1e4 nvars < 102 x < matrix(rnorm(nobs * nvars), ncol = nvars) y < drop(x %*% c(0.5, 0.5, 0.5, 0.5, 1, 0.5, rep(0, nvars  6))) + rnorm(nobs, sd = 4) lams < exp(seq(log(2.5), log(5e5), length.out = 100L)) ols.estimates < coef(lm.fit(y = y, x = cbind(1, x)))[1] fit.adaptive < oem(x = x, y = y, penalty = c("lasso"), penalty.factor = 1 / abs(ols.estimates), lambda = lams) group.indicators < rep(1:34, each = 3) ## norms of OLS estimates for each group group.norms < sapply(1:34, function(idx) sqrt(sum((ols.estimates[group.indicators == idx]) ^ 2))) fit.adaptive.grp < oem(x = x, y = y, penalty = c("grp.lasso"), group.weights = 1 / group.norms, groups = group.indicators, lambda = lams)
layout(matrix(1:2, ncol = 2)) plot(fit.adaptive) plot(fit.adaptive.grp)
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