gpe: Derive a General Prediction Ensemble (gpe)

In pre: Prediction Rule Ensembles

Derive a General Prediction Ensemble (gpe)

Description

Provides an interface for deriving sparse prediction ensembles where basis functions are selected through L1 penalization.

Usage

gpe(
  formula,
  data,
  base_learners = list(gpe_trees(), gpe_linear()),
  weights = rep(1, times = nrow(data)),
  sample_func = gpe_sample(),
  verbose = FALSE,
  penalized_trainer = gpe_cv.glmnet(),
  model = TRUE
)

Arguments

formula	Symbolic description of the model to be fit of the form y ~ x1 + x2 + ...+ xn. If the output variable (left-hand side of the formula) is a factor, an ensemble for binary classification is created. Otherwise, an ensemble for prediction of a continuous variable is created.
data	data.frame containing the variables in the model.
base_learners	List of functions which has formal arguments formula, data, weights, sample_func, verbose, and family and returns a vector of characters with terms for the final formula passed to cv.glmnet. See gpe_linear, gpe_trees, and gpe_earth.
weights	Case weights with length equal to number of rows in data.
sample_func	Function used to sample when learning with base learners. The function should have formal argument n and weights and return a vector of indices. See gpe_sample.
verbose	TRUE if comments should be posted throughout the computations.
penalized_trainer	Function with formal arguments x, y, weights, family which returns a fit object. This can be changed to test other "penalized trainers" (like other function that perform an L1 penalty or L2 penalty and elastic net penalty). Not using cv.glmnet may cause other function for gpe objects to fail. See gpe_cv.glmnet.
model	TRUE if the data should added to the returned object.

Details

Provides a more general framework for making a sparse prediction ensemble than pre.

By default, a similar fit to pre is obtained. In addition, multivariate adaptive regression splines (Friedman, 1991) can be included with gpe_earth. See examples.

Other customs base learners can be implemented. See gpe_trees, gpe_linear or gpe_earth for details of the setup. The sampling function given by sample_func can also be replaced by a custom sampling function. See gpe_sample for details of the setup.

Value

An object of class gpe.

References

Friedman, J. H., & Popescu, B. E. (2008). Predictive learning via rule ensembles. The Annals of Applied Statistics, 2(3), 916-954. Friedman, J. H. (1991). Multivariate adaptive regression splines. The Annals of Statistics, 19(1), 1-67.

See Also

pre, gpe_trees, gpe_linear, gpe_earth, gpe_sample, gpe_cv.glmnet

Examples

## Not run: 
## Obtain similar fit to function pre:
gpe.rules <- gpe(Ozone ~ ., data = airquality[complete.cases(airquality),], 
  base_learners = list(gpe_linear(), gpe_trees()))
gpe.rules
  
## Also include products of hinge functions using MARS:
gpe.hinge <- gpe(Ozone ~ ., data = airquality[complete.cases(airquality),], 
  base_learners = list(gpe_linear(), gpe_trees(), gpe_earth()))

## End(Not run)

pre documentation built on Feb. 16, 2023, 5:20 p.m.