inst/examples/crossval.R

In quadrupen: Sparsity by Worst-Case Quadratic Penalties

## Simulating multivariate Gaussian with blockwise correlation
## and piecewise constant vector of parameters
beta <- rep(c(0,1,0,-1,0), c(25,10,25,10,25))
cor  <- 0.75
Soo  <- toeplitz(cor^(0:(25-1))) ## Toeplitz correlation for irrelevant variable
Sww  <- matrix(cor,10,10) ## bloc correlation between active variables
Sigma <- bdiag(Soo,Sww,Soo,Sww,Soo) + 0.1
diag(Sigma) <- 1
n <- 100
x <- as.matrix(matrix(rnorm(95*n),n,95) %*% chol(Sigma))
y <- 10 + x %*% beta + rnorm(n,0,10)

## Use fewer lambda1 values by overwritting the default parameters
## and cross-validate over the sequences lambda1 and lambda2
cv.double <- crossval(x,y, lambda2=10^seq(2,-2,len=50), nlambda1=50)
## Rerun simple cross-validation with the appropriate lambda2
cv.10K <- crossval(x,y, lambda2=slot(cv.double, "lambda2.min"))
## Try leave one out also
cv.loo <- crossval(x,y, K=n, lambda2=slot(cv.double, "lambda2.min"))

plot(cv.double)
plot(cv.10K)
plot(cv.loo)

## Performance for selection purpose
beta.min.10K <- slot(cv.10K, "beta.min")
beta.min.loo <- slot(cv.loo, "beta.min")

cat("\nFalse positives with the minimal 10-CV choice: ", sum(sign(beta) != sign(beta.min.10K)))
cat("\nFalse positives with the minimal LOO-CV choice: ", sum(sign(beta) != sign(beta.min.loo)))