uvarpro: Unsupervised Variable Selection using Variable Priority...

In varPro: Model-Independent Variable Selection via the Rule-Based Variable Priority

Unsupervised Variable Selection using Variable Priority (UVarPro)

Description

Performs unsupervised variable selection by extending the VarPro framework to forests grown without labels. UVarPro identifies features that explain structure in the data through region-release contrasts, with importance assessed using entropy or lasso-based methods.

Usage

uvarpro(data,
        method = c("auto", "unsupv", "rnd"),
        ntree = 200, nodesize = NULL,
        max.rules.tree = 20, max.tree = 200,
        verbose = FALSE, seed = NULL,
        ...)

Arguments

data	Data frame containing the unsupervised data.
method	Type of forest used. Options are "auto" (auto-encoder), "unsupv" (unsupervised analysis), and "rnd" (pure random forest).
ntree	Number of trees to grow.
nodesize	Minimum terminal node size. If not specified, an internal function selects an appropriate value based on sample size and dimension.
max.rules.tree	Maximum number of rules per tree.
max.tree	Maximum number of trees used to extract rules.
verbose	Print verbose output?
seed	Seed for reproducibility.
...	Additional arguments passed to rfsrc.

Details

UVarPro performs unsupervised variable selection by applying the VarPro framework to random forests trained on unlabeled data (Zhou et al., 2025). The procedure has two components: (i) the construction of an unsupervised forest, and (ii) the evaluation of variable importance based on region-release contrasts, in direct analogy to the supervised setting in VarPro.

The forest construction is controlled by the method argument. By default, method = "auto" fits a random forest autoencoder, which regresses each selected variable on itself, a specialized form of multivariate forest modeling. Alternatives include "unsupv", which uses pseudo-responses and multivariate splits to build an unsupervised forest (Tang and Ishwaran, 2017), and "rnd", which uses completely random splits. For large datasets, the autoencoder may be slower, while "unsupv" and "rnd" are often much faster.

Variable importance is assessed using region-release contrasts formed by the forest. By default, the importance function returns an entropy-based criterion. This measure compares the variability within each region to the variability across the combined sample, effectively acting like a ratio of between to within sums of squares. Importance values are averaged across many region-release rules, providing a rough but fast estimate of how strongly a feature contributes to distinguishing regions. See examples below.

In addition to this default entropy measure, UVarPro supports custom user-defined entropy functions to create alternative importance metrics.

A more sophisticated procedure, described in Zhou et al. (2026), reframes each region-release contrast as a supervised classification task, with membership in the region serving as the class label. Variable effects are estimated using lasso-based logistic regression, and coefficients are aggregated over the collection of region-release tasks. This produces a sparser and often more interpretable assessment of importance compared to the entropy method. Although more computationally intensive, the lasso-driven approach can provide sharper separation of relevant and irrelevant features. See examples below for details.

Value

A uvarpro object.

Author(s)

Min Lu and Hemant Ishwaran

References

Tang F. and Ishwaran H. (2017). Random forest missing data algorithms. Statistical Analysis and Data Mining, 10:363-377.

Zhou L., Lu M. and Ishwaran H. (2026). Variable priority for unsupervised variable selection. Pattern Recognition, 172:112727.

See Also

varpro

Examples

## ------------------------------------------------------------
## toy example - needed to pass CRAN test
## ------------------------------------------------------------

## mtcars unsupervised regression
o <- uvarpro(mtcars, ntree = 1)



## ------------------------------------------------------------
## boston housing: default call
## ------------------------------------------------------------

data(BostonHousing, package = "mlbench")

## default call
o <- uvarpro(BostonHousing)
print(importance(o))

## ------------------------------------------------------------
## boston housing: using method="unsupv"
## ------------------------------------------------------------

data(BostonHousing, package = "mlbench")

## unsupervised splitting 
o <- uvarpro(BostonHousing, method = "unsupv")
print(importance(o))

## ------------------------------------------------------------
## boston housing: illustrates hot-encoding
## ------------------------------------------------------------

## load the data
data(BostonHousing, package = "mlbench")

## convert some of the features to factors
Boston <- BostonHousing
Boston$zn <- factor(Boston$zn)
Boston$chas <- factor(Boston$chas)
Boston$lstat <- factor(round(0.2 * Boston$lstat))
Boston$nox <- factor(round(20 * Boston$nox))
Boston$rm <- factor(round(Boston$rm))

## call unsupervised varpro and print importance
print(importance(o <- uvarpro(Boston)))

## get top variables
get.topvars(o)

## map importance values back to original features
print(get.orgvimp(o))

## same as above ... but for all variables
print(get.orgvimp(o, pretty = FALSE))


## ------------------------------------------------------------
## latent variable simulation
## ------------------------------------------------------------

n <- 1000
w <- rnorm(n)
x <- rnorm(n)
y <- rnorm(n)
z <- rnorm(n)
ei <- matrix(rnorm(n * 20, sd = sqrt(.1)), ncol = 20)
e21 <- rnorm(n, sd = sqrt(.4))
e22 <- rnorm(n, sd = sqrt(.4))
wi <- w + ei[, 1:5]
xi <- x + ei[, 6:10]
yi <- y + ei[, 11:15]
zi <- z + ei[, 16:20]
h1 <- w + x + e21
h2 <- y + z + e22
dta <- data.frame(w=w,wi=wi,x=x,xi=xi,y=y,yi=yi,z=z,zi=zi,h1=h1,h2=h2)

## default call
print(importance(uvarpro(dta)))


## ------------------------------------------------------------
## glass (remove outcome)
## ------------------------------------------------------------

data(Glass, package = "mlbench")

## remove the outcome
Glass$Type <- NULL

## get importance
o <- uvarpro(Glass)
print(importance(o))

## compare to PCA
(biplot(prcomp(o$x, scale = TRUE)))

## ------------------------------------------------------------
## iowa housing - illustrates lasso importance
## ------------------------------------------------------------

## first we roughly impute the data
data(housing, package = "randomForestSRC")

## to speed up analysis, convert all factors to real values
iowa <- roughfix(housing)
iowa <- data.frame(data.matrix(iowa))

## canonical call
o <- uvarpro(iowa)

## standard importance
print(importance(o))

## lasso importance
beta <- get.beta.entropy(o)
print(beta)
print(sort(colMeans(beta, na.rm=TRUE), decreasing = TRUE))

## s-dependent graph
sdependent(beta)

## lasso importance without pre-filtering
## beta.nof <- get.beta.entropy(o, pre.filter = FALSE)
## print(beta.nof)
## print(sort(colMeans(beta.nof, na.rm=TRUE), decreasing = TRUE))

## lasso importance with second stage sparsity lasso
## beta.sparse <- get.beta.entropy(o, second.stage = TRUE)
## print(beta.sparse)


## ------------------------------------------------------------
##  custom importance
##  OPTION 1: use hidden entropy option
## ------------------------------------------------------------

my.entropy <- function(xC, xO, ...) {

  ## xC     x feature data from complementary region
  ## xO     x feature data from original region
  ## ...    used to pass aditional options (required)
 
  ## custom importance value
  wss <- mean(apply(rbind(xO, xC), 2, sd, na.rm = TRUE))
  bss <- (mean(apply(xC, 2, sd, na.rm = TRUE)) +
              mean(apply(xO, 2, sd, na.rm = TRUE)))
  imp <- 0.5 * bss / wss
  
  ## entropy value must contain complementary and original membership
  entropy <- list(comp = list(...)$compMembership,
                  oob = list(...)$oobMembership)

  ## return importance and in the second slot the entropy list 
  list(imp = imp, entropy)

o <- uvarpro(BostonHousing, entropy=my.entropy)
print(importance(o))


## ------------------------------------------------------------
##  custom importance
##  OPTION 2: direct importance without hidden entropy option
## ------------------------------------------------------------

o <- uvarpro(BostonHousing, ntree=3, max.rules.tree=10)

## convert original/release region into two-class problem
## define importance as the lasso beta values 

## For faster performance on Unix systems, consider using:
## library(parallel)
## imp <- do.call(rbind, mclapply(seq_along(o$entropy), function(j) { ... }))

imp <- do.call(rbind, lapply(seq_along(o$entropy), function(j) {
  rO <- do.call(rbind, lapply(o$entropy[[j]], function(r) {
    xC <- o$x[r[[1]],names(o$entropy),drop=FALSE]
    xO <- o$x[r[[2]],names(o$entropy),drop=FALSE]
    y <- factor(c(rep(0, nrow(xC)), rep(1, nrow(xO))))
    x <- rbind(xC, xO)
    x <- x[, colnames(x) != names(o$entropy)[j]]
    fit <- tryCatch(
      suppressWarnings(glmnet::cv.glmnet(as.matrix(x), y, family = "binomial")),
      error = function(e) NULL
    )
    if (!is.null(fit)) {
      beta <- setNames(rep(0, length(o$entropy)), names(o$entropy))
      bhat <- abs(coef(fit)[-1, 1])
      beta[names(bhat)] <- bhat
      beta
    } else {
      NULL
    }
  }))
  if (!is.null(rO)) {
    val <- colMeans(rO, na.rm = TRUE)
    names(val) <- colnames(rO)
    return(val)
  } else {
    return(NULL)
  }
}) |> setNames(names(o$entropy)))

print(imp)


## ------------------------------------------------------------
##  custom importance
##  OPTION 3: direct importance using built in lasso beta function
## ------------------------------------------------------------

o <- uvarpro(BostonHousing)
print((get.beta.entropy(o)))

}

varPro documentation built on Feb. 12, 2026, 5:07 p.m.