R/sel_FWD_3.R
In AndreaCappozzo/varselTBIC:
# #############################################################################
# ## Sequential & parallel robust forward greedy search REDDA
# #############################################################################
# # In this implementation models are robustly estimated but the comparison is made
# # via BIC (aka non-robust information criterion) for the entire set of units
# # it does not work: see Section 5 of \cite{Greco2019}
#
# redda_varsel_gr_fwd <- function(Xtrain,
# cltrain,
# emModels1 = c("E","V"),
# emModels2 = mclust.options("emModelNames"),
# alpha_Xtrain,
# forcetwo = TRUE,
# BIC.diff = 0,
# itermax = 100,
# nsamp= 100,
# parallel = FALSE,
# fit= TRUE,
# verbose = interactive())
# {
# Xtrain <- data.matrix(Xtrain)
# Ntrain <- nrow(Xtrain) # number of rows = number of observations
# Ntrain_trim <- if(alpha_Xtrain!=0) {Ntrain - ceiling(Ntrain * alpha_Xtrain)} else {NULL}
# d <- ncol(Xtrain) # number of columns = number of variables
# if(is.null(colnames(Xtrain))){
# colnames(Xtrain) <- paste("X", 1:d, sep = "")
# }
# G <- length(unique(cltrain))
#
# # Start "parallel backend" if needed
# if(is.logical(parallel)) {
# if (parallel) {
# parallel <- clustvarsel::startParallel(parallel)
# stopCluster <-
# TRUE
# } else {
# parallel <- stopCluster <- FALSE
# }
# } else {
# stopCluster <- if (inherits(parallel, "cluster"))
# FALSE
# else
# TRUE
# parallel <- clustvarsel::startParallel(parallel)
# }
# on.exit(if (parallel & stopCluster)
# parallel::stopCluster(attr(parallel, "cluster")))
#
# # define operator to use depending on parallel being TRUE or FALSE
# `%DO%` <- if(parallel) `%dopar%` else `%do%`
# i <- NULL # dummy to trick R CMD check
#
# # First Step - selecting single variable
# if(verbose) cat(paste("iter 1\n+ adding step\n"))
# out <- foreach(i = 1:d) %DO% {
# xBIC <- NULL
# # Fit the single variable grouping models
# try(xBIC <- redda_varsel(
# X_p = NULL,
# X_c = Xtrain[, i],
# cltrain = cltrain,
# alpha_Xtrain = alpha_Xtrain,
# modelNames = emModels1,
# nsamp = nsamp,
# model = "GR"
# )$Best,
# silent = TRUE)
#
# # maxBIC is the maximum BIC over all grouping models fit
# maxBIC <- if (is.null(xBIC$bic)) {
# NA
# } else {
# BIC_computation(
# X_p = NULL,
# X_c = Xtrain[, i],
# cltrain = cltrain,
# fitted_model = xBIC,
# model_type = "GR"
# )
# }
# # Fit and get BIC for a single component no-group normal model
# if (alpha_Xtrain != 0) {
# best_subset <-
# MASS::cov.mcd(x = Xtrain[, i], quantile.used = floor((1 - alpha_Xtrain) * Ntrain))$best
# # I recover the best subset on which the mean and the variance are computed.
# # Afterwards, I perform a robust single component no-grouping normal model using Mclust,
# # this is done because cov.mcd (as well as covMcd in robustbase)
# # use consistency correction that I do not want to include
#
# try(fit_no_grouping <-
# mclust::Mclust(
# Xtrain[best_subset, i],
# G = 1,
# modelNames = emModels1,
# verbose = FALSE
# ),
# silent = TRUE)
# oneBIC <- if (is.null(fit_no_grouping$bic)) {
# NA
# } else {
# 2*sum(
# dnorm(
# x = Xtrain[, i],
# mean = fit_no_grouping$parameters$mean,
# sd = sqrt(fit_no_grouping$parameters$variance$sigmasq),
# log = TRUE
# )
# ) - 2*log(length(Xtrain[, i]))
# }
# } else {
# try(oneBIC <- mclust::Mclust(
# Xtrain[, i],
# G = 1,
# modelNames = emModels1,
# verbose = FALSE
# )$BIC[1],
# silent = TRUE)
# }
# return(list(maxBIC, oneBIC, xBIC$modelName, xBIC$G))
# }
# maxBIC <- sapply(out, "[[", 1)
# oneBIC <- sapply(out, "[[", 2)
# # Difference between maximum BIC for grouping and BIC for no grouping
# maxdiff <- maxBIC - oneBIC
# # Find the single variable with the biggest difference between
# # grouping and no grouping
# m <- max(maxdiff[is.finite(maxdiff)])
# arg <- which(maxdiff==m,arr.ind=TRUE)[1]
# # This is our first selected variable/S is the matrix of currently selected
# # grouping variables
# S <- Xtrain[,arg,drop=FALSE]
# # BICS is the BIC value for the grouping model with the variable(s) in S
# BICS <- maxBIC[arg]
# # NS is the matrix of currently not selected variables
# NS <- Xtrain[,-arg,drop=FALSE]
# # info records the proposed variable, BIC for the S matrix and difference
# # in BIC for grouping versus no grouping on S, whether it was an
# # addition step and if it was accepted
# info <- data.frame(Var = colnames(S),
# BIC = BICS, BICdiff = maxdiff[arg],
# Step = "Add", Decision = "Accepted",
# Model = out[[arg]][[3]],
# G = out[[arg]][[4]],
# stringsAsFactors = FALSE)
#
# if(verbose)
# { print(info[,c(1,3:5),drop=FALSE])
# cat("iter 2\n+ adding step\n") }
#
# # Second Step - selecting second variable
# out <- foreach(i = 1:ncol(NS)) %DO%
# {
# # cindepBIC is the BIC for the grouping model on S and the
# # regression model of the new variable on S
# try(fit_no_grouping <- redda_varsel(
# X_p = NS[,i],
# X_c = S,
# cltrain = cltrain,
# alpha_Xtrain = alpha_Xtrain,
# modelNames = emModels1,
# nsamp = nsamp,
# model = "NG"
# )$Best,
# silent = TRUE)
#
# cindepBIC <- if(is.null(fit_no_grouping$bic)) {NA
# } else {
# BIC_computation(
# X_p = NS[, i],
# X_c = S,
# cltrain = cltrain,
# fitted_model = fit_no_grouping,
# model_type = "NG"
# )}
# # Fit the cluster model on the two variables
# sBIC <- NULL
# try(fit_grouping <- redda_varsel(
# X_p = NS[,i],
# X_c = S,
# cltrain = cltrain,
# alpha_Xtrain = alpha_Xtrain,
# modelNames = emModels2,
# nsamp = nsamp,
# model = "GR"
# )$Best,
# silent = TRUE)
# # depBIC is the BIC for the grouping model with both variables
# depBIC <- if (is.null(fit_grouping$bic)) {
# NA
# } else {
# BIC_computation(
# X_p = NS[, i],
# X_c = S,
# cltrain = cltrain,
# fitted_model = fit_grouping,
# model_type = "GR"
# )
# }
#
# return(list(cindepBIC, depBIC, fit_grouping$modelName, fit_grouping$G))
# }
# cindepBIC <- sapply(out, "[[", 1)
# depBIC <- sapply(out, "[[", 2)
# # cdiff is the difference between BIC for the models with variables' being
# # grouping variables versus them being conditionally independent of
# # the grouping
# cdiff <- depBIC - cindepBIC
# # Choose the variable with the largest difference
# m <- max(cdiff[is.finite(cdiff)])
# arg <- which(cdiff==m,arr.ind=TRUE)[1]
#
# # if forcetwo is true automatically add the best second variable,
# # otherwise only add it if its difference is large than BIC.diff
# if(forcetwo || cdiff[arg] > BIC.diff) {
# k <- c(colnames(S), colnames(NS)[arg])
# nks <- c(colnames(NS)[-arg])
# BICS <- depBIC[arg]
# info <- rbind(info, c(colnames(NS)[arg], BICS, cdiff[arg],
# "Add", "Accepted",
# out[[arg]][3:4]))
#
# S <- cbind(S, NS[, arg])
# NS <- as.matrix(NS[, -arg])
# colnames(S) <- k
# colnames(NS) <- nks
# } else {
# info <- rbind(info, c(colnames(NS)[arg], BICS, cdiff[arg],
# "Add", "Rejected",
# out[[arg]][3:4]))
# }
# info$BIC <- as.numeric(info$BIC)
# info$BICdiff <- as.numeric(info$BICdiff)
#
# if (verbose){
# print(info[2, c(1, 3:5), drop = FALSE])
# }
# criterion <- 1
# iter <- 2
# while((criterion == 1) & (iter < itermax))
# {
# iter <- iter+1
# check1 <- colnames(S)
#
# if(verbose) cat(paste("iter", iter, "\n"))
#
# # Adding step
# if(verbose) cat("+ adding step\n")
# # For the special case where we have removed all the grouping
# # variables/S is empty
# if(ncol(S)==0 || is.null(ncol(S))){
# # We simply choose the same variable as in the first step and check
# # whether the difference between the BIC for grouping versus not
# # grouping is positive or not
# m <- max(maxdiff[is.finite(maxdiff)])
# arg <- which(maxdiff==m,arr.ind=TRUE)[1]
# if(maxdiff[arg] > BIC.diff)
# {
# # if the difference is positive this variable is selected
# # as a grouping variable
# S <- matrix(c(Xtrain[,arg]), Ntrain, 1)
# BICS <- maxBIC[arg]
# colnames(S) <- colnames(Xtrain)[arg]
# NS <- as.matrix(Xtrain[,-arg])
# colnames(NS) <- colnames(Xtrain)[-arg]
# info <- rbind(info, c(colnames(S), BICS, maxdiff[arg],
# "Add","Accepted", NA, NA))
# } else { # if the difference is not > BIC.diff no grouping variables exist
# BICS <- NA
# info <- rbind(info,
# c(colnames(Xtrain)[arg], BICS, maxdiff[arg],
# "Add", "Rejected", NA, NA))
# }
# } else { # Addition Step in general (for all cases except when S is empty)
# if(ncol(NS) != 0 & !is.null(ncol(NS))) {
# out <- foreach(i = 1:ncol(NS)) %DO%
# {
# # cindepBIC is the BIC for the grouping model on S and the
# # regression model of the new variable on S
# try(fit_no_grouping <- redda_varsel(
# X_p = NS[,i],
# X_c = S,
# cltrain = cltrain,
# alpha_Xtrain = alpha_Xtrain,
# modelNames = emModels2,
# nsamp = nsamp,
# model = "NG"
# )$Best,
# silent = TRUE)
#
# cindepBIC <-
# if (is.null(fit_no_grouping$bic)) {
# NA
# } else {
# BIC_computation(
# X_p = NS[, i],
# X_c = S,
# cltrain = cltrain,
# fitted_model = fit_no_grouping,
# model_type = "NG"
# )
# }
# # Fit the cluster model on the two variables
# fit_grouping <- NULL
# try(fit_grouping <- redda_varsel(
# X_p = NS[,i],
# X_c = S,
# cltrain = cltrain,
# alpha_Xtrain = alpha_Xtrain,
# modelNames = emModels2,
# nsamp = nsamp,
# model = "GR"
# )$Best,
# silent = TRUE)
#
# # depBIC is the BIC for the grouping model with both variables
#
# depBIC <- if (is.null(fit_grouping$bic)) {
# NA
# } else{
# BIC_computation(
# X_p = NS[, i],
# X_c = S,
# cltrain = cltrain,
# fitted_model = fit_grouping,
# model_type = "GR"
# )
# }
# return(list(cindepBIC, depBIC, fit_grouping$modelName, fit_grouping$G))
# }
# cindepBIC <- sapply(out, "[[", 1)
# depBIC <- sapply(out, "[[", 2)
# # cdiff is the difference between BIC for the models with
# # variables' being grouping variables versus them being
# # conditionally independent of the grouping
# cdiff <- depBIC - cindepBIC
# # Choose the variable with the largest difference
# m <- max(cdiff[is.finite(cdiff)])
# arg <- which(cdiff==m,arr.ind=TRUE)[1]
# if(cdiff[arg] > BIC.diff)
# { # if this difference is positive add this variable to S
# # and update the grouping model's BICS
# BICS <- depBIC[arg]
# k <- c(colnames(S),colnames(NS)[arg])
# nks <- c(colnames(NS)[-arg])
# info <- rbind(info,
# c(colnames(NS)[arg], BICS, cdiff[arg],
# "Add", "Accepted", out[[arg]][3:4]))
# S <- cbind(S,NS[,arg])
# NS <- as.matrix(NS[,-arg])
# colnames(S) <- k
# colnames(NS) <- nks
# } else {
# info <- rbind(info,
# c(colnames(NS)[arg], depBIC[arg], cdiff[arg],
# "Add", "Rejected", out[[arg]][3:4]))
# }
# }
# }
# if(verbose) cat("- removing step\n")
# # Removal Step for the special case where S contains only a single variable
# if(ncol(S) == 1){
# cdiff <- 0
# oneBIC <- NA
# if (alpha_Xtrain != 0) {
# best_subset <-
# MASS::cov.mcd(x = S, quantile.used = floor((1 - alpha_Xtrain) * Ntrain))$best
# # I recover the best subset on which the mean and the variance are computed.
# # Afterwards, I perform a robust single component no-grouping normal model using Mclust,
# # this is done because cov.mcd (as well as covMcd in robustbase)
# # use consistency correction that I do not want to include
#
# try(fit_no_grouping <-
# Mclust(
# S[best_subset,,drop=F],
# G = 1,
# modelNames = emModels1,
# verbose = FALSE
# ),
# silent = TRUE)
#
# # BIC for the entire set of obs having robustly estimated model parameters
# oneBIC <- 2*sum(
# dnorm(
# x = Xtrain[, i],
# mean = fit_no_grouping$parameters$mean,
# sd = sqrt(fit_no_grouping$parameters$variance$sigmasq),
# log = TRUE
# )
# ) - 2*log(length(Xtrain[, i]))
#
# } else {
# try(oneBIC <- Mclust(
# as.matrix(S),
# G = 1,
# modelNames = emModels1,
# verbose = FALSE
# )$BIC[1],
# silent = TRUE)
# }
# # Difference between maximum BIC for grouping and BIC
# # for no grouping
# cdiff <- c(BICS - oneBIC)
# if(is.na(cdiff)) cdiff <- 0
# # Check if difference is less than BIC.diff
# if(cdiff <= BIC.diff){ # if negative remove the variable from S and set the BIC
# # for the model to NA
# BICS <- NA
# info <- rbind(info, c(colnames(S), BICS, cdiff,
# "Remove", "Accepted", NA, NA))
# k <- c(colnames(NS),colnames(S))
# NS <- cbind(NS,S)
# S <- NULL
# colnames(NS) <- k
# } else { # Otherwise leave S and BICS alone
# info <- rbind(info, c(colnames(S),
# info[nrow(info),2], cdiff,
# "Remove", "Rejected",
# unlist(info[nrow(info),c(6,7)])))
# }
# } else { # Removal step in general (for all cases except when S is a single
# # variable or empty)
# if(ncol(S) >= 2) {
# # Check if the data is at least 3 dimensional
# name <- if(ncol(S) > 2) emModels2 else emModels1
# out <- foreach(i = 1:ncol(S)) %DO%
# {
# try(fit_no_grouping <- redda_varsel(
# X_p = S[,i],
# X_c = S[,-i, drop=FALSE],
# cltrain = cltrain,
# alpha_Xtrain = alpha_Xtrain,
# modelNames = name,
# nsamp = nsamp,
# model = "NG"
# )$Best,
# silent = TRUE)
# # cindepBIC is the BIC for the clustering model on the other
# # variables in S and the regression model of the proposed
# # variable on the other variables in S
# cindepBIC <- if (is.null(fit_no_grouping$bic)) {
# NA
# } else{
# BIC_computation(X_p = S[,i],
# X_c = S[,-i, drop=FALSE],
# cltrain = cltrain, fitted_model = fit_no_grouping, model_type = "NG")
# }
# # rdep is the the BIC for the clustering model on the other
# # variables in S (excluding the proposed variable)
# rdep <- if (is.null(fit_no_grouping$bic_noreg)) {
# NA
# } else{
# BIC_computation(X_p = S[,i],
# X_c = S[,-i, drop=FALSE],
# cltrain = cltrain, fitted_model = fit_no_grouping, model_type = "only_mixture")
# }
# return(list(cindepBIC, rdep, fit_no_grouping$modelName, fit_no_grouping$G))
# }
# cindepBIC <- sapply(out, "[[", 1)
# rdep <- sapply(out, "[[", 2)
# # depBIC is the BIC for the grouping model with all
# # variables in S
# depBIC <- BICS
# # cdiff is the difference between BIC for the models with
# # variables' being grouping variables versus them being
# # conditionally independent of the grouping
# cdiff <- depBIC - cindepBIC
# # Choose the variable with the smallest difference
# m <- min(cdiff[is.finite(cdiff)])
# arg <- which(cdiff==m,arr.ind=TRUE)[1]
# if(cdiff[arg] <= BIC.diff)
# { # if this difference is less than BIC.diff remove this
# # variable from S and update the grouping model's BICS
# BICS <- rdep[arg]
# k <- c(colnames(NS),colnames(S)[arg])
# nks <- c(colnames(S)[-arg])
# info <- rbind(info,
# c(colnames(S)[arg], BICS, cdiff[arg],
# "Remove", "Accepted", out[[arg]][3:4]))
# NS <- cbind(NS,S[,arg])
# S <- as.matrix(S[,-arg])
# colnames(S) <- nks
# colnames(NS) <- k
# } else { info <- rbind(info,
# c(colnames(S)[arg], rdep[arg], cdiff[arg],
# "Remove", "Rejected", out[[arg]][3:4]))
# }
# }
# }
# info$BIC <- as.numeric(info$BIC)
# info$BICdiff <- as.numeric(info$BICdiff)
#
# if(verbose)
# print(info[seq(nrow(info)-1,nrow(info)),c(1,3:5),drop=FALSE])
# # Check if the variables in S have changed or not
# check2 <- colnames(S)
# if(is.null(check2)) # all variables have been removed
# { criterion <- 0 }
# else
# # if they have changed (either added one or removed one or changed one)
# # then continue the algorithm (criterion is 1) otherwise stop
# # (criterion is 0)
# { if(length(check2) != length(check1))
# { criterion <- 1 }
# else
# { criterion <- if(sum(check1==check2) != length(check1)) 1 else 0 }
# }
# }
#
# if(iter >= itermax)
# warning("Algorithm stopped because maximum number of iterations was reached")
#
# # List the selected variables and the matrix of steps' information
# info$BIC <- as.numeric(info$BIC)
# info$BICdiff <- as.numeric(info$BICdiff)
# # reorder steps.info
# info <- info[,c(1,4,2,6,7,3,5),drop=FALSE]
# colnames(info) <- c("Variable proposed", "Type of step",
# "BICclust", "Model", "G", "BICdiff", "Decision")
# varnames <- colnames(Xtrain)
# subset <- if(is.null(S)) NULL
# else sapply(colnames(S), function(x) which(x == varnames))
#
# out <- list(variables = varnames,
# subset = subset,
# steps.info = info,
# search = "greedy",
# direction = "forward")
#
# class(out) <- "robust_varsel"
# return(out)
# }
AndreaCappozzo/varselTBIC documentation built on July 23, 2021, 3:03 a.m.
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# #############################################################################
# ## Sequential & parallel robust forward greedy search REDDA
# #############################################################################
# # In this implementation models are robustly estimated but the comparison is made
# # via BIC (aka non-robust information criterion) for the entire set of units
# # it does not work: see Section 5 of \cite{Greco2019}
#
# redda_varsel_gr_fwd <- function(Xtrain,
# cltrain,
# emModels1 = c("E","V"),
# emModels2 = mclust.options("emModelNames"),
# alpha_Xtrain,
# forcetwo = TRUE,
# BIC.diff = 0,
# itermax = 100,
# nsamp= 100,
# parallel = FALSE,
# fit= TRUE,
# verbose = interactive())
# {
# Xtrain <- data.matrix(Xtrain)
# Ntrain <- nrow(Xtrain) # number of rows = number of observations
# Ntrain_trim <- if(alpha_Xtrain!=0) {Ntrain - ceiling(Ntrain * alpha_Xtrain)} else {NULL}
# d <- ncol(Xtrain) # number of columns = number of variables
# if(is.null(colnames(Xtrain))){
# colnames(Xtrain) <- paste("X", 1:d, sep = "")
# }
# G <- length(unique(cltrain))
#
# # Start "parallel backend" if needed
# if(is.logical(parallel)) {
# if (parallel) {
# parallel <- clustvarsel::startParallel(parallel)
# stopCluster <-
# TRUE
# } else {
# parallel <- stopCluster <- FALSE
# }
# } else {
# stopCluster <- if (inherits(parallel, "cluster"))
# FALSE
# else
# TRUE
# parallel <- clustvarsel::startParallel(parallel)
# }
# on.exit(if (parallel & stopCluster)
# parallel::stopCluster(attr(parallel, "cluster")))
#
# # define operator to use depending on parallel being TRUE or FALSE
# `%DO%` <- if(parallel) `%dopar%` else `%do%`
# i <- NULL # dummy to trick R CMD check
#
# # First Step - selecting single variable
# if(verbose) cat(paste("iter 1\n+ adding step\n"))
# out <- foreach(i = 1:d) %DO% {
# xBIC <- NULL
# # Fit the single variable grouping models
# try(xBIC <- redda_varsel(
# X_p = NULL,
# X_c = Xtrain[, i],
# cltrain = cltrain,
# alpha_Xtrain = alpha_Xtrain,
# modelNames = emModels1,
# nsamp = nsamp,
# model = "GR"
# )$Best,
# silent = TRUE)
#
# # maxBIC is the maximum BIC over all grouping models fit
# maxBIC <- if (is.null(xBIC$bic)) {
# NA
# } else {
# BIC_computation(
# X_p = NULL,
# X_c = Xtrain[, i],
# cltrain = cltrain,
# fitted_model = xBIC,
# model_type = "GR"
# )
# }
# # Fit and get BIC for a single component no-group normal model
# if (alpha_Xtrain != 0) {
# best_subset <-
# MASS::cov.mcd(x = Xtrain[, i], quantile.used = floor((1 - alpha_Xtrain) * Ntrain))$best
# # I recover the best subset on which the mean and the variance are computed.
# # Afterwards, I perform a robust single component no-grouping normal model using Mclust,
# # this is done because cov.mcd (as well as covMcd in robustbase)
# # use consistency correction that I do not want to include
#
# try(fit_no_grouping <-
# mclust::Mclust(
# Xtrain[best_subset, i],
# G = 1,
# modelNames = emModels1,
# verbose = FALSE
# ),
# silent = TRUE)
# oneBIC <- if (is.null(fit_no_grouping$bic)) {
# NA
# } else {
# 2*sum(
# dnorm(
# x = Xtrain[, i],
# mean = fit_no_grouping$parameters$mean,
# sd = sqrt(fit_no_grouping$parameters$variance$sigmasq),
# log = TRUE
# )
# ) - 2*log(length(Xtrain[, i]))
# }
# } else {
# try(oneBIC <- mclust::Mclust(
# Xtrain[, i],
# G = 1,
# modelNames = emModels1,
# verbose = FALSE
# )$BIC[1],
# silent = TRUE)
# }
# return(list(maxBIC, oneBIC, xBIC$modelName, xBIC$G))
# }
# maxBIC <- sapply(out, "[[", 1)
# oneBIC <- sapply(out, "[[", 2)
# # Difference between maximum BIC for grouping and BIC for no grouping
# maxdiff <- maxBIC - oneBIC
# # Find the single variable with the biggest difference between
# # grouping and no grouping
# m <- max(maxdiff[is.finite(maxdiff)])
# arg <- which(maxdiff==m,arr.ind=TRUE)[1]
# # This is our first selected variable/S is the matrix of currently selected
# # grouping variables
# S <- Xtrain[,arg,drop=FALSE]
# # BICS is the BIC value for the grouping model with the variable(s) in S
# BICS <- maxBIC[arg]
# # NS is the matrix of currently not selected variables
# NS <- Xtrain[,-arg,drop=FALSE]
# # info records the proposed variable, BIC for the S matrix and difference
# # in BIC for grouping versus no grouping on S, whether it was an
# # addition step and if it was accepted
# info <- data.frame(Var = colnames(S),
# BIC = BICS, BICdiff = maxdiff[arg],
# Step = "Add", Decision = "Accepted",
# Model = out[[arg]][[3]],
# G = out[[arg]][[4]],
# stringsAsFactors = FALSE)
#
# if(verbose)
# { print(info[,c(1,3:5),drop=FALSE])
# cat("iter 2\n+ adding step\n") }
#
# # Second Step - selecting second variable
# out <- foreach(i = 1:ncol(NS)) %DO%
# {
# # cindepBIC is the BIC for the grouping model on S and the
# # regression model of the new variable on S
# try(fit_no_grouping <- redda_varsel(
# X_p = NS[,i],
# X_c = S,
# cltrain = cltrain,
# alpha_Xtrain = alpha_Xtrain,
# modelNames = emModels1,
# nsamp = nsamp,
# model = "NG"
# )$Best,
# silent = TRUE)
#
# cindepBIC <- if(is.null(fit_no_grouping$bic)) {NA
# } else {
# BIC_computation(
# X_p = NS[, i],
# X_c = S,
# cltrain = cltrain,
# fitted_model = fit_no_grouping,
# model_type = "NG"
# )}
# # Fit the cluster model on the two variables
# sBIC <- NULL
# try(fit_grouping <- redda_varsel(
# X_p = NS[,i],
# X_c = S,
# cltrain = cltrain,
# alpha_Xtrain = alpha_Xtrain,
# modelNames = emModels2,
# nsamp = nsamp,
# model = "GR"
# )$Best,
# silent = TRUE)
# # depBIC is the BIC for the grouping model with both variables
# depBIC <- if (is.null(fit_grouping$bic)) {
# NA
# } else {
# BIC_computation(
# X_p = NS[, i],
# X_c = S,
# cltrain = cltrain,
# fitted_model = fit_grouping,
# model_type = "GR"
# )
# }
#
# return(list(cindepBIC, depBIC, fit_grouping$modelName, fit_grouping$G))
# }
# cindepBIC <- sapply(out, "[[", 1)
# depBIC <- sapply(out, "[[", 2)
# # cdiff is the difference between BIC for the models with variables' being
# # grouping variables versus them being conditionally independent of
# # the grouping
# cdiff <- depBIC - cindepBIC
# # Choose the variable with the largest difference
# m <- max(cdiff[is.finite(cdiff)])
# arg <- which(cdiff==m,arr.ind=TRUE)[1]
#
# # if forcetwo is true automatically add the best second variable,
# # otherwise only add it if its difference is large than BIC.diff
# if(forcetwo || cdiff[arg] > BIC.diff) {
# k <- c(colnames(S), colnames(NS)[arg])
# nks <- c(colnames(NS)[-arg])
# BICS <- depBIC[arg]
# info <- rbind(info, c(colnames(NS)[arg], BICS, cdiff[arg],
# "Add", "Accepted",
# out[[arg]][3:4]))
#
# S <- cbind(S, NS[, arg])
# NS <- as.matrix(NS[, -arg])
# colnames(S) <- k
# colnames(NS) <- nks
# } else {
# info <- rbind(info, c(colnames(NS)[arg], BICS, cdiff[arg],
# "Add", "Rejected",
# out[[arg]][3:4]))
# }
# info$BIC <- as.numeric(info$BIC)
# info$BICdiff <- as.numeric(info$BICdiff)
#
# if (verbose){
# print(info[2, c(1, 3:5), drop = FALSE])
# }
# criterion <- 1
# iter <- 2
# while((criterion == 1) & (iter < itermax))
# {
# iter <- iter+1
# check1 <- colnames(S)
#
# if(verbose) cat(paste("iter", iter, "\n"))
#
# # Adding step
# if(verbose) cat("+ adding step\n")
# # For the special case where we have removed all the grouping
# # variables/S is empty
# if(ncol(S)==0 || is.null(ncol(S))){
# # We simply choose the same variable as in the first step and check
# # whether the difference between the BIC for grouping versus not
# # grouping is positive or not
# m <- max(maxdiff[is.finite(maxdiff)])
# arg <- which(maxdiff==m,arr.ind=TRUE)[1]
# if(maxdiff[arg] > BIC.diff)
# {
# # if the difference is positive this variable is selected
# # as a grouping variable
# S <- matrix(c(Xtrain[,arg]), Ntrain, 1)
# BICS <- maxBIC[arg]
# colnames(S) <- colnames(Xtrain)[arg]
# NS <- as.matrix(Xtrain[,-arg])
# colnames(NS) <- colnames(Xtrain)[-arg]
# info <- rbind(info, c(colnames(S), BICS, maxdiff[arg],
# "Add","Accepted", NA, NA))
# } else { # if the difference is not > BIC.diff no grouping variables exist
# BICS <- NA
# info <- rbind(info,
# c(colnames(Xtrain)[arg], BICS, maxdiff[arg],
# "Add", "Rejected", NA, NA))
# }
# } else { # Addition Step in general (for all cases except when S is empty)
# if(ncol(NS) != 0 & !is.null(ncol(NS))) {
# out <- foreach(i = 1:ncol(NS)) %DO%
# {
# # cindepBIC is the BIC for the grouping model on S and the
# # regression model of the new variable on S
# try(fit_no_grouping <- redda_varsel(
# X_p = NS[,i],
# X_c = S,
# cltrain = cltrain,
# alpha_Xtrain = alpha_Xtrain,
# modelNames = emModels2,
# nsamp = nsamp,
# model = "NG"
# )$Best,
# silent = TRUE)
#
# cindepBIC <-
# if (is.null(fit_no_grouping$bic)) {
# NA
# } else {
# BIC_computation(
# X_p = NS[, i],
# X_c = S,
# cltrain = cltrain,
# fitted_model = fit_no_grouping,
# model_type = "NG"
# )
# }
# # Fit the cluster model on the two variables
# fit_grouping <- NULL
# try(fit_grouping <- redda_varsel(
# X_p = NS[,i],
# X_c = S,
# cltrain = cltrain,
# alpha_Xtrain = alpha_Xtrain,
# modelNames = emModels2,
# nsamp = nsamp,
# model = "GR"
# )$Best,
# silent = TRUE)
#
# # depBIC is the BIC for the grouping model with both variables
#
# depBIC <- if (is.null(fit_grouping$bic)) {
# NA
# } else{
# BIC_computation(
# X_p = NS[, i],
# X_c = S,
# cltrain = cltrain,
# fitted_model = fit_grouping,
# model_type = "GR"
# )
# }
# return(list(cindepBIC, depBIC, fit_grouping$modelName, fit_grouping$G))
# }
# cindepBIC <- sapply(out, "[[", 1)
# depBIC <- sapply(out, "[[", 2)
# # cdiff is the difference between BIC for the models with
# # variables' being grouping variables versus them being
# # conditionally independent of the grouping
# cdiff <- depBIC - cindepBIC
# # Choose the variable with the largest difference
# m <- max(cdiff[is.finite(cdiff)])
# arg <- which(cdiff==m,arr.ind=TRUE)[1]
# if(cdiff[arg] > BIC.diff)
# { # if this difference is positive add this variable to S
# # and update the grouping model's BICS
# BICS <- depBIC[arg]
# k <- c(colnames(S),colnames(NS)[arg])
# nks <- c(colnames(NS)[-arg])
# info <- rbind(info,
# c(colnames(NS)[arg], BICS, cdiff[arg],
# "Add", "Accepted", out[[arg]][3:4]))
# S <- cbind(S,NS[,arg])
# NS <- as.matrix(NS[,-arg])
# colnames(S) <- k
# colnames(NS) <- nks
# } else {
# info <- rbind(info,
# c(colnames(NS)[arg], depBIC[arg], cdiff[arg],
# "Add", "Rejected", out[[arg]][3:4]))
# }
# }
# }
# if(verbose) cat("- removing step\n")
# # Removal Step for the special case where S contains only a single variable
# if(ncol(S) == 1){
# cdiff <- 0
# oneBIC <- NA
# if (alpha_Xtrain != 0) {
# best_subset <-
# MASS::cov.mcd(x = S, quantile.used = floor((1 - alpha_Xtrain) * Ntrain))$best
# # I recover the best subset on which the mean and the variance are computed.
# # Afterwards, I perform a robust single component no-grouping normal model using Mclust,
# # this is done because cov.mcd (as well as covMcd in robustbase)
# # use consistency correction that I do not want to include
#
# try(fit_no_grouping <-
# Mclust(
# S[best_subset,,drop=F],
# G = 1,
# modelNames = emModels1,
# verbose = FALSE
# ),
# silent = TRUE)
#
# # BIC for the entire set of obs having robustly estimated model parameters
# oneBIC <- 2*sum(
# dnorm(
# x = Xtrain[, i],
# mean = fit_no_grouping$parameters$mean,
# sd = sqrt(fit_no_grouping$parameters$variance$sigmasq),
# log = TRUE
# )
# ) - 2*log(length(Xtrain[, i]))
#
# } else {
# try(oneBIC <- Mclust(
# as.matrix(S),
# G = 1,
# modelNames = emModels1,
# verbose = FALSE
# )$BIC[1],
# silent = TRUE)
# }
# # Difference between maximum BIC for grouping and BIC
# # for no grouping
# cdiff <- c(BICS - oneBIC)
# if(is.na(cdiff)) cdiff <- 0
# # Check if difference is less than BIC.diff
# if(cdiff <= BIC.diff){ # if negative remove the variable from S and set the BIC
# # for the model to NA
# BICS <- NA
# info <- rbind(info, c(colnames(S), BICS, cdiff,
# "Remove", "Accepted", NA, NA))
# k <- c(colnames(NS),colnames(S))
# NS <- cbind(NS,S)
# S <- NULL
# colnames(NS) <- k
# } else { # Otherwise leave S and BICS alone
# info <- rbind(info, c(colnames(S),
# info[nrow(info),2], cdiff,
# "Remove", "Rejected",
# unlist(info[nrow(info),c(6,7)])))
# }
# } else { # Removal step in general (for all cases except when S is a single
# # variable or empty)
# if(ncol(S) >= 2) {
# # Check if the data is at least 3 dimensional
# name <- if(ncol(S) > 2) emModels2 else emModels1
# out <- foreach(i = 1:ncol(S)) %DO%
# {
# try(fit_no_grouping <- redda_varsel(
# X_p = S[,i],
# X_c = S[,-i, drop=FALSE],
# cltrain = cltrain,
# alpha_Xtrain = alpha_Xtrain,
# modelNames = name,
# nsamp = nsamp,
# model = "NG"
# )$Best,
# silent = TRUE)
# # cindepBIC is the BIC for the clustering model on the other
# # variables in S and the regression model of the proposed
# # variable on the other variables in S
# cindepBIC <- if (is.null(fit_no_grouping$bic)) {
# NA
# } else{
# BIC_computation(X_p = S[,i],
# X_c = S[,-i, drop=FALSE],
# cltrain = cltrain, fitted_model = fit_no_grouping, model_type = "NG")
# }
# # rdep is the the BIC for the clustering model on the other
# # variables in S (excluding the proposed variable)
# rdep <- if (is.null(fit_no_grouping$bic_noreg)) {
# NA
# } else{
# BIC_computation(X_p = S[,i],
# X_c = S[,-i, drop=FALSE],
# cltrain = cltrain, fitted_model = fit_no_grouping, model_type = "only_mixture")
# }
# return(list(cindepBIC, rdep, fit_no_grouping$modelName, fit_no_grouping$G))
# }
# cindepBIC <- sapply(out, "[[", 1)
# rdep <- sapply(out, "[[", 2)
# # depBIC is the BIC for the grouping model with all
# # variables in S
# depBIC <- BICS
# # cdiff is the difference between BIC for the models with
# # variables' being grouping variables versus them being
# # conditionally independent of the grouping
# cdiff <- depBIC - cindepBIC
# # Choose the variable with the smallest difference
# m <- min(cdiff[is.finite(cdiff)])
# arg <- which(cdiff==m,arr.ind=TRUE)[1]
# if(cdiff[arg] <= BIC.diff)
# { # if this difference is less than BIC.diff remove this
# # variable from S and update the grouping model's BICS
# BICS <- rdep[arg]
# k <- c(colnames(NS),colnames(S)[arg])
# nks <- c(colnames(S)[-arg])
# info <- rbind(info,
# c(colnames(S)[arg], BICS, cdiff[arg],
# "Remove", "Accepted", out[[arg]][3:4]))
# NS <- cbind(NS,S[,arg])
# S <- as.matrix(S[,-arg])
# colnames(S) <- nks
# colnames(NS) <- k
# } else { info <- rbind(info,
# c(colnames(S)[arg], rdep[arg], cdiff[arg],
# "Remove", "Rejected", out[[arg]][3:4]))
# }
# }
# }
# info$BIC <- as.numeric(info$BIC)
# info$BICdiff <- as.numeric(info$BICdiff)
#
# if(verbose)
# print(info[seq(nrow(info)-1,nrow(info)),c(1,3:5),drop=FALSE])
# # Check if the variables in S have changed or not
# check2 <- colnames(S)
# if(is.null(check2)) # all variables have been removed
# { criterion <- 0 }
# else
# # if they have changed (either added one or removed one or changed one)
# # then continue the algorithm (criterion is 1) otherwise stop
# # (criterion is 0)
# { if(length(check2) != length(check1))
# { criterion <- 1 }
# else
# { criterion <- if(sum(check1==check2) != length(check1)) 1 else 0 }
# }
# }
#
# if(iter >= itermax)
# warning("Algorithm stopped because maximum number of iterations was reached")
#
# # List the selected variables and the matrix of steps' information
# info$BIC <- as.numeric(info$BIC)
# info$BICdiff <- as.numeric(info$BICdiff)
# # reorder steps.info
# info <- info[,c(1,4,2,6,7,3,5),drop=FALSE]
# colnames(info) <- c("Variable proposed", "Type of step",
# "BICclust", "Model", "G", "BICdiff", "Decision")
# varnames <- colnames(Xtrain)
# subset <- if(is.null(S)) NULL
# else sapply(colnames(S), function(x) which(x == varnames))
#
# out <- list(variables = varnames,
# subset = subset,
# steps.info = info,
# search = "greedy",
# direction = "forward")
#
# class(out) <- "robust_varsel"
# return(out)
# }
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