bigSVM: Fit sparse linear SVM with lasso or elasti-net regularization

In YaohuiZeng/bigSVM: Solution Paths of Sparse Support Vector Machine with Lasso or Elastic-Net Regularization For Big Data in R

Description

Fit solution paths for sparse linear SVM regularized by lasso or elastic-net over a grid of values for the regularization parameter lambda.

Usage

bigSVM(X, y, row.idx = 1:nrow(X), alpha = 1, gamma = 0.1, nlambda = 100,
  lambda.min = ifelse(nrow(X) > ncol(X), 0.001, 0.01), lambda,
  preprocess = c("standardize", "rescale", "none"), screen = c("ASR", "SR",
  "none"), max.iter = 1000, eps = 1e-05, dfmax = ncol(X) + 1,
  penalty.factor = rep(1, ncol(X)), message = FALSE)

Arguments

X	Input matrix, without an intercept. It must be a big.matrix object. The function standardizes the data and includes an intercept internally by default during the model fitting.
y	Response vector.
row.idx	The integer vector of row indices of X that used for fitting the model. 1:nrow(X) by default.
alpha	The elastic-net mixing parameter that controls the relative contribution from the lasso and the ridge penalty. It must be a number between 0 and 1. alpha=1 is the lasso penalty and alpha=0 the ridge penalty.
gamma	The tuning parameter for huberization smoothing of hinge loss. Default is 0.01.
nlambda	The number of lambda values. Default is 100.
lambda.min	The smallest value for lambda, as a fraction of lambda.max, the data derived entry value. Default is 0.001 if the number of observations is larger than the number of variables and 0.01 otherwise.
lambda	A user-specified sequence of lambda values. Typical usage is to leave blank and have the program automatically compute a lambda sequence based on nlambda and lambda.min. Specifying lambda overrides this. This argument should be used with care and supplied with a decreasing sequence instead of a single value. To get coefficients for a single lambda, use coef or predict instead after fitting the solution path with sparseSVM. performing k-fold CV with cv.sparseSVM.
preprocess	Preprocessing technique to be applied to the input. Either "standardize" (default), "rescale" or "none" (see Details). The coefficients are always returned on the original scale.
screen	Screening rule to be applied at each lambda that discards variables for speed. Either "ASR" (default), "SR" or "none". "SR" stands for the strong rule, and "ASR" for the adaptive strong rule. Using "ASR" typically requires fewer iterations to converge than "SR", but the computing time are generally close. Note that the option "none" is used mainly for debugging, which may lead to much longer computing time.
max.iter	Maximum number of iterations. Default is 1000.
eps	Convergence threshold. The algorithms continue until the maximum change in the objective after any coefficient update is less than eps times the null deviance. Default is 1E-7.
dfmax	Upper bound for the number of nonzero coefficients. The algorithm exits and returns a partial path if dfmax is reached. Useful for very large dimensions.
penalty.factor	A numeric vector of length equal to the number of variables. Each component multiplies lambda to allow differential penalization. Can be 0 for some variables, in which case the variable is always in the model without penalization. Default is 1 for all variables.
message	If set to TRUE, sparseSVM will inform the user of its progress. This argument is kept for debugging. Default is FALSE.

Details

The sequence of models indexed by the regularization parameter lambda is fitted using a semismooth Newton coordinate descent algorithm. The objective function is defined to be

∑ hingeLoss(y_i x_i^T w) /n + λ*penalty.

where

hingeLoss(t) = max(0, 1-t)

and the intercept is unpenalized.

The program supports different types of preprocessing techniques. They are applied to each column of the input matrix X. Let x be a column of X. For preprocess = "standardize", the formula is

x' = (x-mean(x))/sd(x);

for preprocess = "rescale",

x' = (x-min(x))/(max(x)-min(x)).

The models are fit with preprocessed input, then the coefficients are transformed back to the original scale via some algebra.

Value

The function returns an object of S3 class "bigSVM", which is a list containing:

call	The call that produced this object.
weights	The fitted matrix of coefficients. The number of rows is equal to the number of coefficients, and the number of columns is equal to nlambda. An intercept is included.
iter	A vector of length nlambda containing the number of iterations until convergence at each value of lambda.
saturated	A logical flag for whether the number of nonzero coefficients has reached dfmax.
lambda	The sequence of regularization parameter values in the path.
alpha	Same as above.
gamma	Same as above.
penalty.factor	Same as above.
nv	The variable screening rules are accompanied with checks of optimality conditions. When violations occur, the program adds in violating variables and re-runs the inner loop until convergence. nv is the number of violations.

Author(s)

Yaohui Zeng and Congrui Yi

YaohuiZeng/bigSVM documentation built on May 10, 2019, 12:05 a.m.