SGL: main function of SGL

In boris109able/ChangePointCalc: Estimate change-points via Sparse Group Lasso and Dynamic Programming.

Description

main function of SGL

Usage

SGL(data, index, type = "linear", maxit = 1000, thresh = 0.001, min.frac = 0.1, nlam = 20, gamma = 0.8, standardize = TRUE, verbose = FALSE, step = 1, reset = 10, alpha = 0.95, lambdas = NULL)

Arguments

data	input data, x and y
index	index
maxit	maxit
thresh	threshold
min.frac	minfrac
nlam	number of lambdas
gamma	gamma
standardize	flag of standardization
verbose	verbose
step	step
reset	reset
alpha	alpha
lambdas	sequence of lambdas

Value

result of SGL

Author(s)

Noah Simon, Jerome Friedman, Trevor Hastie, and Rob Tibshirani

References

Simon, N., Friedman, J., Hastie T., and Tibshirani, R. (2011) A Sparse-Group Lasso, http://www-stat.stanford.edu/~nsimon/SGL.pdf

Examples

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function (data, index, maxit = 1000, thresh = 0.001, min.frac = 0.1, 
    nlam = 20, gamma = 0.8, standardize = TRUE, verbose = FALSE, 
    step = 1, reset = 10, alpha = 0.95, lambdas = NULL) 
{
    X.transform <- NULL
    if (standardize == TRUE) {
        X <- data$x
        means <- apply(X, 2, mean)
        X <- t(t(X) - means)
        var <- apply(X, 2, function(x) (sqrt(sum(x^2))))
        X <- t(t(X)/var)
        data$x <- X
        X.transform <- list(X.scale = var, X.means = means)
    }
    if (standardize == TRUE) {
        intercept <- mean(data$y)
        data$y <- data$y - intercept
    }
    Sol <- oneDim(data, index, thresh, inner.iter = maxit, outer.iter = maxit, 
        outer.thresh = thresh, min.frac = min.frac, nlam = nlam, 
        lambdas = lambdas, gamma = gamma, verbose = verbose, 
        step = step, reset = reset, alpha = alpha)
    if (standardize == TRUE) {
        Sol <- list(beta = Sol$beta, lambdas = Sol$lambdas, type = type, 
            intercept = intercept, X.transform = X.transform)
    }
    if (standardize == FALSE) {
        Sol <- list(beta = Sol$beta, lambdas = Sol$lambdas, type = type, 
            X.transform = X.transform)
    }
    class(Sol) = "SGL"
    return(Sol)
  }

boris109able/ChangePointCalc documentation built on May 13, 2019, 12:34 a.m.