SynthesizeData: Generate synthesized data used by SGL approach

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

Description

Generate synthesized data used by SGL approach

Usage

SynthesizeData(ChangePoints, sigma1, sigma2, n = 1000, p = 20, s = 4, coefficients = NULL)

Arguments

ChangePoints	list of change-points set by user
sigma1	variance of signal
sigma2	variance of noise
n	total number of data generated
p	dimension of data generated
s	sparsity level of coefficients
coefficients	matrix of coefficients of each interval set by user

Author(s)

Bingwen Zhang

References

Bingwen Zhang, Jun Geng and Lifeng Lai, Detecting changes in regression models via sparse group lasso, http://users.wpi.edu/~bzhang/icassp_v1.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 (ChangePoints, sigma1, sigma2, n = 1000, p = 20, s = 4, coefficients = NULL) 
{
    np <- n * p
    KReal <- length(ChangePoints)
    TmpPoints <- c(1, ChangePoints, n + 1)
    x <- matrix(rnorm(n * p) * sigma1, ncol = p, nrow = n)
    XTilde <- matrix(NA, n, np)
    for (i in 1:n) {
        for (j in 1:i) {
            XTilde[i, ((j - 1) * p + 1):(j * p)] <- x[i, ]
        }
    }
    if (is.null(coefficients)) {
        coefficients <- matrix(0, KReal + 1, p)
        for (i in 1:(KReal + 1)) {
            if (i%%2 == 1) {
                coefficients[i, 1:s] <- 2 * rep.int(1, s)
            }
            else {
                coefficients[i, 1:s] <- -2 * rep.int(1, s)
            }
        }
    }
    beta <- matrix(NA, n, p)
    for (i in 1:(KReal + 1)) {
        beta[TmpPoints[i]:(TmpPoints[i + 1] - 1), ] <- t(matrix(rep(coefficients[i, 
            ], TmpPoints[i + 1] - TmpPoints[i]), p, TmpPoints[i + 
            1] - TmpPoints[i]))
    }
    y <- matrix(NA, n, 1)
    for (i in 1:n) {
        y[i] <- (x[i, ] %*% beta[i, ])[1] + matrix(rnorm(1) * 
            sigma2, ncol = 1, nrow = 1)
    }
    data <- list(x = XTilde, y = y, coefficients = coefficients, 
        beta = beta)
    return(data)
  }

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