grouplasso_linreg_cv_adapt: Choose tuning parameters by crossvalidation for grouplasso...

In gregorkb/semipadd2pop: Combine two data sets to fit semiparametric additive models

Choose tuning parameters by crossvalidation for grouplasso linreg with adaptive weights

Description

Choose tuning parameters by crossvalidation for grouplasso linreg with adaptive weights

Usage

grouplasso_linreg_cv_adapt(
  Y,
  X,
  groups,
  n.lambda,
  lambda.min.ratio,
  lambda.max.ratio = 1,
  n.folds,
  w,
  tol = 0.001,
  maxiter = 500,
  report.prog = TRUE
)

Arguments

Y	the response vector
X	matrix containing the design matrices
groups	a vector indicating to which group each covariate belongs
n.lambda	the number of lambda values desired
lambda.min.ratio	ratio of the smallest lambda value to the smallest value of lambda which admits no variables to the model
lambda.max.ratio	ratio of the largest lambda value to the smallest value of lambda which admits no variables to the model
n.folds	the number of crossvalidation folds
w	group-specific weights for different penalization toward similarity for different groups
tol	a convergence criterion
maxiter	the maximum allowed number of iterations
report.prog	a logical indicating whether the progress of the algorithm should be printed to the console

Value

a list containing the fits over a grid of lambda values as well as the vector of lambda values

Examples

grouplasso_linreg_data <- get_grouplasso_data(n = 400, response = "continuous")

grouplasso_linreg_cv_adapt.out <- grouplasso_linreg_cv_adapt(Y = grouplasso_linreg_data$Y,
                                                             X = grouplasso_linreg_data$X,
                                                             groups = grouplasso_linreg_data$groups,
                                                             n.lambda = 25,
                                                             lambda.min.ratio = 0.001,
                                                             lambda.max.ratio = 0.1,
                                                             n.folds = 5,
                                                             w = grouplasso_linreg_data$w,
                                                             tol = 1e-3,
                                                             maxiter = 500,
                                                             report.prog = FALSE)

gregorkb/semipadd2pop documentation built on Oct. 2, 2022, 1:37 p.m.