R/iCorShrinkData.R

In kkdey/CorShrink: Adaptive Shrinkage of Correlation and Covariance Matrices

#' @title Box-Shrinkage of partial correlations from a data matrix with missing data
#' @description Performs a box shrinkage of partial correlations from a data matrix with missing data
#' using the Fisher Z-score formulation
#'
#' @param data_with_missing The samples by features data matrix. May contain NA values.
#' @param alpha The shrinkage intensity
#' @param lambda The weighting of the constraint in the shrinkage. Default lambda taken to be 1.
#'
#' @examples
#' data("sample_by_feature_data")
#' out = iCorShrinkData(sample_by_feature_data, alpha = 0.1)
#' corrplot::corrplot(as.matrix(out), diag = FALSE,
#'         col = colorRampPalette(c("blue", "white", "red"))(200),
#'         tl.pos = "td", tl.cex = 0.4, tl.col = "black",
#'         rect.col = "white",na.label.col = "white",
#'         method = "color", type = "upper")
#'
#' @keywords box shrinkage, correlation
#' @import CVXR
#' @importFrom corrplot corrplot
#' @importFrom stats cov cor sd cov2cor
#' @export

iCorShrinkData <- function(data_with_missing,
                       alpha,
                       lambda = 1){

  library(CVXR)
  if(missing(alpha)){
    stop("The value of alpha as in shrinkage intensity not provided, please specify alpha")
  }

  ##################  Building matrix of common samples for pairwise comparisons  ####################

  binary_indicator = matrix(1, nrow(data_with_missing), ncol(data_with_missing))
  binary_indicator[is.na(data_with_missing)]= 0
  common_samples = t(binary_indicator)%*%binary_indicator
  diag(common_samples) = 0


  ###############  compute pairwise covariance/correlation matrix   #######################

  pairwise_cov = cov(data_with_missing, use = "pairwise.complete.obs")
  sigma_vals = sqrt(diag(pairwise_cov))
  pairwise_cor = cov2cor(pairwise_cov)
  pairwise_cor[is.na(pairwise_cor)] = 0
  pairwise_cor[pairwise_cor > 0.95] = 0.95
  pairwise_cor[pairwise_cor < -0.95] = -0.95
  diag(pairwise_cor) = 1
  common_samples[common_samples <= 2] = 2
  pairwise_cov = diag(sigma_vals) %*% pairwise_cor %*% diag(sigma_vals)

  ###############  Compute pairwise Fisher Z-scores   ##########################

  pairwise_zscores = apply(pairwise_cor, c(1,2), function(x) return (0.5*log((1+x)/(1-x))))
  diag(pairwise_zscores) = 0

   ################  Bound on the covariances   ##########################

  bound1 = 12*exp(2*pairwise_zscores)/((exp(2*pairwise_zscores) + 1)^2)
  zscores_sd_1 = sqrt(1/(common_samples - 1) + 2/(common_samples - 1)^2)
  overall_bound_1 = bound1*zscores_sd_1 + zscores_sd_1^2*2*sqrt(3)

  common_samples_2 = matrix(dim(data_with_missing)[1], dim(common_samples)[1], dim(common_samples)[2])
  zscores_sd_2 = sqrt(1/(common_samples_2 - 1) + 2/(common_samples_2 - 1)^2)
  overall_bound_2 = bound1*zscores_sd_2 + zscores_sd_2^2*2*sqrt(3)

  delta = apply(abs(overall_bound_1) + abs(overall_bound_2), c(1,2), function(x) return(pmin(2,x)))
  diag(delta) = 0
  delta_cov = diag(sigma_vals) %*% delta %*% diag(sigma_vals)

  Omega <- Semidef(dim(common_samples)[1])
  scale <- abs(alpha) + lambda*delta_cov
  obj = Minimize(-log_det(Omega) + matrix_trace(Omega %*% pairwise_cov) + sum(mul_elemwise(scale, abs(Omega))))
  prob <- Problem(obj)
  result <- solve(prob)
  R_hat <- base::solve(result$getValue(Omega))
  Omega_hat <- result$getValue(Omega)
  Omega_hat[abs(Omega_hat) <= 1e-4] <- 0
  PR_hat = -cov2cor(as.matrix(Omega_hat))
  diag(PR_hat) = 1
  return(PR_hat)
}