# R/pathCalc.R In kouroshz/creNet: Fit a GLM with a combination of lasso and overlapping group lasso regularization

#### Documented in pathCalc

```pathCalc <- function(data, index, weights, alpha = 0.95, min.frac = 0.05,
nlam = 100, type = 'logit')
{
X <- data\$x
y <- data\$y
n <- nrow(X)
p <- ncol(X)
ord <- order(index)
index <- index[ord]
X <- X[, ord]
groups <- unique(index)
num.groups <- length(groups)
group.length <- as.vector(table(index))
group.range <- c(0,cumsum(group.length))

if (type == "linear") {
resp <- y
}
if (type == "logit") {
m.y <- mean(y)
resp <- m.y * m.y * (1 - m.y) - (y - m.y)
}

solver <- function(x,alpha,w)
{
if (x[1] == 0 || w == 0) return(0)
p <- length(x) + 1
x[p] <- 0
l <- (1:p) * x^2 - 2 * x * cumsum(x) + cumsum(x^2)
r <- x^2 * ((1-alpha)*w/alpha)^2
if (all(l <= r)) {
return(0) } else i <- which.max(l > r) - 1L
a <- i * alpha^2 - ((1-alpha)*w)^2
if (a == 0) return(x[i]/alpha)
b <- alpha * sum(x[1:i])
c <- sum(x[1:i]^2)

if(abs(b^2 - a * c) <= 1e-14)
return(b/a)

sol <- (b + c(-1,1) * sqrt(b^2 - a * c))/a
valid <- which(alpha * sol <= x[i] & alpha * sol >= x[i+1])
sol <- switch(length(valid)+1L, x[i]/alpha, sol[valid], sol[1])
return(sol)
}

cors <- lapply(1:num.groups,
function(i) abs(crossprod(X[,(group.range[i]+1):group.range[i+1]], resp/n)))

if ((alpha != 0) & (alpha != 1)) {
cors <- lapply(cors, sort, decreasing=TRUE)
lambda.max <- unlist(lapply(cors,'[[',1))/alpha
active <- rep(TRUE,num.groups)
max.lam <- 0
for (i in 1:num.groups) {
if (!active[i]) next
lambda.max[i] <- solver(cors[[i]], alpha, weights[i])
if (lambda.max[i] > max.lam) {
max.lam <- lambda.max[i]
active[lambda.max <= max.lam] <- FALSE
}
}
}

if (alpha == 1) {
max.lam <- max(unlist(cors))
}

if (alpha == 0) {
active <- which(weights > 0)
if (!length(active)) return(rep(0,nlam))
lambda.max <- rep(0,num.groups)
lambda.max[active] <- sqrt(unlist(lapply(cors[active],crossprod))) /
weights[active]
max.lam <- max(lambda.max)
}

min.lam <- min.frac * max.lam
lambdas <- exp(seq(log(max.lam), log(min.lam), len = nlam))
return(lambdas)
}
```
kouroshz/creNet documentation built on Feb. 25, 2018, 12:41 p.m.