R/LearnerRegrCVGlmnet.R

In mlr-org/mlr3learners: Recommended Learners for 'mlr3'

#' @title GLM with Elastic Net Regularization Regression Learner
#'
#' @name mlr_learners_regr.cv_glmnet
#'
#' @description
#' Generalized linear models with elastic net regularization.
#' Calls [glmnet::cv.glmnet()] from package \CRANpkg{glmnet}.
#'
#' The default for hyperparameter `family` is set to `"gaussian"`.
#'
#' @templateVar id regr.cv_glmnet
#' @template learner
#'
#' @references
#' `r format_bib("friedman_2010")`
#'
#' @export
#' @template seealso_learner
#' @template example
LearnerRegrCVGlmnet = R6Class("LearnerRegrCVGlmnet",
  inherit = LearnerRegr,

  public = list(

    #' @description
    #' Creates a new instance of this [R6][R6::R6Class] class.
    initialize = function() {
      ps = ps(
        alignment            = p_fct(c("lambda", "fraction"), default = "lambda", tags = "train"),
        alpha                = p_dbl(0, 1, default = 1, tags = "train"),
        big                  = p_dbl(default = 9.9e35, tags = "train"),
        devmax               = p_dbl(0, 1, default = 0.999, tags = "train"),
        dfmax                = p_int(0L, tags = "train"),
        eps                  = p_dbl(0, 1, default = 1.0e-6, tags = "train"),
        epsnr                = p_dbl(0, 1, default = 1.0e-8, tags = "train"),
        exclude              = p_int(1L, tags = "train"),
        exmx                 = p_dbl(default = 250.0, tags = "train"),
        family               = p_fct(c("gaussian", "poisson"), default = "gaussian", tags = "train"),
        fdev                 = p_dbl(0, 1, default = 1.0e-5, tags = "train"),
        foldid               = p_uty(default = NULL, tags = "train"),
        gamma                = p_uty(tags = "train", depends = quote(relax == TRUE)),
        grouped              = p_lgl(default = TRUE, tags = "train"),
        intercept            = p_lgl(default = TRUE, tags = "train"),
        keep                 = p_lgl(default = FALSE, tags = "train"),
        lambda               = p_uty(tags = "train"),
        lambda.min.ratio     = p_dbl(0, 1, tags = "train"),
        lower.limits         = p_uty(tags = "train"),
        maxit                = p_int(1L, default = 100000L, tags = "train"),
        mnlam                = p_int(1L, default = 5L, tags = "train"),
        mxit                 = p_int(1L, default = 100L, tags = "train"),
        mxitnr               = p_int(1L, default = 25L, tags = "train"),
        nfolds               = p_int(3L, default = 10L, tags = "train"),
        nlambda              = p_int(1L, default = 100L, tags = "train"),
        offset               = p_uty(default = NULL, tags = "train"),
        parallel             = p_lgl(default = FALSE, tags = "train"),
        penalty.factor       = p_uty(tags = "train"),
        pmax                 = p_int(0L, tags = "train"),
        pmin                 = p_dbl(0, 1, default = 1.0e-9, tags = "train"),
        prec                 = p_dbl(default = 1e-10, tags = "train"),
        predict.gamma        = p_dbl(default = "gamma.1se", special_vals = list("gamma.1se", "gamma.min"), tags = "predict"),
        relax                = p_lgl(default = FALSE, tags = "train"),
        s                    = p_dbl(0, special_vals = list("lambda.1se", "lambda.min"), default = "lambda.1se", tags = "predict"),
        standardize          = p_lgl(default = TRUE, tags = "train"),
        standardize.response = p_lgl(default = FALSE, tags = "train"),
        thresh               = p_dbl(0, default = 1e-07, tags = "train"),
        trace.it             = p_int(0, 1, default = 0, tags = "train"),
        type.gaussian        = p_fct(c("covariance", "naive"), tags = "train", depends = quote(family == "gaussian")),
        type.logistic        = p_fct(c("Newton", "modified.Newton"), tags = "train"),
        type.measure         = p_fct(c("deviance", "class", "auc", "mse", "mae"), default = "deviance", tags = "train"),
        type.multinomial     = p_fct(c("ungrouped", "grouped"), tags = "train"),
        upper.limits         = p_uty(tags = "train")
      )

      ps$set_values(family = "gaussian")

      super$initialize(
        id = "regr.cv_glmnet",
        param_set = ps,
        feature_types = c("logical", "integer", "numeric"),
        properties = c("weights", "selected_features"),
        packages = c("mlr3learners", "glmnet"),
        label = "GLM with Elastic Net Regularization",
        man = "mlr3learners::mlr_learners_regr.cv_glmnet"
      )
    },

    #' @description
    #' Returns the set of selected features as reported by [glmnet::predict.glmnet()]
    #' with `type` set to `"nonzero"`.
    #'
    #' @param lambda (`numeric(1)`)\cr
    #' Custom `lambda`, defaults to the active lambda depending on parameter set.
    #'
    #' @return (`character()`) of feature names.
    selected_features = function(lambda = NULL) {
      glmnet_selected_features(self, lambda)
    }
  ),

  private = list(
    .train = function(task) {
      data = as_numeric_matrix(task$data(cols = task$feature_names))
      target = as_numeric_matrix(task$data(cols = task$target_names))
      pv = self$param_set$get_values(tags = "train")
      if ("weights" %in% task$properties) {
        pv$weights = task$weights$weight
      }

      glmnet_invoke(data, target, pv, cv = TRUE)
    },

    .predict = function(task) {
      newdata = as_numeric_matrix(ordered_features(task, self))
      pv = self$param_set$get_values(tags = "predict")
      pv = rename(pv, "predict.gamma", "gamma")

      response = invoke(predict, self$model, newx = newdata,
        type = "response", .args = pv)
      list(response = drop(response))
    }
  )
)

#' @include aaa.R
learners[["regr.cv_glmnet"]] = LearnerRegrCVGlmnet