fit: Fit a multinomial sparse group lasso regularization path.

In nielsrhansen/msgl: Multinomial Sparse Group Lasso

Fit a multinomial sparse group lasso regularization path.

Description

Fit a sequence of multinomial logistic regression models using sparse group lasso, group lasso or lasso. In addition to the standard parameter grouping the algorithm supports further grouping of the features.

Usage

fit(x, classes, sampleWeights = NULL, grouping = NULL,
  groupWeights = NULL, parameterWeights = NULL, alpha = 0.5,
  standardize = TRUE, lambda, d = 100, return_indices = NULL,
  intercept = TRUE, sparse.data = is(x, "sparseMatrix"),
  algorithm.config = msgl.standard.config)

Arguments

x	design matrix, matrix of size N \times p.
classes	classes, factor of length N.
sampleWeights	sample weights, a vector of length N.
grouping	grouping of features, a vector of length p. Each element of the vector specifying the group of the feature.
groupWeights	the group weights, a vector of length m (the number of groups). If groupWeights = NULL default weights will be used. Default weights are 0 for the intercept and \sqrt{K\cdot\textrm{number of features in the group}} for all other weights.
parameterWeights	a matrix of size K \times p. If parameterWeights = NULL default weights will be used. Default weights are is 0 for the intercept weights and 1 for all other weights.
alpha	the \alpha value 0 for group lasso, 1 for lasso, between 0 and 1 gives a sparse group lasso penalty.
standardize	if TRUE the features are standardize before fitting the model. The model parameters are returned in the original scale.
lambda	lambda.min relative to lambda.max or the lambda sequence for the regularization path.
d	length of lambda sequence (ignored if length(lambda) > 1)
return_indices	the indices of lambda values for which to return a the fitted parameters.
intercept	should the model fit include intercept parameters (note that due to standardization the returned beta matrix will always have an intercept column)
sparse.data	if TRUE x will be treated as sparse, if x is a sparse matrix it will be treated as sparse by default.
algorithm.config	the algorithm configuration to be used.

Details

For a classification problem with K classes and p features (covariates) dived into m groups. This function computes a sequence of minimizers (one for each lambda given in the lambda argument) of

\hat R(\beta) + \lambda \left( (1-\alpha) \sum_{J=1}^m \gamma_J \|\beta^{(J)}\|_2 + \alpha \sum_{i=1}^{n} \xi_i |\beta_i| \right)

where \hat R is the weighted empirical log-likelihood risk of the multinomial regression model. The vector \beta^{(J)} denotes the parameters associated with the J'th group of features (default is one covariate per group, hence the default dimension of \beta^{(J)} is K). The group weights \gamma \in [0,\infty)^m and parameter weights \xi \in [0,\infty)^n may be explicitly specified.

Value

beta	the fitted parameters – a list of length length(lambda) with each entry a matrix of size K\times (p+1) holding the fitted parameters
loss	the values of the loss function
objective	the values of the objective function (i.e. loss + penalty)
lambda	the lambda values used
classes.true	the true classes used for estimation, this is equal to the classes argument

Author(s)

Martin Vincent

Examples

data(SimData)

# A quick look at the data
dim(x)
table(classes)
# Fit multinomial sparse group lasso regularization path
# using a lambda sequence ranging from the maximal lambda to 0.5 * maximal lambda

fit <- msgl::fit(x, classes, alpha = 0.5, lambda = 0.5)

# Print some information about the fit
fit

# Model 10, i.e. the model corresponding to lambda[10]
models(fit)[[10]]

# The nonzero features of model 10
features(fit)[[10]]

# The nonzero parameters of model 10
parameters(fit)[[10]]

# The training errors of the models.
Err(fit, x)
# Note: For high dimensional models the training errors are almost always over optimistic,
# instead use msgl::cv to estimate the expected errors by cross validation

nielsrhansen/msgl documentation built on Feb. 6, 2024, 1:25 a.m.