clime: solve for the inverse matrix

In qpsy/clime2: Constrained L1-minimization for Inverse (covariance) Matrix Estimation

Description

Solve for a series of the inverse covariance matrix estimates at a grid of values for the constraint lambda.

Usage

clime2(x, lambda=NULL, nlambda=ifelse(is.null(lambda),100,length(lambda)),
      lambda.max=0.8, lambda.min=ifelse(nrow(x)>ncol(x), 1e-4, 1e-2),
      sigma=FALSE, perturb=TRUE, standardize=TRUE, logspaced=TRUE,
      linsolver=c("primaldual", "simplex"), pdtol=1e-3, pdmaxiter=50)

Arguments

x	Input matrix of size n (observations) times p (variables). Each column is a variable of length n. Alternatively, the sample covariance matrix may be set here with the next option sigma set to be TRUE. When the input is the sample covariance matrix, cv.clime can not be used for this object.
lambda	Grid of non-negative values for the constraint parameter lambda. If missing, nlambda values from lambda.min to lambda.max will be generated.
standardize	Whether the variables will be standardized to have mean zero and unit standard deviation. Default TRUE.
nlambda	Number of values for program generated lambda. Default 100.
lambda.max	Maximum value of program generated lambda. Default 0.8.
lambda.min	Minimum value of program generated lambda. Default 1e-4(n > p) or 1e-2(n < p).
sigma	Whether x is the sample covariance matrix. Default FALSE.
perturb	Whether a perturbed Sigma should be used or the positive perturbation added if it is numerical. Default TRUE.
logspaced	Whether program generated lambda should be log-spaced or linear spaced. Default TRUE.
linsolver	Whether primaldual (default) or simplex method should be employed. Rule of thumb: primaldual for large p, simplex for small p.
pdtol	Tolerance for the duality gap, ignored if simplex is employed.
pdmaxiter	Maximum number of iterations for primaldual, ignored if simplex is employed.

Details

A constrained \ell_1 minimization approach for sparse precision matrix estimation (details in references) is implemented here using linear programming (revised simplex or primal-dual interior point method). It solves a sequence of lambda values on the following objective function

\min | Ω |_1 \quad \textrm{subject to: } || Σ_n Ω - I ||_∞ ≤ λ

where Σ_n is the sample covariance matrix and Ω is the inverse we want to estimate.

Value

An object with S3 class "clime". You can also use it as a regular R list with the following fields:

Omega	List of estimated inverse covariance matrix for a grid of values for lambda.
lambda	Actual sequence of lambda used in the program
perturb	Actual perturbation used in the program.
standardize	Whether standardization is applied to the columns of x.
x	Actual x used in the program.
lpfun	Linear programming solver used.

Author(s)

T. Tony Cai, Weidong Liu and Xi (Rossi) Luo
Maintainer: Xi (Rossi) Luo [e-mail]

References

Cai, T.T., Liu, W., and Luo, X. (2011). A constrained \ell_1 minimization approach for sparse precision matrix estimation. Journal of the American Statistical Association 106(494): 594-607.

Examples

## trivial example
n <- 50
p <- 5
X <- matrix(rnorm(n*p), nrow=n)
re.clime <- clime2(X)

## tridiagonal matrix example
bandMat <- function(p, k) {
  cM <- matrix(rep(1:p, each=p), nrow=p, ncol=p)
  return((abs(t(cM)-cM)<=k)*1)
}
## tridiagonal Omega with diagonal 1 and off-diagonal 0.5
Omega <- bandMat(p, 1)*0.5
diag(Omega) <- 1
Sigma <- solve(Omega)
X <- matrix(rnorm(n*p), nrow=n)%*%chol(Sigma)
re.clime <- clime(X, standardize=FALSE, linsolver="simplex")
re.cv <- cv.clime(re.clime)
re.clime.opt <- clime(X, standardize=FALSE, re.cv$lambdaopt)

## Compare Frobenius norm loss
## clime estimator
sqrt( sum( (Omega-re.clime.opt$Omegalist[[1]])^2 ) )
## Not run: 0.3438533
## Sample covariance matrix inversed
sqrt( sum( ( Omega-solve(cov(X)*(1-1/n)) )^2 ) )
## Not run: 0.874041
sqrt( sum( ( Omega-solve(cov(X)) )^2 ) )
## Not run: 0.8224296

qpsy/clime2 documentation built on May 26, 2019, 12:34 p.m.