Simulation/testRidge.R

In r08in/RobustCD: Penalized Adaptive Weighted Least Squares Regression

#----------------------------low dimension-----------------------------------#
# RRMM
L = 100
n = 50
p = 8
# beta=rep(1,p)
beta = c(3, 2, 1, 1, 1, 1, 0.1, 0.1)
# beta=rep(0,p)

matLabDir = "D:\\matlab\\RRMM"
matlab = PrepareMatlab(matLabDir)

# RRMM50
rA_RRMM50 = simulate2(L, n, beta, "RA", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017)
rB_RRMM50 = simulate2(L, n, beta, "RB", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017)
rC_RRMM50 = simulate2(L, n, beta, "RC", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017)
rD_RRMM50 = simulate2(L, n, beta, "RD", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017)

# RRMM50.3
rA_RRMM50.3 = simulate2(L, n, beta, "RA", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017, pro = 0.3)
rB_RRMM50.3_test = simulate2(L, n, beta, "RB", method = "RRMM", matlab = matlab, useDataFile = FALSE, 
    type = "Ridge", seed = 2017, pro = 0.3)
rC_RRMM50.3 = simulate2(L, n, beta, "RC", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017, pro = 0.3)
rD_RRMM50.3 = simulate2(L, n, beta, "RD", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017, pro = 0.3)

# RRMM1000
rA_RRMM1000 = simulate2(L, n, beta, "RA", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017)
rB_RRMM1000 = simulate2(L, n, beta, "RB", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017)
rC_RRMM1000 = simulate2(L, n, beta, "RC", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017)
rD_RRMM1000 = simulate2(L, n, beta, "RD", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017)


# RRMM1000.3
rA_RRMM1000.3 = simulate2(L, n, beta, "RA", method = "RRMM", matlab = matlab, useDataFile = FALSE, 
    type = "Ridge", seed = 2017, pro = 0.3)
rB_RRMM1000.3 = simulate2(L, n, beta, "RB", method = "RRMM", matlab = matlab, useDataFile = FALSE, 
    type = "Ridge", seed = 2017, pro = 0.3)
rC_RRMM1000.3 = simulate2(L, n, beta, "RC", method = "RRMM", matlab = matlab, useDataFile = FALSE, 
    type = "Ridge", seed = 2017, pro = 0.3)
rD_RRMM1000.3 = simulate2(L, n, beta, "RD", method = "RRMM", matlab = matlab, useDataFile = FALSE, 
    type = "Ridge", seed = 2017, pro = 0.3)

# RRREG50
outrA_50 = simulate2(L, n, beta, "RA", initial = "RRMM", method = "RRREG", matlab = matlab, type = "Ridge", 
    seed = 2017)
outrB_50 = simulate2(L, n, beta, "RB", initial = "RRMM", method = "RRREG", matlab = matlab, type = "Ridge", 
    seed = 2017)
outrc_502 = simulate2(L, n, beta, "RC", initial = "RRMM", method = "RRREG", matlab = matlab, type = "Ridge", 
    seed = 2017)
outrD_50 = simulate2(L, n, beta, "RD", initial = "RRMM", method = "RRREG", matlab = matlab, type = "Ridge", 
    seed = 2017)

# RRREG50(S initial)
outrA_50s = simulate2(L, n, beta, "RA", initial = "S", method = "RRREG", matlab = matlab, type = "Ridge", 
    seed = 2017)
outrB_50s = simulate2(L, n, beta, "RB", initial = "S", method = "RRREG", matlab = matlab, type = "Ridge", 
    seed = 2017)
outrc_50s2 = simulate2(L, n, beta, "RC", initial = "S", method = "RRREG", matlab = matlab, type = "Ridge", 
    seed = 2017)
outrD_50s = simulate2(L, n, beta, "RD", initial = "S", method = "RRREG", matlab = matlab, type = "Ridge", 
    seed = 2017)

# RRREG remove


# RRREG0.3
outrA_50.3 = simulate2(L, n, beta, "RA", initial = "RRMM", method = "RRREG", matlab = matlab, type = "Ridge", 
    seed = 2017, pro = 0.3)
outrB_50.3 = simulate2(L, n, beta, "RB", initial = "RRMM", method = "RRREG", matlab = matlab, type = "Ridge", 
    seed = 2017, pro = 0.3)
outrc_50.3 = simulate2(L, n, beta, "RC", initial = "RRMM", method = "RRREG", matlab = matlab, type = "Ridge", 
    seed = 2017, pro = 0.3)
outrD_50.3 = simulate2(L, n, beta, "RD", initial = "RRMM", method = "RRREG", matlab = matlab, type = "Ridge", 
    seed = 2017, pro = 0.3)

matLabDir = "D:\\matlab\\RRMM"
matlab = PrepareMatlab(matLabDir)
#------------------------------p=100-------------------------------------#
set.seed(2016)
p = 100
pNum = 30
p1 = 20
p2 = 10
n = 50
L = 50
u1 = runif(pNum, 0, 1)
u2 = runif(pNum, 0, 1)
sign = ifelse(u2 > 0.5, 1, -1)
beta = c(sign[1:p1] * (2.5 + u1[1:p1]), sign[(p1 + 1):pNum] * u1[(p1 + 1):pNum], rep(0, p - pNum))


# RRREG_H50
outrA_H50s = simulate2(L, n, beta, "RA", initial = "S", method = "RRREG", matlab = matlab, type = "Ridge", 
    standardize = TRUE, seed = 2017)
outrB_H50s = simulate2(L, n, beta, "RB", initial = "S", method = "RRREG", matlab = matlab, type = "Ridge", 
    standardize = TRUE, seed = 2017)
outrc_H50s = simulate2(L, n, beta, "RC", initial = "S", method = "RRREG", matlab = matlab, type = "Ridge", 
    standardize = TRUE, seed = 2017)
outrD_H50s = simulate2(L, n, beta, "RD", initial = "S", method = "RRREG", matlab = matlab, type = "Ridge", 
    standardize = TRUE, seed = 2017)

# RRREG_H50
outrA_H50s2 = simulate2(L, n, beta, "RA", initial = "S", method = "RRREG", matlab = matlab, type = "Ridge", 
    standardize = TRUE, seed = 2017)
outrB_H50s2 = simulate2(L, n, beta, "RB", initial = "S", method = "RRREG", matlab = matlab, type = "Ridge", 
    standardize = TRUE, seed = 2017)
outrc_H50s2 = simulate2(L, n, beta, "RC", initial = "S", method = "RRREG", matlab = matlab, type = "Ridge", 
    standardize = TRUE, seed = 2017)
outrD_H50s2 = simulate2(L, n, beta, "RD", initial = "S", method = "RRREG", matlab = matlab, type = "Ridge", 
    standardize = TRUE, seed = 2017)
# RRMM_H50
rA_RRMM_H50 = simulate2(L, n, beta, "RA", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017)
rB_RRMM_H50 = simulate2(L, n, beta, "RB", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017)
rC_RRMM_H50 = simulate2(L, n, beta, "RC", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017)
rD_RRMM_H50 = simulate2(L, n, beta, "RD", method = "RRMM", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2017)
# test
tA_50 = simulate2(L, n, beta, "RA", method = "RRREG", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    seed = 2016, lambda1 = seq(from = 0.2, to = 2, length.out = 50), lambda2 = seq(from = 0, to = 0, 
        length.out = 2))
tB_50 = simulate2(L, n, beta, "RB", method = "RRREG", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    , seed = 2016, lambda1 = seq(from = 0.11, to = 5, length.out = 100), lambda2 = seq(from = 0, to = 0, 
        length.out = 2))
tc_50 = simulate2(L, n, beta, "RC", method = "RRREG", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    , seed = 2016, lambda1 = seq(from = 0.1, to = 1, length.out = 100), lambda2 = seq(from = 0, to = 0, 
        length.out = 2))
tD_50 = simulate2(L, n, beta, "RD", method = "RRREG", matlab = matlab, useDataFile = FALSE, type = "Ridge", 
    , seed = 2016, lambda1 = seq(from = 0.001, to = 1, length.out = 50), lambda2 = seq(from = 0, to = 0, 
        length.out = 2))
set.seed(2016)
out = GenerateDataByModel(n, beta = beta, model = "RC", dataType = "Ridge")
res = rrreg(x = out$x, y = out$y, initial = "RRMM", lambda1 = seq(from = 1e-04, to = 0.001, length.out = 30), 
    lambda2 = seq(from = 0.01, to = 2, length.out = 30), intercept = TRUE)
GetRobustPe(AddIntercept(out$x), y = out$y, betaHat = res$beta)
res = rrreg(x = out$x, y = out$y, lambda1 = seq(from = 10, to = 20, length.out = 100), lambda2 = seq(from = 1e-04, 
    to = 1, length.out = 100), intercept = "false")

outC = GenerateDataByModel(n, beta = beta, model = "A", r = 0, dataType = "Ridge")

res = rrreg(x = outC$x, y = outC$y, lambda1 = 1, lambda2 = 0, intercept = "false")

GetRidgeLambda(out$x, out$y, matlab = matlab)