R/examples/example-cv-grpsel.R

In ryan-thompson/grpsel: Group Subset Selection

# Grouped data
set.seed(123)
n <- 100
p <- 10
g <- 5
group <- rep(1:g, each = p / g)
beta <- numeric(p)
beta[which(group %in% 1:2)] <- 1
x <- matrix(rnorm(n * p), n, p)
y <- rnorm(n, x %*% beta)
newx <- matrix(rnorm(p), ncol = p)

# Group subset selection
fit <- cv.grpsel(x, y, group)
plot(fit)
coef(fit)
predict(fit, newx)

# Parallel cross-validation
cl <- parallel::makeCluster(2)
fit <- cv.grpsel(x, y, group, cluster = cl)
parallel::stopCluster(cl)