R/examples/example-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 <- grpsel(x, y, group)
plot(fit)
coef(fit, lambda = 0.05)
predict(fit, newx, lambda = 0.05)

# Group subset selection with group lasso shrinkage
fit <- grpsel(x, y, group, penalty = 'grSubset+grLasso')
plot(fit, gamma = 0.05)
coef(fit, lambda = 0.05, gamma = 0.1)
predict(fit, newx, lambda = 0.05, gamma = 0.1)

# Group subset selection with ridge shrinkage
fit <- grpsel(x, y, group, penalty = 'grSubset+Ridge')
plot(fit, gamma = 0.05)
coef(fit, lambda = 0.05, gamma = 0.1)
predict(fit, newx, lambda = 0.05, gamma = 0.1)