R/set_parameters.R

In spcorum/tsmvr: Truly Sparse Multivariate Regression

#' Set parameters for tsmvr_solve
#'
#' Sets paramters for tsmvr_solve and functions that call tsmvr_solve
#' (tsmvr_cv, tsmvr_replicate, and tsmvr_gridsearch).
#'
#' @param B_type type of descent for regression steps (string: 'gd' or 'ls')
#' @param Omega_type (string: 'gd', 'ls' or 'min')
#' @param eta1 B-step learning rate (positive numeric)
#' @param eta2 Omega-step learning rate (positive numeric)
#' @param lam1 B-step learning rate (non-negative numeric)
#' @param lam2 Omega-step learning rate (non-negative numeric)
#' @param del1 B initialization matrix inversion fudge factor (non-negative numeric)
#' @param del2 Omega initialization matrix inversion fudge factor (non-negative numeric)
#' @param del3 Omega step matrix inversion fudge factor (non-negative)
#' @param rho1 B-step linesearch convergence parameter (positive numeric)
#' @param rho2 Omega-step linesearch convergence parameter (positive numeric)
#' @param beta1 B-step linesearch stepsize shrinking paramter (positive numeric)
#' @param beta2 Omega-step linesearch stepsize shrinking paramter (positive numeric)
#' @param qmax1 B-step linesearch maximum number of iterations (positive integer valued numeric)
#' @param qmax2 Omega-step linesearch maximum number of iterations (positive integer valued numeric)
#' @param eps1 B-step convergence parameter (positive numeric or infinity)
#' @param eps2 Omega-step convergence parameter (positive numeric or infinity)
#' @param k number of cross-validation folds (positive integer valued numeric greater than 1)
#' @param reps number of k-fold cross-validation replicates (positive integer valued numeric)
#' @param max_iter maximum number of iterations (positive integer)
#' @param skip iteration skip frequency for output to screen (positive integer)
#' @param quiet whether or not to operate   (bool)
#' @param suppress whether or not to suppress warnings (bool)
#' @param disp_min_ev display the minimum value of the Omega iterate for each iteration (bool)
#' @param save_history whethor or not to save and return the histories of the B and Omega iterates (bool)
#'
#' @return Returns a named list of input parameters.
#'
#' See also \code{\link{tsmvr}}
#'
#' @references
#' \insertRef{chen2016high}{tsmvr}
#' \insertRef{chen2018covariate}{tsmvr}
#'
#' @export
set_parameters <- function(B_type = c("gd", "ls"),
                           Omega_type = c("gd", "ls", "min"),
                           eta1 = 0.1, eta2 = 0.2,
                           lam1 = 0.1, lam2 = 0.1,
                           del1 = 1e-6, del2 = 1e-6, del3 = 1e-6,
                           rho1 = 1e-6, rho2 = 1e-6,
                           beta1 = 0.5, beta2 = 0.5,
                           qmax1 = 128, qmax2 = 128,
                           eps1 = 1e-4, eps2 = Inf,
                           k = 5, reps = 10,
                           max_iter = 2000, skip = 10,
                           quiet = FALSE, suppress = FALSE,
                           disp_min_ev = FALSE, save_history = FALSE) {
  stopifnot(
    is.character(B_type),
    is.character(Omega_type),
    is.numeric(eta1), eta1 > 0,
    is.numeric(eta2), eta2 > 0,
    is.numeric(lam1), lam1 >= 0,
    is.numeric(lam2), lam2 >= 0,
    is.numeric(del1), del1 >= 0,
    is.numeric(del2), del2 >= 0,
    is.numeric(del3), del3 >= 0,
    is.numeric(rho1), rho1 > 0,
    is.numeric(rho2), rho2 > 0,
    is.numeric(beta1), beta1 > 0,
    is.numeric(beta2), beta2 > 0,
    is.numeric(qmax1), qmax1 %% 1 == 0, qmax1 > 0,
    is.numeric(qmax1), qmax2 %% 1 == 0, qmax2 > 0,
    is.numeric(eps1), eps1 > 0,
    is.numeric(eps2), eps2 > 0,
    is.numeric(max_iter), max_iter > 0, max_iter %% 1 == 0,
    is.numeric(skip), skip > 0, skip %% 1 == 0,
    is.logical(quiet),
    is.logical(suppress),
    is.logical(disp_min_ev),
    is.logical(save_history)
  )

  return(
    list(
      B_type = B_type, Omega_type = Omega_type, eta1 = eta1, eta2 = eta2,
      lam1 = lam1, lam2 = lam2, del1 = del1, del2 = del2, del3 = del3,
      rho1 = rho1, rho2 = rho2, beta1 = beta1, beta2 = beta2,
      qmax1 = qmax1, qmax2 = qmax2, eps1 = eps1, eps2 = eps2,
      k = k, reps = reps, max_iter = max_iter, skip = skip, quiet = quiet,
      suppress = suppress, disp_min_ev = disp_min_ev,
      save_history = save_history
    )
  )
}