linCrossVal<-
function(data, index, nfold = 10, nlam = 20, min.frac = 0.05, alpha = 0.95,lambdas = NULL, thresh = 0.0001, maxit = 10000, gamma = 0.8, verbose = TRUE, step = 1, reset = 10){
X <- data$x
y <- data$y
n <- nrow(X)
p <- ncol(X)
## Setting up group lasso stuff ##
ord <- order(index)
index <- index[ord]
X <- X[,ord]
unOrd <- match(1:length(ord),ord)
## Coming up with other C++ info ##
groups <- unique(index)
num.groups <- length(groups)
range.group.ind <- rep(0,(num.groups+1))
for(i in 1:num.groups){
range.group.ind[i] <- min(which(index == groups[i])) - 1
}
range.group.ind[num.groups+1] <- ncol(X)
group.length <- diff(range.group.ind)
beta.naught <- rep(0,ncol(X))
beta <- beta.naught
## Done with group stuff ##
## finding the path
MainSol <- oneDim(data, index, thresh = thresh, inner.iter = maxit, outer.iter = maxit, outer.thresh = thresh, min.frac = min.frac, nlam = nlam, lambdas = lambdas, gamma = gamma, step = step, reset = reset, alpha = alpha)
lambdas <- MainSol$lambdas
lldiff <- rep(0, nlam)
lldiffFold <- matrix(0, nrow = nlam, ncol = nfold)
size <- floor(nrow(X)/nfold)
o_flow <- c(rep(1,nrow(X) - size * nfold), rep(0, nfold - (nrow(X) - size * nfold)))
sizes <- size + o_flow
ind.split <- c(1,cumsum(sizes))
ind <- sample(1:nrow(data$x), replace = FALSE)
for(i in 1:nfold){
ind.out <- ind[ind.split[i]:ind.split[i+1]]
ind.in <- ind[-(ind.split[i]:ind.split[i+1])]
new.data <- list(x = data$x[ind.in,], y = data$y[ind.in])
new.sol <- oneDim(new.data, index, thresh = thresh, inner.iter = maxit, lambdas = lambdas, outer.iter = maxit, outer.thresh = thresh, min.frac = min.frac, nlam = nlam, gamma = gamma, step = step, reset = reset, alpha = alpha)
for(k in 1:nlam){
lldiffFold[k,i] <- sum((y[ind.out] - X[ind.out,] %*% new.sol$beta[ ,k])^2) / 2
lldiff[k] <- lldiff[k] + sum((y[ind.out] - X[ind.out,] %*% new.sol$beta[ ,k])^2) / 2
}
if(verbose == TRUE){
write(paste("*** NFOLD ", i, "***"),"")
}
}
lldiffSD <- apply(lldiffFold,1,sd)*sqrt(nfold)
obj <- list(lambdas = lambdas, lldiff = lldiff,llSD = lldiffSD, fit = MainSol)
class(obj)="cv.SGL"
return(obj)
}
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