R/convexMin.R

In zhuwang46/mpath: Regularized Linear Models

convexMin <- function(beta,X,penalty,gamma,l2,family, theta)
{
  n <- nrow(X)
  p <- ncol(X)
  l <- ncol(beta)
  
  if (penalty=="mnet") k <- 1/gamma
  else if (penalty=="snet") k <- 1/(gamma-1)
  else if (penalty=="enet") return(NULL)
  
  val <- NULL
  for (i in 1:l) {
    if (i==1) A1 <- rep(1,p)
    else A1 <- beta[-1,i]==0
    if (i==l) {
      L2 <- l2[i]
      U <- A1
    } else {
      if (is.na(beta[1,i+1])) break
      A2 <- beta[-1,i+1]==0
      U <- A1&A2
      L2 <- l2[i+1]
    }
    if (sum(!U)==0) next
    Xu <- X[,!U]
    if (family=="gaussian") {
      if (any(A1!=A2)) {
        cmin <- min(eigen(crossprod(Xu)/n)$values)
      }
      eigen.min <- cmin - k + L2
    }
    if (family=="binomial") {
      if (i==l) eta <- beta[1,i] + X%*%beta[-1,i]
      else eta <- beta[1,i+1] + X%*%beta[-1,i+1]
      pi. <- exp(eta)/(1+exp(eta))
      w <- as.numeric(pi.*(1-pi.))
      w[eta > log(.9999/.0001)] <- .0001
      w[eta < log(.0001/.9999)] <- .0001
      Xu <- sqrt(w) * cbind(1,Xu)
      xwxn <- crossprod(Xu)/n
      eigen.min <- min(eigen(xwxn-diag(c(0,diag(xwxn)[-1]*(k-L2))))$values)
    }
    if (family=="poisson" || family=="negbin") {
      if (i==l) eta <- beta[1,i] + X%*%beta[-1,i]
      else eta <- beta[1,i+1] + X%*%beta[-1,i+1]
      mu<- exp(eta)
      if(family=="poisson")
       w <- mu
      else w <- mu/(1+1/theta*mu)
      w <- as.numeric(w)
      Xu <- sqrt(w) * cbind(1,Xu)
      xwxn <- crossprod(Xu)/n
      eigen.min <- min(eigen(xwxn-diag(c(0,diag(xwxn)[-1]*(k-L2))))$values)
    }

    if (eigen.min < 0) {
      val <- i
      break
    }
  }
  val
}