Adaptive SCAD-Net
Usage
asnet(
x,
y,
family = c("gaussian", "binomial", "poisson", "cox"),
init = c("snet", "ridge"),
gammas = 3.7,
alphas = seq(0.05, 0.95, 0.05),
tune = c("cv", "ebic", "bic", "aic"),
nfolds = 5L,
ebic.gamma = 1,
scale = 1,
eps = 1e-04,
max.iter = 10000L,
penalty.factor.init = rep(1, ncol(x)),
seed = 1001,
parallel = FALSE,
verbose = FALSE
)
Arguments
- x
Data matrix.
- y
Response vector if
family
is"gaussian"
,"binomial"
, or"poisson"
. Iffamily
is"cox"
, a response matrix created bySurv
.- family
Model family, can be
"gaussian"
,"binomial"
,"poisson"
, or"cox"
.- init
Type of the penalty used in the initial estimation step. Can be
"snet"
or"ridge"
.- gammas
Vector of candidate
gamma
s (the concavity parameter) to use in SCAD-Net. Default is3.7
.- alphas
Vector of candidate
alpha
s to use in SCAD-Net.- tune
Parameter tuning method for each estimation step. Possible options are
"cv"
,"ebic"
,"bic"
, and"aic"
. Default is"cv"
.- nfolds
Fold numbers of cross-validation when
tune = "cv"
.- ebic.gamma
Parameter for Extended BIC penalizing size of the model space when
tune = "ebic"
, default is1
. For details, see Chen and Chen (2008).- scale
Scaling factor for adaptive weights:
weights = coefficients^(-scale)
.- eps
Convergence threshhold to use in SCAD-net.
- max.iter
Maximum number of iterations to use in SCAD-net.
- penalty.factor.init
The multiplicative factor for the penalty applied to each coefficient in the initial estimation step. This is useful for incorporating prior information about variable weights, for example, emphasizing specific clinical variables. To make certain variables more likely to be selected, assign a smaller value. Default is
rep(1, ncol(x))
.- seed
Random seed for cross-validation fold division.
- parallel
Logical. Enable parallel parameter tuning or not, default is FALSE. To enable parallel tuning, load the
doParallel
package and runregisterDoParallel()
with the number of CPU cores before calling this function.- verbose
Should we print out the estimation progress?
Author
Nan Xiao <https://nanx.me>
Examples
dat <- msaenet.sim.gaussian(
n = 150, p = 500, rho = 0.6,
coef = rep(1, 5), snr = 2, p.train = 0.7,
seed = 1001
)
asnet.fit <- asnet(
dat$x.tr, dat$y.tr,
alphas = seq(0.2, 0.8, 0.2), seed = 1002
)
#> Warning: ncvreg() is intended for pathwise optimization, not for single values of lambda.
#> 1. You are strongly encouraged to fit a path and extract the solution at the lambda value of interest, rather than use ncvreg() in this way.
#> 2. In particular, if you are using the MCP or SCAD penalties, be aware that you greatly increase your risk of converging to an inferior local maximum if you do not fit an entire path.
#> 3. You may wish to look at the ncvfit() function, which is intended for non-path (i.e., single-lambda) optimization and allows the user to supply initial values.
#> Warning: ncvreg() is intended for pathwise optimization, not for single values of lambda.
#> 1. You are strongly encouraged to fit a path and extract the solution at the lambda value of interest, rather than use ncvreg() in this way.
#> 2. In particular, if you are using the MCP or SCAD penalties, be aware that you greatly increase your risk of converging to an inferior local maximum if you do not fit an entire path.
#> 3. You may wish to look at the ncvfit() function, which is intended for non-path (i.e., single-lambda) optimization and allows the user to supply initial values.
print(asnet.fit)
#> Call: asnet(x = dat$x.tr, y = dat$y.tr, alphas = seq(0.2, 0.8, 0.2),
#> seed = 1002)
#> Df Lambda Gamma Alpha
#> 1 4 0.3104765 3.7 0.8
msaenet.nzv(asnet.fit)
#> [1] 2 4 5 35
msaenet.fp(asnet.fit, 1:5)
#> [1] 1
msaenet.tp(asnet.fit, 1:5)
#> [1] 3
asnet.pred <- predict(asnet.fit, dat$x.te)
msaenet.rmse(dat$y.te, asnet.pred)
#> [1] 2.693864
plot(asnet.fit)