Package 'SAM'

Title: Sparse Additive Modelling
Description: Computationally efficient tools for high dimensional predictive modeling (regression and classification). SAM is short for sparse additive modeling, and adopts the computationally efficient basis spline technique. We solve the optimization problems by various computational algorithms including the block coordinate descent algorithm, fast iterative soft-thresholding algorithm, and newton method. The computation is further accelerated by warm-start and active-set tricks.
Authors: Haoming Jiang, Yukun Ma, Han Liu, Kathryn Roeder, Xingguo Li, and Tuo Zhao
Maintainer: Haoming Jiang <[email protected]>
License: GPL-2
Version: 1.1.3
Built: 2024-11-07 04:11:42 UTC
Source: https://github.com/hmjianggatech/sam

Help Index

Sparse Additive Modelling

Description

The package SAM targets at high dimensional predictive modeling (regression and classification) for complex data analysis. SAM is short for sparse additive modeling, and adopts the computationally efficient basis spline technique. We solve the optimization problems by various computational algorithms including the block coordinate descent algorithm, fast iterative soft-thresholding algorithm, and newton method. The computation is further accelerated by warm-start and active-set tricks.

Details

Package: SAM
Type: Package
Version: 1.0.5
Date: 2014-02-11
License: GPL-2

Author(s)

Tuo Zhao, Xingguo Li, Haoming Jiang, Han Liu, and Kathryn Roeder
Maintainers: Haoming Jiang<[email protected]>;

References

P. Ravikumar, J. Lafferty, H.Liu and L. Wasserman. "Sparse Additive Models", Journal of Royal Statistical Society: Series B, 2009.
T. Zhao and H.Liu. "Sparse Additive Machine", International Conference on Artificial Intelligence and Statistics, 2012.

See Also

samQL,samHL,samLL,samEL

Plot function for S3 class "samEL"

Description

This function plots the regularization path (regularization parameter versus functional norm)

Usage

## S3 method for class 'samEL'
plot(x, ...)

Arguments

x

An object with S3 class "samEL"
...

System reserved (No specific usage)

Details

The horizontal axis is for the regularization parameters in log scale. The vertical axis is for the functional norm of each component.

See Also

samEL

Plot function for S3 class "samHL"

Description

This function plots the regularization path (regularization parameter versus functional norm)

Usage

## S3 method for class 'samHL'
plot(x, ...)

Arguments

x

An object with S3 class "samHL"
...

System reserved (No specific usage)

Details

The horizontal axis is for the regularization parameters in log scale. The vertical axis is for the functional norm of each component.

See Also

samHL

Plot function for S3 class "samLL"

Description

This function plots the regularization path (regularization parameter versus functional norm)

Usage

## S3 method for class 'samLL'
plot(x, ...)

Arguments

x

An object with S3 class "samLL"
...

System reserved (No specific usage)

Details

The horizontal axis is for the regularization parameters in log scale. The vertical axis is for the functional norm of each component.

See Also

samLL

Plot function for S3 class "samQL"

Description

This function plots the regularization path (regularization parameter versus functional norm)

Usage

## S3 method for class 'samQL'
plot(x, ...)

Arguments

x

An object with S3 class "samQL"
...

System reserved (No specific usage)

Details

The horizontal axis is for the regularization parameters in log scale. The vertical axis is for the functional norm of each component.

See Also

samQL

Prediction function for S3 class "samEL"

Description

Predict the labels for testing data.

Usage

## S3 method for class 'samEL'
predict(object, newdata, ...)

Arguments

object

An object with S3 class "samEL".
newdata

The testing dataset represented in a n by d matrix, where n is testing sample size and d is dimension.
...

System reserved (No specific usage)

Details

The testing dataset is rescale to the samELe range, and expanded by the samELe spline basis functions as the training data.

Value

expectations

Estimated expected counts also represented in a n by the length of lambda matrix, where n is testing sample size.

See Also

samEL

Prediction function for S3 class "samHL"

Description

Predict the labels for testing data.

Usage

## S3 method for class 'samHL'
predict(object, newdata, thol = 0, ...)

Arguments

object

An object with S3 class "samHL".
newdata

The testing dataset represented in a n by d matrix, where n is testing sample size and d is dimension.
thol

The decision value threshold for prediction. The default value is 0.5
...

System reserved (No specific usage)

Details

The testing dataset is rescale to the samHLe range, and expanded by the samHLe spline basis functions as the training data.

Value

values

Predicted decision values also represented in a n by the length of lambda matrix, where n is testing sample size.

labels

Predicted labels also represented in a n by the length of lambda matrix, where n is testing sample size.

See Also

samHL

Prediction function for S3 class "samLL"

Description

Predict the labels for testing data.

Usage

## S3 method for class 'samLL'
predict(object, newdata, thol = 0.5, ...)

Arguments

object

An object with S3 class "samLL".
newdata

The testing dataset represented in a n by d matrix, where n is testing sample size and d is dimension.
thol

The decision value threshold for prediction. The default value is 0.5
...

System reserved (No specific usage)

Details

The testing dataset is rescale to the samLLe range, and expanded by the samLLe spline basis functions as the training data.

Value

probs

Estimated Posterior Probability for Prediction also represented in a n by the length of lambda matrix, where n is testing sample size.

labels

Predicted labels also represented in a n by the length of lambda matrix, where n is testing sample size.

See Also

samLL

Prediction function for S3 class "samQL"

Description

Predict the labels for testing data.

Usage

## S3 method for class 'samQL'
predict(object, newdata, ...)

Arguments

object

An object with S3 class "samQL".
newdata

The testing dataset represented in a n by d matrix, where n is testing sample size and d is dimension.
...

System reserved (No specific usage)

Details

The testing dataset is rescale to the samQLe range, and expanded by the samQLe spline basis functions as the training data.

Value

values

Predicted values also represented in a n by the length of lambda matrix, where n is testing sample size.

See Also

samQL

Printing function for S3 class "samEL"

Description

Summarize the information of the object with S3 class samEL.

Usage

## S3 method for class 'samEL'
print(x, ...)

Arguments

x

An object with S3 class "samEL"
...

System reserved (No specific usage)

Details

The output includes length and d.f. of the regularization path.

See Also

samEL

Printing function for S3 class "samHL"

Description

Summarize the information of the object with S3 class samHL.

Usage

## S3 method for class 'samHL'
print(x, ...)

Arguments

x

An object with S3 class "samHL"
...

System reserved (No specific usage)

Details

The output includes length and d.f. of the regularization path.

See Also

samHL

Printing function for S3 class "samLL"

Description

Summarize the information of the object with S3 class samLL.

Usage

## S3 method for class 'samLL'
print(x, ...)

Arguments

x

An object with S3 class "samLL"
...

System reserved (No specific usage)

Details

The output includes length and d.f. of the regularization path.

See Also

samLL

Printing function for S3 class "samQL"

Description

Summarize the information of the object with S3 class samQL.

Usage

## S3 method for class 'samQL'
print(x, ...)

Arguments

x

An object with S3 class "samQL"
...

System reserved (No specific usage)

Details

The output includes length and d.f. of the regularization path.

See Also

samQL

Training function of Sparse Additive Possion Regression

Description

The log-linear model is learned using training data.

Usage

samEL(
  X,
  y,
  p = 3,
  lambda = NULL,
  nlambda = NULL,
  lambda.min.ratio = 0.25,
  thol = 1e-05,
  max.ite = 1e+05,
  regfunc = "L1"
)

Arguments

X

The n by d design matrix of the training set, where n is sample size and d is dimension.
y

The n-dimensional response vector of the training set, where n is sample size. Responses must be non-negative integers.
p

The number of basis spline functions. The default value is 3.
lambda

A user supplied lambda sequence. Typical usage is to have the program compute its own lambda sequence based on nlambda and lambda.min.ratio. Supplying a value of lambda overrides this. WARNING: use with care. Do not supply a single value for lambda. Supply instead a decreasing sequence of lambda values. samEL relies on its warms starts for speed, and its often faster to fit a whole path than compute a single fit.
nlambda

The number of lambda values. The default value is 20.
lambda.min.ratio

Smallest value for lambda, as a fraction of lambda.max, the (data derived) entry value (i.e. the smallest value for which all coefficients are zero). The default is 0.1.
thol

Stopping precision. The default value is 1e-5.
max.ite

The number of maximum iterations. The default value is 1e5.
regfunc

A string indicating the regularizer. The default value is "L1". You can also assign "MCP" or "SCAD" to it.

Details

We adopt various computational algorithms including the block coordinate descent, fast iterative soft-thresholding algorithm, and newton method. The computation is further accelerated by "warm-start" and "active-set" tricks.

Value

p

The number of basis spline functions used in training.

X.min

A vector with each entry corresponding to the minimum of each input variable. (Used for rescaling in testing)

X.ran

A vector with each entry corresponding to the range of each input variable. (Used for rescaling in testing)

lambda

A sequence of regularization parameter used in training.

w

The solution path matrix (d*p+1 by length of lambda) with each column corresponding to a regularization parameter. Since we use the basis expansion with the intercept, the length of each column is d*p+1.

df

The degree of freedom of the solution path (The number of non-zero component function)

knots

The p-1 by d matrix. Each column contains the knots applied to the corresponding variable.

Boundary.knots

The 2 by d matrix. Each column contains the boundary points applied to the corresponding variable.

func_norm

The functional norm matrix (d by length of lambda) with each column corresponds to a regularization parameter. Since we have d input variables, the length of each column is d.

See Also

SAM,plot.samEL,print.samEL,predict.samEL

Examples

## generating training data
n = 200
d = 100
X = 0.5*matrix(runif(n*d),n,d) + matrix(rep(0.5*runif(n),d),n,d)
u = exp(-2*sin(X[,1]) + X[,2]^2-1/3 + X[,3]-1/2 + exp(-X[,4])+exp(-1)-1+1)
y = rep(0,n)
for(i in 1:n) y[i] = rpois(1,u[i])

## Training
out.trn = samEL(X,y)
out.trn

## plotting solution path
plot(out.trn)

## generating testing data
nt = 1000
Xt = 0.5*matrix(runif(nt*d),nt,d) + matrix(rep(0.5*runif(nt),d),nt,d)
ut = exp(-2*sin(Xt[,1]) + Xt[,2]^2-1/3 + Xt[,3]-1/2 + exp(-Xt[,4])+exp(-1)-1+1)
yt = rep(0,nt)
for(i in 1:nt) yt[i] = rpois(1,ut[i])

## predicting response
out.tst = predict(out.trn,Xt)

Training function of Sparse Additive Machine

Description

The classifier is learned using training data.

Usage

samHL(
  X,
  y,
  p = 3,
  lambda = NULL,
  nlambda = NULL,
  lambda.min.ratio = 0.4,
  thol = 1e-05,
  mu = 0.05,
  max.ite = 1e+05,
  w = NULL
)

Arguments

X

The n by d design matrix of the training set, where n is sample size and d is dimension.
y

The n-dimensional label vector of the training set, where n is sample size. Labels must be coded in 1 and 0.
p

The number of basis spline functions. The default value is 3.
lambda

A user supplied lambda sequence. Typical usage is to have the program compute its own lambda sequence based on nlambda and lambda.min.ratio. Supplying a value of lambda overrides this. WARNING: use with care. Do not supply a single value for lambda. Supply instead a decreasing sequence of lambda values. samHL relies on its warms starts for speed, and its often faster to fit a whole path than compute a single fit.
nlambda

The number of lambda values. The default value is 20.
lambda.min.ratio

Smallest value for lambda, as a fraction of lambda.max, the (data derived) entry value (i.e. the smallest value for which all coefficients are zero). The default is 0.4.
thol

Stopping precision. The default value is 1e-5.
mu

Smoothing parameter used in approximate the Hinge Loss. The default value is 0.05.
max.ite

The number of maximum iterations. The default value is 1e5.
w

The n-dimensional positive vector. It is the weight of each entry in the weighted loss. The default value is 1 for all entries.

Details

We adopt various computational algorithms including the block coordinate descent, fast iterative soft-thresholding algorithm, and newton method. The computation is further accelerated by "warm-start" and "active-set" tricks.

Value

p

The number of basis spline functions used in training.

X.min

A vector with each entry corresponding to the minimum of each input variable. (Used for rescaling in testing)

X.ran

A vector with each entry corresponding to the range of each input variable. (Used for rescaling in testing)

lambda

A sequence of regularization parameter used in training.

w

The solution path matrix (d*p+1 by length of lambda) with each column corresponding to a regularization parameter. Since we use the basis expansion with the intercept, the length of each column is d*p+1.

df

The degree of freedom of the solution path (The number of non-zero component function)

knots

The p-1 by d matrix. Each column contains the knots applied to the corresponding variable.

Boundary.knots

The 2 by d matrix. Each column contains the boundary points applied to the corresponding variable.

func_norm

The functional norm matrix (d by length of lambda) with each column corresponds to a regularization parameter. Since we have d input variables, the length of each column is d.

See Also

SAM,plot.samHL,print.samHL,predict.samHL

Examples

## generating training data
n = 200
d = 100
X = 0.5*matrix(runif(n*d),n,d) + matrix(rep(0.5*runif(n),d),n,d)
y = sign(((X[,1]-0.5)^2 + (X[,2]-0.5)^2)-0.06)

## flipping about 5 percent of y
y = y*sign(runif(n)-0.05)

## Training
out.trn = samHL(X,y)
out.trn

## plotting solution path
plot(out.trn)

## generating testing data
nt = 1000
Xt = 0.5*matrix(runif(nt*d),nt,d) + matrix(rep(0.5*runif(nt),d),nt,d)

yt = sign(((Xt[,1]-0.5)^2 + (Xt[,2]-0.5)^2)-0.06)

## flipping about 5 percent of y
yt = yt*sign(runif(nt)-0.05)

## predicting response
out.tst = predict(out.trn,Xt)

Training function of Sparse Additive Logistic Regression

Description

The logistic model is learned using training data.

Usage

samLL(
  X,
  y,
  p = 3,
  lambda = NULL,
  nlambda = NULL,
  lambda.min.ratio = 0.1,
  thol = 1e-05,
  max.ite = 1e+05,
  regfunc = "L1"
)

Arguments

X

The n by d design matrix of the training set, where n is sample size and d is dimension.
y

The n-dimensional label vector of the training set, where n is sample size. Labels must be coded in 1 and 0.
p

The number of basis spline functions. The default value is 3.
lambda

A user supplied lambda sequence. Typical usage is to have the program compute its own lambda sequence based on nlambda and lambda.min.ratio. Supplying a value of lambda overrides this. WARNING: use with care. Do not supply a single value for lambda. Supply instead a decreasing sequence of lambda values. samLL relies on its warms starts for speed, and its often faster to fit a whole path than compute a single fit.
nlambda

The number of lambda values. The default value is 20.
lambda.min.ratio

Smallest value for lambda, as a fraction of lambda.max, the (data derived) entry value (i.e. the smallest value for which all coefficients are zero). The default is 0.1.
thol

Stopping precision. The default value is 1e-5.
max.ite

The number of maximum iterations. The default value is 1e5.
regfunc

A string indicating the regularizer. The default value is "L1". You can also assign "MCP" or "SCAD" to it.

Details

We adopt various computational algorithms including the block coordinate descent, fast iterative soft-thresholding algorithm, and newton method. The computation is further accelerated by "warm-start" and "active-set" tricks.

Value

p

The number of basis spline functions used in training.

X.min

A vector with each entry corresponding to the minimum of each input variable. (Used for rescaling in testing)

X.ran

A vector with each entry corresponding to the range of each input variable. (Used for rescaling in testing)

lambda

A sequence of regularization parameter used in training.

w

The solution path matrix (d*p+1 by length of lambda) with each column corresponding to a regularization parameter. Since we use the basis expansion with the intercept, the length of each column is d*p+1.

df

The degree of freedom of the solution path (The number of non-zero component function)

knots

The p-1 by d matrix. Each column contains the knots applied to the corresponding variable.

Boundary.knots

The 2 by d matrix. Each column contains the boundary points applied to the corresponding variable.

func_norm

The functional norm matrix (d by length of lambda) with each column corresponds to a regularization parameter. Since we have d input variables, the length of each column is d.

See Also

SAM,plot.samLL,print.samLL,predict.samLL

Examples

## generating training data
n = 200
d = 100
X = 0.5*matrix(runif(n*d),n,d) + matrix(rep(0.5*runif(n),d),n,d)
y = sign(((X[,1]-0.5)^2 + (X[,2]-0.5)^2)-0.06)

## flipping about 5 percent of y
y = y*sign(runif(n)-0.05)
y = sign(y==1)

## Training
out.trn = samLL(X,y)
out.trn

## plotting solution path
plot(out.trn)

## generating testing data
nt = 1000
Xt = 0.5*matrix(runif(nt*d),nt,d) + matrix(rep(0.5*runif(nt),d),nt,d)

yt = sign(((Xt[,1]-0.5)^2 + (Xt[,2]-0.5)^2)-0.06)

## flipping about 5 percent of y
yt = yt*sign(runif(nt)-0.05)
yt = sign(yt==1)

## predicting response
out.tst = predict(out.trn,Xt)

Training function of Sparse Additive Models

Description

The regression model is learned using training data.

Usage

samQL(
  X,
  y,
  p = 3,
  lambda = NULL,
  nlambda = NULL,
  lambda.min.ratio = 0.005,
  thol = 1e-05,
  max.ite = 1e+05,
  regfunc = "L1"
)

Arguments

X

The n by d design matrix of the training set, where n is sample size and d is dimension.
y

The n-dimensional response vector of the training set, where n is sample size.
p

The number of basis spline functions. The default value is 3.
lambda

A user supplied lambda sequence. Typical usage is to have the program compute its own lambda sequence based on nlambda and lambda.min.ratio. Supplying a value of lambda overrides this. WARNING: use with care. Do not supply a single value for lambda. Supply instead a decreasing sequence of lambda values. samQL relies on its warms starts for speed, and its often faster to fit a whole path than compute a single fit.
nlambda

The number of lambda values. The default value is 30.
lambda.min.ratio

Smallest value for lambda, as a fraction of lambda.max, the (data derived) entry value (i.e. the smallest value for which all coefficients are zero). The default is 5e-3.
thol

Stopping precision. The default value is 1e-5.
max.ite

The number of maximum iterations. The default value is 1e5.
regfunc

A string indicating the regularizer. The default value is "L1". You can also assign "MCP" or "SCAD" to it.

Details

We adopt various computational algorithms including the block coordinate descent, fast iterative soft-thresholding algorithm, and newton method. The computation is further accelerated by "warm-start" and "active-set" tricks.

Value

p

The number of basis spline functions used in training.

X.min

A vector with each entry corresponding to the minimum of each input variable. (Used for rescaling in testing)

X.ran

A vector with each entry corresponding to the range of each input variable. (Used for rescaling in testing)

lambda

A sequence of regularization parameter used in training.

w

The solution path matrix (d*p by length of lambda) with each column corresponding to a regularization parameter. Since we use the basis expansion, the length of each column is d*p+1.

intercept

The solution path of the intercept.

df

The degree of freedom of the solution path (The number of non-zero component function)

knots

The p-1 by d matrix. Each column contains the knots applied to the corresponding variable.

Boundary.knots

The 2 by d matrix. Each column contains the boundary points applied to the corresponding variable.

func_norm

The functional norm matrix (d by length of lambda) with each column corresponds to a regularization parameter. Since we have d input variables, the length of each column is d.

sse

Sums of square errors of the solution path.

See Also

SAM,plot.samQL,print.samQL,predict.samQL

Examples

## generating training data
n = 100
d = 500
X = 0.5*matrix(runif(n*d),n,d) + matrix(rep(0.5*runif(n),d),n,d)

## generating response
y = -2*sin(X[,1]) + X[,2]^2-1/3 + X[,3]-1/2 + exp(-X[,4])+exp(-1)-1

## Training
out.trn = samQL(X,y)
out.trn

## plotting solution path
plot(out.trn)

## generating testing data
nt = 1000
Xt = 0.5*matrix(runif(nt*d),nt,d) + matrix(rep(0.5*runif(nt),d),nt,d)

yt = -2*sin(Xt[,1]) + Xt[,2]^2-1/3 + Xt[,3]-1/2 + exp(-Xt[,4])+exp(-1)-1

## predicting response
out.tst = predict(out.trn,Xt)