mlpack::regression::LARS(3) a stage-wise homotopy-based algorithm for l1-regularized linear regression (LASSO) and l1+l2 regularized linear regression (Elastic Net).

Other Alias

An implementation of LARS

SYNOPSIS


Public Member Functions


LARS (const bool useCholesky, const double lambda1=0.0, const double lambda2=0.0, const double tolerance=1e-16)
Set the parameters to LARS.
LARS (const bool useCholesky, const arma::mat &gramMatrix, const double lambda1=0.0, const double lambda2=0.0, const double tolerance=1e-16)
Set the parameters to LARS, and pass in a precalculated Gram matrix.
const std::vector< size_t > & ActiveSet () const
Access the set of active dimensions.
const std::vector< arma::vec > & BetaPath () const
Access the set of coefficients after each iteration; the solution is the last element.
const std::vector< double > & LambdaPath () const
Access the set of values for lambda1 after each iteration; the solution is the last element.
const arma::mat & MatUtriCholFactor () const
Access the upper triangular cholesky factor.
void Regress (const arma::mat &data, const arma::vec &responses, arma::vec &beta, const bool transposeData=true)
Run LARS.
std::string ToString () const

Private Member Functions


void Activate (const size_t varInd)
Add dimension varInd to active set.
void CholeskyDelete (const size_t colToKill)

void CholeskyInsert (const arma::vec &newX, const arma::mat &X)

void CholeskyInsert (double sqNormNewX, const arma::vec &newGramCol)

void ComputeYHatDirection (const arma::mat &matX, const arma::vec &betaDirection, arma::vec &yHatDirection)

void Deactivate (const size_t activeVarInd)
Remove activeVarInd'th element from active set.
void GivensRotate (const arma::vec::fixed< 2 > &x, arma::vec::fixed< 2 > &rotatedX, arma::mat &G)

void Ignore (const size_t varInd)
Add dimension varInd to ignores set (never removed).
void InterpolateBeta ()

Private Attributes


std::vector< size_t > activeSet
Active set of dimensions.
std::vector< arma::vec > betaPath
Solution path.
bool elasticNet
True if this is the elastic net problem.
std::vector< size_t > ignoreSet
Set of ignored variables (for dimensions in span{active set dimensions}).
std::vector< bool > isActive
Active set membership indicator (for each dimension).
std::vector< bool > isIgnored
Membership indicator for set of ignored variables.
double lambda1
Regularization parameter for l1 penalty.
double lambda2
Regularization parameter for l2 penalty.
std::vector< double > lambdaPath
Value of lambda_1 for each solution in solution path.
bool lasso
True if this is the LASSO problem.
const arma::mat & matGram
Reference to the Gram matrix we will use.
arma::mat matGramInternal
Gram matrix.
arma::mat matUtriCholFactor
Upper triangular cholesky factor; initially 0x0 matrix.
double tolerance
Tolerance for main loop.
bool useCholesky
Whether or not to use Cholesky decomposition when solving linear system.

Detailed Description

An implementation of LARS, a stage-wise homotopy-based algorithm for l1-regularized linear regression (LASSO) and l1+l2 regularized linear regression (Elastic Net).

Let $ X $ be a matrix where each row is a point and each column is a dimension and let $ y $ be a vector of responses.

The Elastic Net problem is to solve

\.PP where $ vector of regression coefficients.

If $

_1 > 0 $ and $
_2 = 0 $, the problem is the LASSO. If $
_1 > 0 $ and $
_2 > 0 $, the problem is the elastic net. If $
_1 = 0 $ and $
_2 > 0 $, the problem is ridge regression. If $
_1 = 0 $ and $
_2 = 0 $, the problem is unregularized linear regression.

Note: This algorithm is not recommended for use (in terms of efficiency) when $

_1 $ = 0.

For more details, see the following papers: 

@article{efron2004least,
  title={Least angle regression},
  author={Efron, B. and Hastie, T. and Johnstone, I. and Tibshirani, R.},
  journal={The Annals of statistics},
  volume={32},
  number={2},
  pages={407--499},
  year={2004},
  publisher={Institute of Mathematical Statistics}
}


@article{zou2005regularization,
  title={Regularization and variable selection via the elastic net},
  author={Zou, H. and Hastie, T.},
  journal={Journal of the Royal Statistical Society Series B},
  volume={67},
  number={2},
  pages={301--320},
  year={2005},
  publisher={Royal Statistical Society}
}


 

Definition at line 99 of file lars.hpp.

Constructor & Destructor Documentation

mlpack::regression::LARS::LARS (const booluseCholesky, const doublelambda1 = 0.0, const doublelambda2 = 0.0, const doubletolerance = 1e-16)

Set the parameters to LARS. Both lambda1 and lambda2 default to 0.

Parameters:

useCholesky Whether or not to use Cholesky decomposition when solving linear system (as opposed to using the full Gram matrix).
lambda1 Regularization parameter for l1-norm penalty.
lambda2 Regularization parameter for l2-norm penalty.
tolerance Run until the maximum correlation of elements in (X^T y) is less than this.

mlpack::regression::LARS::LARS (const booluseCholesky, const arma::mat &gramMatrix, const doublelambda1 = 0.0, const doublelambda2 = 0.0, const doubletolerance = 1e-16)

Set the parameters to LARS, and pass in a precalculated Gram matrix. Both lambda1 and lambda2 default to 0.

Parameters:

useCholesky Whether or not to use Cholesky decomposition when solving linear system (as opposed to using the full Gram matrix).
gramMatrix Gram matrix.
lambda1 Regularization parameter for l1-norm penalty.
lambda2 Regularization parameter for l2-norm penalty.
tolerance Run until the maximum correlation of elements in (X^T y) is less than this.

Member Function Documentation

void mlpack::regression::LARS::Activate (const size_tvarInd) [private]

Add dimension varInd to active set.

Parameters:

varInd Dimension to add to active set.

const std::vector<size_t>& mlpack::regression::LARS::ActiveSet () const [inline]

Access the set of active dimensions.

Definition at line 155 of file lars.hpp.

References activeSet.

const std::vector<arma::vec>& mlpack::regression::LARS::BetaPath () const [inline]

Access the set of coefficients after each iteration; the solution is the last element.

Definition at line 159 of file lars.hpp.

References betaPath.

void mlpack::regression::LARS::CholeskyDelete (const size_tcolToKill) [private]

void mlpack::regression::LARS::CholeskyInsert (const arma::vec &newX, const arma::mat &X) [private]

void mlpack::regression::LARS::CholeskyInsert (doublesqNormNewX, const arma::vec &newGramCol) [private]

void mlpack::regression::LARS::ComputeYHatDirection (const arma::mat &matX, const arma::vec &betaDirection, arma::vec &yHatDirection) [private]

void mlpack::regression::LARS::Deactivate (const size_tactiveVarInd) [private]

Remove activeVarInd'th element from active set.

Parameters:

activeVarInd Index of element to remove from active set.

void mlpack::regression::LARS::GivensRotate (const arma::vec::fixed< 2 > &x, arma::vec::fixed< 2 > &rotatedX, arma::mat &G) [private]

void mlpack::regression::LARS::Ignore (const size_tvarInd) [private]

Add dimension varInd to ignores set (never removed).

Parameters:

varInd Dimension to add to ignores set.

void mlpack::regression::LARS::InterpolateBeta () [private]

const std::vector<double>& mlpack::regression::LARS::LambdaPath () const [inline]

Access the set of values for lambda1 after each iteration; the solution is the last element.

Definition at line 163 of file lars.hpp.

References lambdaPath.

const arma::mat& mlpack::regression::LARS::MatUtriCholFactor () const [inline]

Access the upper triangular cholesky factor.

Definition at line 166 of file lars.hpp.

References matUtriCholFactor.

void mlpack::regression::LARS::Regress (const arma::mat &data, const arma::vec &responses, arma::vec &beta, const booltransposeData = true)

Run LARS. The input matrix (like all MLPACK matrices) should be column-major -- each column is an observation and each row is a dimension. However, because LARS is more efficient on a row-major matrix, this method will (internally) transpose the matrix. If this transposition is not necessary (i.e., you want to pass in a row-major matrix), pass 'false' for the transposeData parameter.

Parameters:

data Column-major input data (or row-major input data if rowMajor = true).
responses A vector of targets.
beta Vector to store the solution (the coefficients) in.
rowMajor Set to false if the data is row-major.

std::string mlpack::regression::LARS::ToString () const

Member Data Documentation

std::vector<size_t> mlpack::regression::LARS::activeSet [private]

Active set of dimensions.

Definition at line 204 of file lars.hpp.

Referenced by ActiveSet().

std::vector<arma::vec> mlpack::regression::LARS::betaPath [private]

Solution path.

Definition at line 198 of file lars.hpp.

Referenced by BetaPath().

bool mlpack::regression::LARS::elasticNet [private]

True if this is the elastic net problem.

Definition at line 190 of file lars.hpp.

std::vector<size_t> mlpack::regression::LARS::ignoreSet [private]

Set of ignored variables (for dimensions in span{active set dimensions}).

Definition at line 212 of file lars.hpp.

std::vector<bool> mlpack::regression::LARS::isActive [private]

Active set membership indicator (for each dimension).

Definition at line 207 of file lars.hpp.

std::vector<bool> mlpack::regression::LARS::isIgnored [private]

Membership indicator for set of ignored variables.

Definition at line 215 of file lars.hpp.

double mlpack::regression::LARS::lambda1 [private]

Regularization parameter for l1 penalty.

Definition at line 187 of file lars.hpp.

double mlpack::regression::LARS::lambda2 [private]

Regularization parameter for l2 penalty.

Definition at line 192 of file lars.hpp.

std::vector<double> mlpack::regression::LARS::lambdaPath [private]

Value of lambda_1 for each solution in solution path.

Definition at line 201 of file lars.hpp.

Referenced by LambdaPath().

bool mlpack::regression::LARS::lasso [private]

True if this is the LASSO problem.

Definition at line 185 of file lars.hpp.

const arma::mat& mlpack::regression::LARS::matGram [private]

Reference to the Gram matrix we will use.

Definition at line 176 of file lars.hpp.

arma::mat mlpack::regression::LARS::matGramInternal [private]

Gram matrix.

Definition at line 173 of file lars.hpp.

arma::mat mlpack::regression::LARS::matUtriCholFactor [private]

Upper triangular cholesky factor; initially 0x0 matrix.

Definition at line 179 of file lars.hpp.

Referenced by MatUtriCholFactor().

double mlpack::regression::LARS::tolerance [private]

Tolerance for main loop.

Definition at line 195 of file lars.hpp.

bool mlpack::regression::LARS::useCholesky [private]

Whether or not to use Cholesky decomposition when solving linear system.

Definition at line 182 of file lars.hpp.

Author

Generated automatically by Doxygen for MLPACK from the source code.

LAST SEARCHED