cv.FuncompCGL {Compack}R Documentation

Cross-validation for FuncompCGL.

Description

k-fold cross-validation for FuncompCGL; produce a plot and return optimal values of lam and k.

Usage

cv.FuncompCGL(y, X, Zc = NULL, lam = NULL, nlam = 100, k = 4:10, ref = NULL,
              foldid, nfolds = 10, W = rep(1,times = p - length(ref)),
              trim = 0, outer_maxiter = 1e+06, keep = FALSE, ...)

Arguments

y

response vector with length n.

X

a data frame or matrix.

  • If nrow(X) > n, X should be a data frame or matrix of the functional compositional predictors with p columns for the values of the compositional components, one column indicating the subject ID and one column of observed time points. The order of the Subject ID should be the SAME as that of y.

  • If nrow(X)[1]=n, X is considered as the integrated design matrix, a n*(k*p - length(ref)) matrix.

Zc

a n*p_c design matrix of unpenalized variables. Default is NULL.

lam

a user supplied lambda sequence. If lam is provided as a scaler and nlam>1, lam sequence is created starting from lam. To run a single value of lam, set nlam=1. The program will sort user-defined lambda sequence in decreasing order.

nlam

the length of the lam sequence. Default is 100. No effect if lam is provided.

k

a vector of integer values of the degrees of freedom; default is 4:10.

ref

reference level (baseline), either an integer between [1,p] or NULL. Default value is NULL.

  • If ref is set to be an integer between [1,p], the group lasso penalized log-contrast model (with log-ratios) is fitted with the ref-th component chosed as baseline.

  • If ref is set to be NULL, the linearly constrained group lasso penalized log-contrast model is fitted.

foldid

an optional vector of values between 1 and the sample size n, providing the fold assignments. If supplied, nfold can be missing.

nfolds

number of folds, default is 10. The smallest allowable value is nfolds=3.

W

a vector of length p (the total number of groups), or a matrix with dimension p1*p1, where p1=(p - length(ref)) * k, or character specifying the function used to calculate weight matrix for each group.

  • a vector of penalization weights for the groups of coefficients. A zero weight implies no shrinkage.

  • a diagonal matrix with positive diagonal elements.

  • if character string of function name or an object of type function to compute the weights.

trim

percentage to be trimmed off the prediction errors from either side; default is 0.

outer_maxiter

maximum number of loops allowed for the augmented Lagrange method.

keep

If keep=TRUE, fitted models in cross validation are reported. Default is keep=FALSE.

...

other arguments that can be passed to FuncompCGL.

Details

k-fold cross validation.

Value

An object of S3 class "cv.FuncompCGL" is return, which is a list containing:

FuncompCGL.fit

a list of length length(k), with elements being the fitted FuncompCGL objects of different degrees of freedom.

lam

the sequence of lam.

Ftrim

a list for cross validation results with trim = 0.

  • cvm the mean cross-validated error - a matrix of dimension length(k)*length(lam).

  • cvsd estimated standard error of cvm.

  • cvup upper curve = cvm + cvsd.

  • cvlo lower curve = cvm - cvsd.

  • lam.min the optimal values of k and lam that give minimum cross validation error cvm.

  • lam.1se the optimal values of k and lam that give cross validation error withnin 1 standard error of the miminum cvm.

Ttrim

a list of cross validation result with trim*100%. The structure is the same as that for Ftrim.

fit.preval, foldid

fit.preval is the array of fitted models. Only kept when keep=TRUE.

Author(s)

Zhe Sun and Kun Chen

References

Sun, Z., Xu, W., Cong, X., Li G. and Chen K. (2020) Log-contrast regression with functional compositional predictors: linking preterm infant's gut microbiome trajectories to neurobehavioral outcome, https://arxiv.org/abs/1808.02403 Annals of Applied Statistics

See Also

FuncompCGL and GIC.FuncompCGL, and predict, coef and plot methods for "cv.FuncompCGL" object.

Examples


## generate training and testing data
df_beta = 5
p = 30
beta_C_true = matrix(0, nrow = p, ncol = df_beta)
beta_C_true[1, ] <- c(-0.5, -0.5, -0.5 , -1, -1)
beta_C_true[2, ] <- c(0.8, 0.8,  0.7,  0.6,  0.6)
beta_C_true[3, ] <- c(-0.8, -0.8 , 0.4 , 1 , 1)
beta_C_true[4, ] <- c(0.5, 0.5, -0.6  ,-0.6, -0.6)

n_train = 50
n_test = 30
nfolds = 5
foldid <- sample(rep(seq(nfolds), length = n_train))
k_list <- c(4,5)

Data <- Fcomp_Model(n = n_train, p = p, m = 0, intercept = TRUE,
                    SNR = 4, sigma = 3, rho_X = 0.2, rho_T = 0.5,
                    df_beta = df_beta, n_T = 20, obs_spar = 1, theta.add = FALSE,
                    beta_C = as.vector(t(beta_C_true)))
arg_list <- as.list(Data$call)[-1]
arg_list$n <- n_test
Test <- do.call(Fcomp_Model, arg_list)

## cv_cgl: Constrained group lasso
cv_cgl <-  cv.FuncompCGL(y = Data$data$y, X = Data$data$Comp,
                         Zc = Data$data$Zc, intercept = Data$data$intercept,
                         k = k_list, foldid = foldid,
                         keep = TRUE)
plot(cv_cgl,k = k_list)
cv_cgl$Ftrim[c("lam.min", "lam.1se")]
beta <-  coef(cv_cgl, trim = FALSE, s = "lam.min")
k_opt <- cv_cgl$Ftrim$lam.min['df']
## plot path against L2-norm of group coefficients
plot(cv_cgl$FuncompCGL.fit[[as.character(k_opt)]])
## or plot path against L1-norm of group coefficients
plot(cv_cgl$FuncompCGL.fit[[as.character(k_opt)]], ylab = "L1")

m1 <- ifelse(is.null(ncol(Data$data$Zc)), 0, ncol(Data$data$Zc))
m1 <- m1 + Data$data$intercept
if(k_opt == df_beta) {
  plot(Data$beta, col = "red", pch = 19,
       ylim = range(c(range(Data$beta), range(beta))))
  abline(v= seq(from = 0, to = (p*df_beta), by = df_beta ))
  abline(h = 0)
  points(beta)
  if(m1 > 0) points(p*df_beta + 1:m1, tail(Data$beta, m1),
                    col = "blue", pch = 19)
} else {
  plot(beta, ylim = range(c(range(Data$beta), range(beta))) )
  abline(v= seq(from = 0, to = (p*k_opt), by = k_opt ))
  abline(h = 0, col = "red")
  if(m1 > 0) points(p*k_opt + 1:m1, tail(Data$beta, m1),
                    col = "blue", pch = 19)
}

beta_C <- matrix(beta[1:(p*k_opt)], byrow = TRUE, nrow = p)
## satisfies zero-sum constraints
cat("colSums:", colSums(beta_C))
Nonzero <- (1:p)[apply(beta_C, 1, function(x) max(abs(x)) >0)]
cat("selected groups:", Nonzero)

oldpar <- par(mfrow=c(2,1))
sseq <- Data$basis.info[, 1]
beta_curve_true <- Data$basis.info[, -1] %*%  t(beta_C_true)
Nonzero_true <- (1:p)[apply(beta_C_true, 1, function(x) max(abs(x)) >0)]
matplot(sseq, beta_curve_true, type = "l", ylim = range(beta_curve_true),
        ylab = "True coeffcients curves", xlab = "TIME")
abline(a = 0, b = 0, col = "grey", lwd = 2)
text(0, beta_curve_true[1, Nonzero_true], labels = Nonzero_true)

beta_curve <- splines::bs(sseq, df = k_opt, intercept = TRUE) %*% t(beta_C)
matplot(sseq, beta_curve, type = "l", ylim = range(beta_curve_true),
        ylab = "Estimated coefficient curves", xlab = "TIME")
abline(a = 0, b = 0, col = "grey", lwd = 2)
text(0, beta_curve[1, Nonzero], labels = Nonzero)
par(oldpar)

## plot L1-norm of the estimated coefficients for each component of the composition
plot(apply(abs(beta_C),1,sum), ylab = "L1-norm", xlab = "Component index")
## or plot L2-norm
plot(apply(abs(beta_C),1, function(x) sqrt(sum(x^2))),
     ylab = "L2-norm", xlab = "Component index")

## set a thresholding for variable selection via cross-validation model
## example 1: cut by average L2-norm for estimated coefficient curves
Curve_L2 <- colSums(beta_curve^2)
Curve_L2 <- Curve_L2 - colSums(beta_curve[c(1, nrow(beta_curve)), ]^2) / 2
Curve_L2 <- Curve_L2 * (Data$basis.info[2,1] - Data$basis.info[1,1])
Curve_L2 <- sqrt(Curve_L2)
plot(Curve_L2, xlab = "Component index", ylab = "L2-norm for coefficient curves")
cutoff <- sum(Curve_L2) / p
Nonzero_cut <- (1:p)[which(Curve_L2 >= cutoff)]
Nonzero_cut
## example 2: cut by average L2-norm for estimated coefficient vectors
cutoff <- sum(apply(beta_C, 1, function(x) norm(x, "2")))/p
Nonzero_cut2 <- (1:p)[apply(beta_C, 1, function(x, a) norm(x, "2") >= a, a = cutoff)]
## example 3: cut by average L1-norm for estimated coefficient vectors
cutoff <- sum(abs(beta_C))/p
Nonzero_cut3 <- (1:p)[apply(beta_C, 1, function(x, a) sum(abs(x)) >= a, a = cutoff)]

y_hat <- predict(cv_cgl, Data$data$Comp, Data$data$Zc, s = "lam.min")
MSE <- sum((drop(Data$data$y) - y_hat)^2) / n_train
y_hat <- predict(cv_cgl, Test$data$Comp, Test$data$Zc, s = "lam.min")
PRE <- sum((drop(Test$data$y) - y_hat)^2) / n_test
cgl_result <- list(cv.result = cv_cgl, beta = beta,
                   Nonzero = c("Original" = Nonzero, "Cut" = Nonzero_cut),
                   MSE = MSE, PRE = PRE)

## cv_naive: ignoring the zero-sum constraints
## set mu_raio = 0 to identifying without linear constraints,
## no outer_loop for Lagrange augmented multiplier
cv_naive <-  cv.FuncompCGL(y = Data$data$y, X = Data$data$Comp,
                           Zc = Data$data$Zc, intercept = Data$data$intercept,
                           k = k_list, foldid = foldid, keep = TRUE,
                           mu_ratio = 0)
plot(cv_naive, k = k_list)
beta <-  coef(cv_naive, trim = FALSE, s = "lam.min")
k_opt <- cv_naive$Ftrim$lam.min['df']
beta_C <- matrix(beta[1:(p*k_opt)], byrow = TRUE, nrow = p)
## does NOT satisfy zero-sum constraints
cat("colSums:", colSums(beta_C))
Nonzero <- (1:p)[apply(beta_C, 1, function(x) max(abs(x)) >0)]
beta_curve <- splines::bs(sseq, df = k_opt, intercept = TRUE) %*% t(beta_C)
Curve_L2 <- colSums(beta_curve^2) - colSums(beta_curve[c(1, nrow(beta_curve)), ]^2) / 2
Curve_L2 <- sqrt(Curve_L2 * (Data$basis.info[2,1] - Data$basis.info[1,1]))
cutoff <- sum(Curve_L2) / p
Nonzero_cut <- (1:p)[which(Curve_L2 >= cutoff)]
y_hat <- predict(cv_naive, Data$data$Comp, Data$data$Zc, s = "lam.min")
MSE <- sum((drop(Data$data$y) - y_hat)^2) / n_train
y_hat <- predict(cv_naive, Test$data$Comp, Test$data$Zc, s = "lam.min")
PRE <- sum((drop(Test$data$y) - y_hat)^2) / n_test
naive_result <- list(cv.result = cv_naive, beta = beta,
                     Nonzero = c("Original" = Nonzero, "Cut" = Nonzero_cut),
                     MSE = MSE, PRE = PRE)

## cv_base: random select a component as reference
## mu_ratio is set to 0 automatically once ref is set to a integer
ref = sample(1:p, 1)
cv_base <- cv.FuncompCGL(y = Data$data$y, X = Data$data$Comp,
                         Zc = Data$data$Zc, intercept = Data$data$intercept,
                         k = k_list, foldid = foldid, keep = TRUE,
                         ref = ref)
plot(cv_base, k = k_list)
beta <-  coef(cv_base, trim = FALSE, s = "lam.min")
k_opt <- cv_base$Ftrim$lam.min['df']
beta_C <- matrix(beta[1:(p*k_opt)], byrow = TRUE, nrow = p)
## satisfies zero-sum constraints
cat("colSums:", colSums(beta_C))
Nonzero <- (1:p)[apply(beta_C, 1, function(x) max(abs(x)) >0)]
beta_curve <- splines::bs(sseq, df = k_opt, intercept = TRUE) %*% t(beta_C)
Curve_L2 <- colSums(beta_curve^2) - colSums(beta_curve[c(1, nrow(beta_curve)), ]^2) / 2
Curve_L2 <- sqrt(Curve_L2 * (Data$basis.info[2,1] - Data$basis.info[1,1]))
cutoff <- sum(Curve_L2) / p
Nonzero_cut <- (1:p)[which(Curve_L2 >= cutoff)]
y_hat <- predict(cv_base, Data$data$Comp, Data$data$Zc, s = "lam.min")
MSE <- sum((drop(Data$data$y) - y_hat)^2) / n_train
y_hat <- predict(cv_base, Test$data$Comp, Test$data$Zc, s = "lam.min")
PRE <- sum((drop(Test$data$y) - y_hat)^2) / n_test
base_result <- list(cv.result = cv_base, beta = beta,
                    Nonzero = c("Original" = Nonzero, "Cut" = Nonzero_cut),
                    MSE = MSE, PRE = PRE)



[Package Compack version 0.1.0 Index]