TRMF_columns {TRMF} | R Documentation |
Add a column regularization model to TRMF object
Description
Adds a regularization model to TRMF object created by create_TRMF()
to constrain the fitting process of the coefficient matrix.
TRMF_coefficient
is a (soon to be deprecated) alias for TRMF_columns
.
Usage
TRMF_columns(obj,
reg_type = c("l2", "nnls", "constrain", "interval", "none"), lambda = 0.0001)
TRMF_coefficients(obj,
reg_type = c("l2", "nnls", "constrain", "interval", "none"), lambda = 0.0001)
Arguments
obj |
TRMF object created by |
reg_type |
regularization type to apply when fitting TRMF model. |
lambda |
L2 regularization parameter used for all regularization types. If NULL, uses lambda set in create_TRMF(). |
Details
This function doesn't do any computations, it just sets up regularization parameters for the coefficient matrix. This function should only be called once on a TRMF object. If called twice, it will overwrite previous model with a warning.
Value
Returns an updated object of class TRMF.
Author(s)
Chad Hammerquist
References
Yu, Hsiang-Fu, Nikhil Rao, and Inderjit S. Dhillon. "High-dimensional time series prediction with missing values." arXiv preprint arXiv:1509.08333 (2015).
See Also
train.TRMF
, create_TRMF
, TRMF_trend
Examples
# create test data
xm = poly(x = (-10:10)/10,degree=4)
fm = matrix(abs(rnorm(40)),4,10)
Am = xm%*%fm+rnorm(210,0,.2)
# create model
obj = create_TRMF(Am)
obj = TRMF_columns(obj,reg_type ="nnls")
out = train(obj)
plot(out)