ordered_ml {ocf}

Ordered Machine Learning

Description

Estimation strategy to estimate conditional choice probabilities for ordered non-numeric outcomes.

Usage

ordered_ml(y = NULL, X = NULL, learner = "forest", scale = TRUE)

Arguments

y

Outcome vector.

X

Covariate matrix (no intercept).

learner

String, either "forest" or "l1". Selects the base learner to estimate each expectation.

scale

Logical, whether to scale the covariates. Ignored if learner is not "l1".

Details

Ordered machine learning expresses conditional choice probabilities as the difference between the cumulative probabilities of two adjacent classes, which in turn can be expressed as conditional expectations of binary variables:

p_m \left( X_i \right) = \mathbb{E} \left[ 1 \left( Y_i \leq m \right) | X_i \right] - \mathbb{E} \left[ 1 \left( Y_i \leq m - 1 \right) | X_i \right]

Then we can separately estimate each expectation using any regression algorithm and pick the difference between the m-th and the (m-1)-th estimated surfaces to estimate conditional probabilities.

ordered_ml combines this strategy with either regression forests or penalized logistic regression with an L1 penalty, according to the user-specified parameter learner.

If learner == "forest", then the orf function is called from an external package, as this estimator has already been proposed by Lechner and Okasa (2019).

If learner == "l1", the penalty parameters are chosen via 10-fold cross-validation and model.matrix is used to handle non-numeric covariates. Additionally, if scale == TRUE, the covariates are scaled to have zero mean and unit variance.

Value

Object of class oml.

Author(s)

Riccardo Di Francesco

See Also

multinomial_ml, ocf

Examples

## Load data from orf package.
set.seed(1986)

library(orf)
data(odata)
odata <- odata[1:100, ] # Subset to reduce elapsed time.

y <- as.numeric(odata[, 1])
X <- as.matrix(odata[, -1])

## Training-test split.
train_idx <- sample(seq_len(length(y)), floor(length(y) * 0.5))

y_tr <- y[train_idx]
X_tr <- X[train_idx, ]

y_test <- y[-train_idx]
X_test <- X[-train_idx, ]

## Fit ordered machine learning on training sample using two different learners.
ordered_forest <- ordered_ml(y_tr, X_tr, learner = "forest")
ordered_l1 <- ordered_ml(y_tr, X_tr, learner = "l1")

## Predict out of sample.
predictions_forest <- predict(ordered_forest, X_test)
predictions_l1 <- predict(ordered_l1, X_test)

## Compare predictions.
cbind(head(predictions_forest), head(predictions_l1))