oscar.pareto {oscar}

Retrieve a set of pareto-optimal points for an oscar-model based on model goodness-of-fit or cross-validation

Description

This function retrieves the set of pareto optimal points for an oscar model fit in n-proportional time as cardinality axis is readily sorted. It is advisable to optimize model generalization (via cross-validation) rather than mere goodness-of-fit.

Usage

oscar.pareto(fit, cv, xval = "cost", weak = FALSE, summarize = mean)

Arguments

fit

Fit oscar S4-object

cv

A cross-validation matrix as produced by oscar.cv; if CV is not provided, then goodness-of-fit from fit object itself is used rather than cross-validation generalization metric

xval

The x-axis to construct pareto front based on; by default 'cost' vector for features/kits, can also be 'cardinality'/'k'

weak

If weak pareto-optimality is allowed; by default FALSE.

summarize

Function that summarizes over cross-validation folds; by default, this is the mean over the k-folds.

Value

A data.frame containing points and indices at which pareto optimal points exist

Examples

if(interactive()){
  data(ex)
  fit <- oscar(x=ex_X, y=ex_Y, k=ex_K, w=ex_c, family='cox')
  fit_cv <- oscar.cv(fit, fold=10)
  oscar.pareto(fit, cv=fit_cv)
}