multi_optim {regsem}

Multiple starts for Regularized Structural Equation Modeling

Description

Multiple starts for Regularized Structural Equation Modeling

Usage

multi_optim(
  model,
  max.try = 10,
  lambda = 0,
  alpha = 0.5,
  gamma = 3.7,
  random.alpha = 0.5,
  LB = -Inf,
  UB = Inf,
  par.lim = c(-Inf, Inf),
  block = TRUE,
  full = TRUE,
  type = "lasso",
  optMethod = "rsolnp",
  gradFun = "ram",
  pars_pen = "regressions",
  diff_par = NULL,
  hessFun = "none",
  tol = 1e-05,
  round = 3,
  solver = FALSE,
  quasi = FALSE,
  solver.maxit = 50000,
  alpha.inc = FALSE,
  line.search = FALSE,
  prerun = FALSE,
  step = 0.1,
  momentum = FALSE,
  step.ratio = FALSE,
  verbose = FALSE,
  warm.start = FALSE,
  Start2 = NULL,
  nlminb.control = NULL,
  max.iter = 500
)

Arguments

model

Lavaan output object. This is a model that was previously run with any of the lavaan main functions: cfa(), lavaan(), sem(), or growth(). It also can be from the efaUnrotate() function from the semTools package. Currently, the parts of the model which cannot be handled in regsem is the use of multiple group models, missing other than listwise, thresholds from categorical variable models, the use of additional estimators other than ML, most notably WLSMV for categorical variables. Note: the model does not have to actually run (use do.fit=FALSE), converge etc... regsem() uses the lavaan object as more of a parser and to get sample covariance matrix.

max.try

number of starts to try before convergence.

lambda

Penalty value. Note: higher values will result in additional convergence issues.

alpha

Mixture for elastic net.

gamma

Additional penalty for MCP and SCAD

random.alpha

Alpha parameter for randomised lasso. Has to be between 0 and 1, with a default of 0.5. Note this is only used for "rlasso", which pairs with stability selection.

LB

lower bound vector. Note: This is very important to specify when using regularization. It greatly increases the chances of converging.

UB

Upper bound vector

par.lim

Vector of minimum and maximum parameter estimates. Used to stop optimization and move to new starting values if violated.

block

Whether to use block coordinate descent

full

Whether to do full gradient descent or block

type

Penalty type. Options include "none", "lasso", "enet" for the elastic net, "alasso" for the adaptive lasso and "diff_lasso". If ridge penalties are desired, use type="enet" and alpha=1. diff_lasso penalizes the discrepency between parameter estimates and some pre-specified values. The values to take the deviation from are specified in diff_par. Two methods for sparser results than lasso are the smooth clipped absolute deviation, "scad", and the minimum concave penalty, "mcp". Last option is "rlasso" which is the randomised lasso to be used for stability selection.

optMethod

Solver to use. Two main options for use: rsoolnp and coord_desc. Although slightly slower, rsolnp works much better for complex models. coord_desc uses gradient descent with soft thresholding for the type of of penalty. Rsolnp is a nonlinear solver that doesn't rely on gradient information. There is a similar type of solver also available for use, slsqp from the nloptr package. coord_desc can also be used with hessian information, either through the use of quasi=TRUE, or specifying a hess_fun. However, this option is not recommended at this time.

gradFun

Gradient function to use. Recommended to use "ram", which refers to the method specified in von Oertzen & Brick (2014). Only for use with optMethod="coord_desc".

pars_pen

Parameter indicators to penalize. There are multiple ways to specify. The default is to penalize all regression parameters ("regressions"). Additionally, one can specify all loadings ("loadings"), or both c("regressions","loadings"). Next, parameter labels can be assigned in the lavaan syntax and passed to pars_pen. See the example.Finally, one can take the parameter numbers from the A or S matrices and pass these directly. See extractMatrices(lav.object)$A.

diff_par

Parameter values to deviate from. Only used when type="diff_lasso".

hessFun

Hessian function to use. Currently not recommended.

tol

Tolerance for coordinate descent

round

Number of digits to round results to

solver

Whether to use solver for coord_desc

quasi

Whether to use quasi-Newton. Currently not recommended.

solver.maxit

Max iterations for solver in coord_desc

alpha.inc

Whether alpha should increase for coord_desc

line.search

Use line search for optimization. Default is no, use fixed step size

prerun

Logical. Use rsolnp to first optimize before passing to gradient descent? Only for use with coord_desc.

step

Step size

momentum

Momentum for step sizes

step.ratio

Ratio of step size between A and S. Logical

verbose

Whether to print iteration number.

warm.start

Whether start values are based on previous iteration. This is not recommended.

Start2

Provided starting values. Not required

nlminb.control

list of control values to pass to nlminb

max.iter

Number of iterations for coordinate descent

Value

fit Full set of output from regsem()

Examples

## Not run: 
# Note that this is not currently recommended. Use cv_regsem() instead
library(regsem)
# put variables on same scale for regsem
HS <- data.frame(scale(HolzingerSwineford1939[ ,7:15]))
mod <- '
f =~ x1 + x2 + x3 + x4 + x5 + x6 + x7 + x8 + x9
'
outt = cfa(mod, HS, meanstructure=TRUE)

fit1 <- multi_optim(outt, max.try=40,
                   lambda=0.1, type="lasso")


# growth model
model <- ' i =~ 1*t1 + 1*t2 + 1*t3 + 1*t4
          s =~ 0*t1 + s1*t2 + s2*t3 + 3*t4 '
fit <- growth(model, data=Demo.growth)
summary(fit)
fitmeasures(fit)
fit3 <- multi_optim(fit, lambda=0.2, type="lasso")
summary(fit3)

## End(Not run)