| scout {scout} | R Documentation |
Covariance-regularized regression, aka the Scout.
Description
The main function of the "scout" package. Performs covariance-regularized regression. Required inputs are an x matrix of features (the columns are the features) and a y vector of observations. By default, Scout(2,1) is performed; however, $p_1$ and $p_2$ can be specified (in which case Scout($p_1$, $p_2$) is performed). Also, by default Scout is performed over a grid of lambda1 and lambda2 values, but a different grid of values (or individual values, rather than an entire grid) can be specified.
Usage
scout(x,y,newx,p1=2,p2=1,lam1s=seq(.001,.2,len=10),lam2s=seq(.001,.2,len=10),
rescale=TRUE, trace=TRUE,standardize=TRUE)
Arguments
x |
A matrix of predictors, where the rows are the samples and the columns are the predictors |
y |
A matrix of observations, where length(y) should equal nrow(x) |
newx |
An *optional* argument, consisting of a matrix with ncol(x) columns, at which one wishes to make predictions for each (lam1,lam2) pair. |
p1 |
The $L_p$ penalty for the covariance regularization. Must be one of 1, 2, or NULL. NULL corresponds to no covariance regularization. WARNING: When p1=1, and ncol(x)>500, Scout can be SLOW. We recommend that for very large data sets, you use Scout with p1=2. Also, when ncol(x)>nrow(x) and p1=1, then very small values of lambda1 (lambda1 < 1e-4) will cause problems with graphical lasso, and so those values will be automatically increased to 1e-4. |
p2 |
The $L_p$ penalty for the estimation of the regression coefficients based on the regularized covariance matrix. Must be one of 1 (for $L_1$ regularization) or NULL (for no regularization). |
lam1s |
The (vector of) tuning parameters for regularization of the covariance matrix. Can be NULL if p1=NULL, since then no covariance regularization is taking place. If p1=1 and nrow(x)<ncol(x), then the no value in lam1s should be smaller than 1e-3, because this will cause graphical lasso to take too long. Also, if ncol(x)>500 then we really do not recommend using p1=1, as graphical lasso can be uncomfortably slow. |
lam2s |
The (vector of) tuning parameters for the $L_1$ regularization of the regression coefficients, using the regularized covariance matrix. Can be NULL if p2=NULL. (If p2=NULL, then non-zero lam2s have no effect). A value of 0 will result in no regularization. |
rescale |
Should coefficients beta obtained by covariance-regularized regression be re-scaled by a constant, given by regressing $y$ onto $x beta$? This is done in Witten and Tibshirani (2008) and is important for good performance. Default is TRUE. |
trace |
Print out progress? Prints out each time a lambda1 is completed. This is a good idea, especially when ncol(x) is large. |
standardize |
Should the columns of x be scaled to have standard deviation 1, and should y be scaled to have standard deviation 1, before covariance-regularized regression is performed? This affects the meaning of the penalties that are applied. In general, standardization should be performed. Default is TRUE. |
Value
intercepts |
Returns a matrix of intercepts, of dimension length(lam1s)xlength(lam2s) |
coefficients |
Returns an array of coefficients, of dimension length(lam1s)xlength(lam2s)xncol(x). |
p1 |
p1 value used |
p2 |
p2 value used |
lam1s |
lam1s used |
lam2s |
lam2s used |
Note
When p1=1 and ncol(x)>500 or so, then Scout can be very slow!! Please use p1=2 when ncol(x) is large.
Author(s)
Daniela M. Witten and Robert Tibshirani
References
Witten, DM and Tibshirani, R (2008) Covariance-regularized regression and classification for high-dimensional problems. Journal of the Royal Statistical Society, Series B 71(3): 615-636. <http://www-stat.stanford.edu/~dwitten>
See Also
Examples
library(lars)
data(diabetes)
attach(diabetes)
scout.out <- scout(x2,y,p1=2,p2=1)
print(scout.out)
detach(diabetes)