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Diffstat (limited to 'R/cd.sparsestep.R')
| -rw-r--r-- | R/cd.sparsestep.R | 73 |
1 files changed, 73 insertions, 0 deletions
diff --git a/R/cd.sparsestep.R b/R/cd.sparsestep.R new file mode 100644 index 0000000..29dbec8 --- /dev/null +++ b/R/cd.sparsestep.R @@ -0,0 +1,73 @@ +#' @title Coordinate descent algorithm for SparseStep +#' +#' +#' @export +#' +sparsestep.cd <- function(x, y, lambdas=NULL, epsilon=1e-5, intercept=TRUE, + ...) +{ + nm <- dim(X) + n <- nm[1] + m <- nm[2] + one <- rep(1, n) + + if (intercept) { + meanx <- drop(one %*% x)/n + x <- scale(x, meanx, FALSE) + mu <- mean(y) + y <- drop(y - mu) + } else { + meanx <- rep(0, m) + mu <- 0 + y <- drop(y) + } + + XX <- t(x) %*% x + Xy <- t(x) %*% y + + #gammas <- 2^(seq(log(1e6)/log(2), log(1e-8)/log(2))) + + num.lambdas <- length(lambdas) + #num.gammas <- length(gammas) + + #betas <- array(0, dim=c(num.gammas, num.lambdas, m)) + betas <- array(0, dim=c(num.lambdas, m)) + for (l in num.lambdas:1) { + lambda <- lambdas[l] + # initialize beta + if (l == num.lambdas) { + beta <- as.vector(matrix(0, 1, m)) + } else { + #beta <- betas[num.gammas, l+1, ] + beta <- betas[l+1, ] + } + + j <- 1 + last.beta <- as.vector(matrix(0, 1, m)) + while (TRUE) { + # code + b <- -2 * x[, j] %*% (y - x[, -j] %*% last.beta[-j]) + a <- x[, j] %*% x[, j] + if (abs(last.beta[j]) > epsilon) { + beta[j] <- b/a + } else { + beta[j] <- (2*b - lambda*sign(last.beta[j]))/ + (2*a) + } + # check convergence + if (sum(abs(beta - last.beta)) < 1e-10) { + break + } else { + last.beta <- beta + } + # continue + j <- j %% m + 1 + } + betas[l, ] <- beta + } + + return(betas) +} + + + |
