#' constructionModelesLassoMLE #' #' TODO: description #' #' @param ... #' #' @return ... #' #' export constructionModelesLassoMLE = function(phiInit, rhoInit, piInit, gamInit, mini, maxi, gamma, X, Y, seuil, tau, selected, ncores=3, verbose=FALSE) { if (ncores > 1) { cl = parallel::makeCluster(ncores) parallel::clusterExport( cl, envir=environment(), varlist=c("phiInit","rhoInit","gamInit","mini","maxi","gamma","X","Y","seuil", "tau","selected","ncores","verbose") ) } # Individual model computation computeAtLambda <- function(lambda) { if (ncores > 1) require("valse") #// nodes start with an ampty environment if (verbose) print(paste("Computations for lambda=",lambda)) n = dim(X)[1] p = dim(phiInit)[1] m = dim(phiInit)[2] k = dim(phiInit)[3] sel.lambda = selected[[lambda]] # col.sel = which(colSums(sel.lambda)!=0) #if boolean matrix col.sel <- which( sapply(sel.lambda,length) > 0 ) #if list of selected vars if (length(col.sel) == 0) return (NULL) # lambda == 0 because we compute the EMV: no penalization here res = EMGLLF(phiInit[col.sel,,],rhoInit,piInit,gamInit,mini,maxi,gamma,0, X[,col.sel],Y,tau) # Eval dimension from the result + selected phiLambda2 = res_EM$phi rhoLambda = res_EM$rho piLambda = res_EM$pi phiLambda = array(0, dim = c(p,m,k)) for (j in seq_along(col.sel)) phiLambda[col.sel[j],,] = phiLambda2[j,,] dimension = 0 for (j in 1:p) { b = setdiff(1:m, sel.lambda[,j]) if (length(b) > 0) phiLambda[j,b,] = 0.0 dimension = dimension + sum(sel.lambda[,j]!=0) } # on veut calculer la vraisemblance avec toutes nos estimations densite = vector("double",n) for (r in 1:k) { delta = Y%*%rhoLambda[,,r] - (X[, col.sel]%*%phiLambda[col.sel,,r]) densite = densite + piLambda[r] * det(rhoLambda[,,r])/(sqrt(2*base::pi))^m * exp(-tcrossprod(delta)/2.0) } llhLambda = c( sum(log(densite)), (dimension+m+1)*k-1 ) list("phi"= phiLambda, "rho"= rhoLambda, "pi"= piLambda, "llh" = llhLambda) } #Pour chaque lambda de la grille, on calcule les coefficients out = if (ncores > 1) parLapply(cl, glambda, computeAtLambda) else lapply(glambda, computeAtLambda) if (ncores > 1) parallel::stopCluster(cl) out }