#' valse #' #' Main function #' #' @param X matrix of covariates (of size n*p) #' @param Y matrix of responses (of size n*m) #' @param procedure among 'LassoMLE' or 'LassoRank' #' @param selecMod method to select a model among 'DDSE', 'DJump', 'BIC' or 'AIC' #' @param gamma integer for the power in the penaly, by default = 1 #' @param mini integer, minimum number of iterations in the EM algorithm, by default = 10 #' @param maxi integer, maximum number of iterations in the EM algorithm, by default = 100 #' @param eps real, threshold to say the EM algorithm converges, by default = 1e-4 #' @param kmin integer, minimum number of clusters, by default = 2 #' @param kmax integer, maximum number of clusters, by default = 10 #' @param rang.min integer, minimum rank in the low rank procedure, by default = 1 #' @param rang.max integer, maximum rank in the #' #' @return a list with estimators of parameters #' #' @examples #' #TODO: a few examples #' @export valse = function(X,Y,procedure = 'LassoMLE',selecMod = 'DDSE',gamma = 1,mini = 10, maxi = 50,eps = 1e-4,kmin = 2,kmax = 2, rang.min = 1,rang.max = 10) { #################### # compute all models #################### p = dim(X)[2] m = dim(Y)[2] n = dim(X)[1] model = list() tableauRecap = array(0, dim=c(1000,4)) cpt = 0 print("main loop: over all k and all lambda") for (k in kmin:kmax) { print(k) print("Parameters initialization") #smallEM initializes parameters by k-means and regression model in each component, #doing this 20 times, and keeping the values maximizing the likelihood after 10 #iterations of the EM algorithm. init = initSmallEM(k, X, Y) phiInit <- init$phiInit rhoInit <- init$rhoInit piInit <- init$piInit gamInit <- init$gamInit grid_lambda <- computeGridLambda(phiInit, rhoInit, piInit, gamInit, X, Y, gamma, mini, maxi, eps) if (length(grid_lambda)>100) grid_lambda = grid_lambda[seq(1, length(grid_lambda), length.out = 100)] print("Compute relevant parameters") #select variables according to each regularization parameter #from the grid: A1 corresponding to selected variables, and #A2 corresponding to unselected variables. params = selectiontotale(phiInit,rhoInit,piInit,gamInit,mini,maxi,gamma,grid_lambda,X,Y,1e-8,eps) #params2 = selectVariables(phiInit,rhoInit,piInit,gamInit,mini,maxi,gamma,grid_lambda[seq(1,length(grid_lambda), by=3)],X,Y,1e-8,eps) ## etrange : params et params 2 sont différents ... selected <- params$selected Rho <- params$Rho Pi <- params$Pi if (procedure == 'LassoMLE') { print('run the procedure Lasso-MLE') #compute parameter estimations, with the Maximum Likelihood #Estimator, restricted on selected variables. model[[k]] = constructionModelesLassoMLE(phiInit, rhoInit,piInit,gamInit,mini,maxi,gamma,X,Y,thresh,eps,selected) llh = matrix(ncol = 2) for (l in seq_along(model[[k]])) llh = rbind(llh, model[[k]][[l]]$llh) LLH = llh[-1,1] D = llh[-1,2] } else { print('run the procedure Lasso-Rank') #compute parameter estimations, with the Low Rank #Estimator, restricted on selected variables. model = constructionModelesLassoRank(Pi, Rho, mini, maxi, X, Y, eps, A1, rank.min, rank.max) ################################################ ### Regarder la SUITE phi = runProcedure2()$phi Phi2 = Phi if (dim(Phi2)[1] == 0) Phi[, , 1:k,] <- phi else { Phi <- array(0, dim = c(p, m, kmax, dim(Phi2)[4] + dim(phi)[4])) Phi[, , 1:(dim(Phi2)[3]), 1:(dim(Phi2)[4])] <<- Phi2 Phi[, , 1:k,-(1:(dim(Phi2)[4]))] <<- phi } } tableauRecap[(cpt+1):(cpt+length(model[[k]])), ] = matrix(c(LLH, D, rep(k, length(model[[k]])), 1:length(model[[k]])), ncol = 4) cpt = cpt+length(model[[k]]) } print('Model selection') tableauRecap = tableauRecap[rowSums(tableauRecap[, 2:4])!=0,] tableauRecap = tableauRecap[(tableauRecap[,1])!=Inf,] data = cbind(1:dim(tableauRecap)[1], tableauRecap[,2], tableauRecap[,2], tableauRecap[,1]) require(capushe) modSel = capushe(data, n) indModSel <- if (selecMod == 'DDSE') as.numeric(modSel@DDSE@model) else if (selecMod == 'Djump') as.numeric(modSel@Djump@model) else if (selecMod == 'BIC') modSel@BIC_capushe$model else if (selecMod == 'AIC') modSel@AIC_capushe$model model[[tableauRecap[indModSel,3]]][[tableauRecap[indModSel,4]]] }