X-Git-Url: https://git.auder.net/?p=valse.git;a=blobdiff_plain;f=README.md;h=ada56d830d60f65d5273c4925625f2a2300612e0;hp=b48c505500ad61e178175a618ee454aa8a25a6bd;hb=31463ab809c0195273ff2760606ea65361d721ab;hpb=1d3c1faaef57d906a7f12490040398b252ff049d diff --git a/README.md b/README.md index b48c505..ada56d8 100644 --- a/README.md +++ b/README.md @@ -1,53 +1,7 @@ -# model SELECTion +# VAriable seLection with mixtureS of modEls -This code is the applied part of the PhD thesis of [Emilie Devijver](http://www.math.u-psud.fr/~devijver/). +This code is the applied part of the PhD thesis of [Benjamin Gohehry](http://www.math.u-psud.fr/~goehry/). ## Description -The function selmix delivers a multivariate Gaussian mixture in regression model collection. -According to the parameter estimation, we can compute classical model selection criterion, as BIC or AIC, or slope heuristic, using the CAPUSHE package. -The methodology used is described in 'Model-Based Clustering for High-Dimensional Data. Application to Functional Data.', -available at [this location](https://hal.archives-ouvertes.fr/hal-01060063) - -## Arguments - -Regressors, denoted by X (of size n x p) and responses, denoted by Y (of size n x q) are must-have arguments. - -Optionally, we could add - -* gamma: weight power in the Lasso penalty (according to Stadler et al., $\gamma \in \{0,1/2,1\}$; -* mini: the minimum number of iterations; -* maxi: the maximum number of iterations; -* tau: the threshold for stopping EM algorithm; -* kmin and kmax: the bounds of interesting number of components, -* rangmin and rangmax: the bounds of interesting rank values. - -## Usage - - objet = selmix(X,Y) - objet.run(index) - -For index=1, it computes the Lasso-MLE procedure. -For index=2, it computes the Lasso-Rank procedure. - -/!\ Be careful to the current path /!\ - -## Values - -* phiInit, rhoInit, piInit, gamInit: the initialization of the matrices phi, rho, pi and gamma, -* gridLambda: grid of regularization parameters used to select relevant variables (if kmax-kmin=0, it is, if not, it is the last grid of regularization parameters) -* A1,A2: indices of variables selected or not selected (matrices of size (p+1) x q x size(gridLambda)) -* Phi,Rho,Pi: estimations of each parameter thanks to the procedure LassoMLE if compute index=1, and thanks to the procedure LassoRank if computed index=2. - - -## Example - - n=10; - p=10; - q=5; - X=randn(n,p); - Y=randn(n,q); - - objet=selmix(X,Y); - objet.run(1); - objet.run(2); +TODO : see R package