X-Git-Url: https://git.auder.net/img/js/current/gitweb.css?a=blobdiff_plain;f=pkg%2FR%2FconstructionModelesLassoMLE.R;h=3967dfcf623892689d186b6ab7ee8979ddde35ed;hb=e32621012b1660204434a56acc8cf73eac42f477;hp=ba6f125cb16d94c6de8bdc65dd855578398b12c5;hpb=43d76c49d2f98490abc782c7e8a8b94baee40247;p=valse.git diff --git a/pkg/R/constructionModelesLassoMLE.R b/pkg/R/constructionModelesLassoMLE.R deleted file mode 100644 index ba6f125..0000000 --- a/pkg/R/constructionModelesLassoMLE.R +++ /dev/null @@ -1,91 +0,0 @@ -#' constructionModelesLassoMLE -#' -#' Construct a collection of models with the Lasso-MLE procedure. -#' -#' @param phiInit an initialization for phi, get by initSmallEM.R -#' @param rhoInit an initialization for rho, get by initSmallEM.R -#' @param piInit an initialization for pi, get by initSmallEM.R -#' @param gamInit an initialization for gam, get by initSmallEM.R -#' @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 gamma integer for the power in the penaly, by default = 1 -#' @param X matrix of covariates (of size n*p) -#' @param Y matrix of responses (of size n*m) -#' @param eps real, threshold to say the EM algorithm converges, by default = 1e-4 -#' @param S output of selectVariables.R -#' @param ncores Number of cores, by default = 3 -#' @param fast TRUE to use compiled C code, FALSE for R code only -#' @param verbose TRUE to show some execution traces -#' -#' @return a list with several models, defined by phi, rho, pi, llh -#' -#' @export -constructionModelesLassoMLE = function( phiInit, rhoInit, piInit, gamInit, mini, maxi,gamma, X, Y, - eps, S, ncores=3, fast=TRUE, verbose=FALSE) -{ - if (ncores > 1) - { - cl = parallel::makeCluster(ncores, outfile='') - parallel::clusterExport( cl, envir=environment(), - varlist=c("phiInit","rhoInit","gamInit","mini","maxi","gamma","X","Y","eps", - "S","ncores","fast","verbose") ) - } - - # Individual model computation - computeAtLambda <- function(lambda) - { - if (ncores > 1) - require("valse") #nodes start with an empty 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 = S[[lambda]]$selected -# col.sel = which(colSums(sel.lambda)!=0) #if boolean matrix - col.sel <- which( sapply(sel.lambda,length) > 0 ) #if list of selected vars - if (length(col.sel) == 0) - return (NULL) - - # lambda == 0 because we compute the EMV: no penalization here - res = EMGLLF(phiInit[col.sel,,],rhoInit,piInit,gamInit,mini,maxi,gamma,0, - X[,col.sel], Y, eps, fast) - - # Eval dimension from the result + selected - phiLambda2 = res$phi - rhoLambda = res$rho - piLambda = res$pi - phiLambda = array(0, dim = c(p,m,k)) - for (j in seq_along(col.sel)) - phiLambda[col.sel[j],sel.lambda[[j]],] = phiLambda2[j,sel.lambda[[j]],] - dimension = length(unlist(sel.lambda)) - - # Computation of the loglikelihood - densite = vector("double",n) - for (r in 1:k) - { - if (length(col.sel)==1){ - delta = (Y%*%rhoLambda[,,r] - (X[, col.sel]%*%t(phiLambda[col.sel,,r]))) - } else delta = (Y%*%rhoLambda[,,r] - (X[, col.sel]%*%phiLambda[col.sel,,r])) - densite = densite + piLambda[r] * - det(rhoLambda[,,r])/(sqrt(2*base::pi))^m * exp(-diag(tcrossprod(delta))/2.0) - } - llhLambda = c( sum(log(densite)), (dimension+m+1)*k-1 ) - list("phi"= phiLambda, "rho"= rhoLambda, "pi"= piLambda, "llh" = llhLambda) - } - - # For each lambda, computation of the parameters - out = - if (ncores > 1) - parLapply(cl, 1:length(S), computeAtLambda) - else - lapply(1:length(S), computeAtLambda) - - if (ncores > 1) - parallel::stopCluster(cl) - - out -}