BrokenAdaptiveRidge is an R package for
performing L_0-based regressions using Cyclops
library(Cyclops)
library(BrokenAdaptiveRidge)
## data dimension
p <- 30 # number of covariates
n <- 200 # sample size
## logistic model parameters
itcpt <- 0.2 # intercept
true.beta <- c(1, 0, 0, -1, 1, rep(0, p - 5))
## simulate data from logistic model
set.seed(100)
x <- matrix(rnorm(p * n, mean = 0, sd = 1), ncol = p)
x <- ifelse(abs(x) > 1., 1, 0)
y <- rbinom(n, 1, 1 / (1 + exp(-itcpt - x%*%true.beta)))
# fit BAR model
cyclopsData <- createCyclopsData(y ~ x, modelType = "lr")
barPrior <- createBarPrior(penalty = 0.1, exclude = c("(Intercept)"),
initialRidgeVariance = 1)
cyclopsFit <- fitCyclopsModel(cyclopsData,
prior = barPrior)
fit1 <- coef(cyclopsFit)
# fit BAR using sparse-represented covariates
tmp <- apply(x, 1, function(x) which(x != 0))
y.df <- data.frame(rowId = 1:n, y = y)
x.df <- data.frame(rowId = rep(1:n, lengths(tmp)), covariateId = unlist(tmp), covariateValue = 1)
cyclopsData <- convertToCyclopsData(outcomes = y.df, covariates = x.df, modelType = "lr")
barPrior <- createFastBarPrior(penalty = 0.1, exclude = c("(Intercept)"),
initialRidgeVariance = 1)
fit2 <- coef(cyclopsFit)
# fit BAR using cyclic algorithm
cyclopsData <- createCyclopsData(y ~ x, modelType = "lr")
barPrior <- createFastBarPrior(penalty = 0.1, exclude = c("(Intercept)"),
initialRidgeVariance = 1)
cyclopsFit <- fitCyclopsModel(cyclopsData,
prior = barPrior)
fit3 <- coef(cyclopsFit)
fit1
fit2
fit3Requires R (version 3.2.0 or higher).
CyclopsBrokenAdaptiveRidge:install.packages("devtools")
library(devtools)
install.packages("ohdsi/Cyclops")
install_github("ohdsi/BrokenAdaptiveRidge") library(BrokenAdaptiveRidge)
cyclopsData <- createCyclopsData(formula, modelType = "modelType") ## TODO: Update
barPrior <- createBarPrior(penalty = lambda / 2, initialRidgeVariance = 2 / xi)
cyclopsFit <- fitCyclopsModel(cyclopsData, prior = barPrior)
coef(cyclopsFit) #Extract coefficientsBrokenAdaptiveRidge is licensed under Apache License
2.0.
BrokenAdaptiveRidge is being developed in R Studio.