Created
May 18, 2015 20:14
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glmnet work-around for a single column design matrix
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local({ | |
myglmnet = function(x, y, family = c("gaussian", "binomial", "poisson", "multinomial", "cox", "mgaussian"), weights, offset = NULL, alpha = 1, nlambda = 100, lambda.min.ratio = ifelse(nobs < nvars, 0.01, 1e-04), lambda = NULL, standardize = TRUE, intercept = TRUE, thresh = 1e-07, dfmax = nvars + 1, pmax = min(dfmax * 2 + 20, nvars), exclude, penalty.factor = rep(1, nvars), lower.limits = -Inf, upper.limits = Inf, maxit = 1e+05, type.gaussian = ifelse(nvars < 500, "covariance", "naive"), type.logistic = c("Newton", "modified.Newton"), standardize.response = FALSE, type.multinomial = c("ungrouped", "grouped")) { | |
family = match.arg(family) | |
if (alpha > 1) { | |
warning("alpha >1; set to 1") | |
alpha = 1 | |
} | |
if (alpha < 0) { | |
warning("alpha<0; set to 0") | |
alpha = 0 | |
} | |
alpha = as.double(alpha) | |
this.call = match.call() | |
nlam = as.integer(nlambda) | |
y = drop(y) | |
np = dim(x) | |
#if (is.null(np) | (np[2] <= 1)) | |
# stop("x should be a matrix with 2 or more columns") | |
nobs = as.integer(np[1]) | |
if (missing(weights)) | |
weights = rep(1, nobs) | |
else if (length(weights) != nobs) | |
stop(paste("number of elements in weights (", length(weights), | |
") not equal to the number of rows of x (", nobs, | |
")", sep = "")) | |
nvars = as.integer(np[2]) | |
dimy = dim(y) | |
nrowy = ifelse(is.null(dimy), length(y), dimy[1]) | |
if (nrowy != nobs) | |
stop(paste("number of observations in y (", nrowy, ") not equal to the number of rows of x (", | |
nobs, ")", sep = "")) | |
vnames = colnames(x) | |
if (is.null(vnames)) | |
vnames = paste("V", seq(nvars), sep = "") | |
ne = as.integer(dfmax) | |
nx = as.integer(pmax) | |
if (!missing(exclude)) { | |
jd = match(exclude, seq(nvars), 0) | |
if (!all(jd > 0)) | |
stop("Some excluded variables out of range") | |
jd = as.integer(c(length(jd), jd)) | |
} | |
else jd = as.integer(0) | |
vp = as.double(penalty.factor) | |
internal.parms = glmnet.control() | |
if (any(lower.limits > 0)) { | |
stop("Lower limits should be non-positive") | |
} | |
if (any(upper.limits < 0)) { | |
stop("Upper limits should be non-negative") | |
} | |
lower.limits[lower.limits == -Inf] = -internal.parms$big | |
upper.limits[upper.limits == Inf] = internal.parms$big | |
if (length(lower.limits) < nvars) { | |
if (length(lower.limits) == 1) | |
lower.limits = rep(lower.limits, nvars) | |
else stop("Require length 1 or nvars lower.limits") | |
} | |
else lower.limits = lower.limits[seq(nvars)] | |
if (length(upper.limits) < nvars) { | |
if (length(upper.limits) == 1) | |
upper.limits = rep(upper.limits, nvars) | |
else stop("Require length 1 or nvars upper.limits") | |
} | |
else upper.limits = upper.limits[seq(nvars)] | |
cl = rbind(lower.limits, upper.limits) | |
if (any(cl == 0)) { | |
fdev = glmnet.control()$fdev | |
if (fdev != 0) { | |
glmnet.control(fdev = 0) | |
on.exit(glmnet.control(fdev = fdev)) | |
} | |
} | |
storage.mode(cl) = "double" | |
isd = as.integer(standardize) | |
intr = as.integer(intercept) | |
if (!missing(intercept) && family == "cox") | |
warning("Cox model has no intercept") | |
jsd = as.integer(standardize.response) | |
thresh = as.double(thresh) | |
if (is.null(lambda)) { | |
if (lambda.min.ratio >= 1) | |
stop("lambda.min.ratio should be less than 1") | |
flmin = as.double(lambda.min.ratio) | |
ulam = double(1) | |
} | |
else { | |
flmin = as.double(1) | |
if (any(lambda < 0)) | |
stop("lambdas should be non-negative") | |
ulam = as.double(rev(sort(lambda))) | |
nlam = as.integer(length(lambda)) | |
} | |
is.sparse = FALSE | |
ix = jx = NULL | |
if (inherits(x, "sparseMatrix")) { | |
is.sparse = TRUE | |
x = as(x, "CsparseMatrix") | |
x = as(x, "dgCMatrix") | |
ix = as.integer(x@p + 1) | |
jx = as.integer(x@i + 1) | |
x = as.double(x@x) | |
} | |
kopt = switch(match.arg(type.logistic), Newton = 0, modified.Newton = 1) | |
if (family == "multinomial") { | |
type.multinomial = match.arg(type.multinomial) | |
if (type.multinomial == "grouped") | |
kopt = 2 | |
} | |
kopt = as.integer(kopt) | |
fit = switch(family, gaussian = elnet(x, is.sparse, ix, jx, | |
y, weights, offset, type.gaussian, alpha, nobs, nvars, | |
jd, vp, cl, ne, nx, nlam, flmin, ulam, thresh, isd, intr, | |
vnames, maxit), poisson = fishnet(x, is.sparse, ix, jx, | |
y, weights, offset, alpha, nobs, nvars, jd, vp, cl, ne, | |
nx, nlam, flmin, ulam, thresh, isd, intr, vnames, maxit), | |
binomial = lognet(x, is.sparse, ix, jx, y, weights, offset, | |
alpha, nobs, nvars, jd, vp, cl, ne, nx, nlam, flmin, | |
ulam, thresh, isd, intr, vnames, maxit, kopt, family), | |
multinomial = lognet(x, is.sparse, ix, jx, y, weights, | |
offset, alpha, nobs, nvars, jd, vp, cl, ne, nx, nlam, | |
flmin, ulam, thresh, isd, intr, vnames, maxit, kopt, | |
family), cox = coxnet(x, is.sparse, ix, jx, y, weights, | |
offset, alpha, nobs, nvars, jd, vp, cl, ne, nx, nlam, | |
flmin, ulam, thresh, isd, vnames, maxit), mgaussian = mrelnet(x, | |
is.sparse, ix, jx, y, weights, offset, alpha, nobs, | |
nvars, jd, vp, cl, ne, nx, nlam, flmin, ulam, thresh, | |
isd, jsd, intr, vnames, maxit)) | |
if (is.null(lambda)) | |
fit$lambda = glmnet:::fix.lam(fit$lambda) | |
fit$call = this.call | |
fit$nobs = nobs | |
class(fit) = c(class(fit), "glmnet") | |
fit | |
} | |
assignInNamespace("glmnet", myglmnet, ns="glmnet") | |
}) |
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