Merge pull request #24 from GregFa/dev

v1.1.1

- updated backtransform functions
- updated function to get one-standard-error lambda value
- updated tests
- updated ci.yml

.github/workflows/ci.yml

@@ -46,6 +46,6 @@ jobs:
         env:
           JULIA_NUM_THREADS: 4
       - uses: julia-actions/julia-processcoverage@v1
-      - uses: codecov/codecov-action@v1
+      - uses: codecov/codecov-action@v2
         with:
           file: lcov.info

Project.toml

@@ -1,7 +1,7 @@
 name = "MatrixLMnet"
 uuid = "436227dc-6146-11e9-240b-9df6ee45b799"
 authors = ["Jane Liang", "Zifan Yu", "Gregory Farage", "Saunak Sen"]
-version = "1.1.0"
+version = "1.1.1"
 
 [deps]
 DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0"
@@ -24,7 +24,8 @@ julia = "1.6.4, 1"
 [extras]
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 Helium = "3f79f04f-7cac-48b4-bde1-3ad54d8f74fa"
+StableRNGs = "860ef19b-820b-49d6-a774-d7a799459cd3"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [targets]
-test = ["Distributions", "Helium", "Test"]
+test = ["Distributions", "Helium", "StableRNGs", "Test"]

src/MatrixLMnet.jl

@@ -19,13 +19,8 @@ using MLBase
 
 
 export Response, Predictors, RawData, get_X, get_Z, get_Y, contr, 
-    add_intercept, remove_intercept, shuffle_rows, shuffle_cols,
-    cd!, cd_active!, ista!, fista!, fista_bt!, admm!, 
-    mlmnet, Mlmnet, coef, coef_2d, predict, fitted, resid, 
-    mlmnet_perms, 
-    make_folds, make_folds_conds, mlmnet_cv, Mlmnet_cv,
-    avg_mse, lambda_min, avg_prop_zero, mlmnet_cv_summary,
-    mlmnet_bic, Mlmnet_bic, calc_bic, mlmnet_bic_summary
+    add_intercept, remove_intercept, shuffle_rows, shuffle_cols
+
 
 
 
@@ -39,25 +34,36 @@ include("methods/ista.jl")
 include("methods/fista.jl")
 include("methods/fista_bt.jl")
 include("methods/admm.jl")
+export cd!, cd_active!, ista!, fista!, fista_bt!, admm!
 
 # Top level functions that call Elastic Net algorithms using warm starts
 include("mlmnet/mlmnet.jl")
+export mlmnet, Mlmnet   
 
 # Predictions and residuals
 include("utilities/predict.jl")
+export coef, predict, fitted, resid#, coef_2d,
 
 # Permutations
 include("mlmnet/mlmnet_perms.jl")
+export mlmnet_perms
 
 # Cross-validation
 include("crossvalidation/mlmnet_cv_helpers.jl")
+export make_folds, make_folds_conds
 include("crossvalidation/mlmnet_cv.jl")
+export mlmnet_cv, Mlmnet_cv
 include("crossvalidation/mlmnet_cv_summary.jl")
+export calc_avg_mse, lambda_min, calc_avg_prop_zero, mlmnet_cv_summary 
 
 # BIC validation
 include("bic/mlmnet_bic_helpers.jl")
+export calc_bic
 include("bic/mlmnet_bic.jl")
+export mlmnet_bic, Mlmnet_bic
 include("bic/mlmnet_bic_summary.jl")
+export mlmnet_bic_summary
+
 
 
 end

src/crossvalidation/mlmnet_cv.jl

@@ -539,4 +539,58 @@ function mlmnet_cv(data::RawData,
                   isVerbose=isVerbose, toNormalize=toNormalize, 
                   stepsize=stepsize, setStepsize=setStepsize, dig=dig, funArgs...)
 
+end
+
+
+"""
+    mlmnet_cv(data::RawData, 
+                      lambdas::Array{Float64,1},
+                      rowFolds::Array{Array{Int64,1},1}, 
+                      colFolds::Array{Array{Int64,1},1}
+                      method::String="ista", 
+                      isNaive::Bool=false,
+                      addXIntercept::Bool=true, addZIntercept::Bool=true, 
+                      toXReg::BitArray{1}=trues(size(get_X(data), 2)), 
+                      toZReg::BitArray{1}=trues(size(get_Z(data), 2)), 
+                      toXInterceptReg::Bool=false, toZInterceptReg::Bool=false, 
+                      toNormalize::Bool=true, isVerbose::Bool=true, 
+                      stepsize::Float64=0.01, setStepsize::Bool=true, 
+                      dig::Int64=12, funArgs...)
+
+Performs cross-validation for `mlmnet` using non-overlapping row and column 
+folds randomly generated using calls to `make_folds`. Calls the base 
+`mlmnet_cv` function. 
+
+
+"""
+
+function mlmnet_cv(data::RawData, 
+                      lambdas::Array{Float64,1},
+                      rowFolds::Array{Array{Int64,1},1}, 
+                      colFolds::Array{Array{Int64,1},1};
+                      method::String="ista", 
+                      isNaive::Bool=false,
+                      addXIntercept::Bool=true, addZIntercept::Bool=true, 
+                      toXReg::BitArray{1}=trues(size(get_X(data), 2)), 
+                      toZReg::BitArray{1}=trues(size(get_Z(data), 2)), 
+                      toXInterceptReg::Bool=false, toZInterceptReg::Bool=false, 
+                      toNormalize::Bool=true, isVerbose::Bool=true, 
+                      stepsize::Float64=0.01, setStepsize::Bool=true, 
+                      dig::Int64=12, funArgs...)
+
+
+
+    alphas = [1.0]
+
+    # Pass in randomly generated row and column folds to the base mlmnet_cv 
+    # function
+    mlmnet_cv(data, lambdas, alphas, rowFolds, colFolds; 
+                  method=method, isNaive=isNaive, 
+                  addXIntercept=addXIntercept, addZIntercept=addZIntercept, 
+                  toXReg=toXReg, toZReg=toZReg, 
+                  toXInterceptReg=toXInterceptReg, 
+                  toZInterceptReg=toZInterceptReg, 
+                  isVerbose=isVerbose, toNormalize=toNormalize, 
+                  stepsize=stepsize, setStepsize=setStepsize, dig=dig, funArgs...)
+
 end

src/crossvalidation/mlmnet_cv_helpers.jl

@@ -111,6 +111,11 @@ function findnotin(a::AbstractArray{Int64,1}, b::AbstractArray{Int64,1})
     end
 end
 
+# CHECK if [] is an argument
+# WHY not using setdiff(collect(1:n), vec)
+
+
+
 """
         calc_mse(MLMNets::AbstractArray{Mlmnet,1}, data::RawData, 
                   lambdas::AbstractArray{Float64,1}, 
@@ -233,4 +238,51 @@ function calc_prop_zero(MLMNets::AbstractArray{Mlmnet,1},
     end
 
     return propZero
+end
+"""
+    minimize_rows(indices::Vector{CartesianIndex{2}})
+
+Processes a vector of `CartesianIndex` objects representing positions in a 2D matrix 
+and returns a new vector of CartesianIndex objects. Each element in the resulting vector 
+should represent the smallest row index for each unique column index.
+
+# Arguments 
+
+- indices = 1d array of `CartesianIndex` objects representing positions in a 2D matrix
+
+# Value
+
+1d array of `CartesianIndex` objects representing the smallest row index for each unique 
+column index.
+
+# Example
+```julia
+julia> input_indices = [CartesianIndex(1, 1), CartesianIndex(2, 1), CartesianIndex(3, 2), CartesianIndex(1, 2)]
+
+julia> output_indices = minimize_rows(input_indices)
+2-element Vector{CartesianIndex{2}}:
+ CartesianIndex(1, 2)
+ CartesianIndex(1, 1)
+```
+"""
+function minimize_rows(indices::Vector{CartesianIndex{2}})
+    # Dictionary to hold the minimum row index for each column
+    min_rows = Dict{Int, Int}()
+
+    for index in indices
+        col = index[2]
+        row = index[1]
+
+        # Update the dictionary with the minimum row for each column
+        if haskey(min_rows, col)
+            min_rows[col] = min(min_rows[col], row)
+        else
+            min_rows[col] = row
+        end
+    end
+
+    # Create a vector of CartesianIndices from the dictionary
+    result_indices = [CartesianIndex(min_rows[col], col) for col in keys(min_rows)]
+
+    return result_indices
 end

src/crossvalidation/mlmnet_cv_summary.jl

@@ -152,12 +152,19 @@ function lambda_min(MLMNet_cv::Mlmnet_cv)
     minIdy = argmin(mseMean)[2]
 
     # Compute standard error across folds for the minimum MSE
-    mse1StdErr = mseMean[minIdx, minIdy] + mseStd[minIdx, minIdy]
+    mse1StdErr = mseMean[minIdx, minIdy] + mseStd[minIdx, minIdy]./sqrt(length(MLMNet_cv.rowFolds))
     # Find the index of the lambda that is closest to being 1 SE greater than 
     # the lowest lambda, in the direction of the bigger lambdas
-    min1StdErrIdx = argmin(abs.(mseMean[1:minIdx[1], 1:minIdy[1]].-mse1StdErr))[1]
-    min1StdErrIdy = argmin(abs.(mseMean[1:minIdx[1], 1:minIdy[1]].-mse1StdErr))[2]
+    # the “one-standard-error rule” recommended by Hastie, Tibshirani, and Wainwright (2015, 13–14) 
+    # instead of the λ that minimizes the CV function. The one-standard-error rule selects, for each α, 
+    # the largest λ for which the CV function is within a standard error of the minimum of the CV function. 
+    # Then, from among these (α,λ) pairs, the one with the smallest value of the CV function is selected.
+    mse1tmp = mse1StdErr .-mseMean;
+    idxMin1StdErr =  minimize_rows(findall(mse1tmp .>= 0)) 
 
+    min1StdErrIdx = idxMin1StdErr[argmin(mseMean[idxMin1StdErr])][1]
+    min1StdErrIdy = idxMin1StdErr[argmin(mseMean[idxMin1StdErr])][2]
+
     # Pull out summary information for these two lambdas
     out = hcat(MLMNet_cv.lambdas[minIdx], MLMNet_cv.alphas[minIdy], 
                mseMean[minIdx, minIdy], prop_zeroMean[minIdx, minIdy])

src/mlmnet/mlmnet.jl

@@ -261,6 +261,10 @@ function mlmnet(data::RawData,
         error("toZReg does not have same length as number of columns in Z.")
     end 
 
+    # create a copy of data to preserve original values and structure
+    data = RawData(Response(data.response.Y),Predictors(data.predictors.X, data.predictors.Z))
+
+
     # Add X and Z intercepts if necessary
     # Update toXReg and toZReg accordingly
     if addXIntercept==true && data.predictors.hasXIntercept==false
@@ -375,10 +379,7 @@ function mlmnet(data::RawData,
 
     # Back-transform coefficient estimates, if necessary. 
     # Case if including both X and Z intercepts:
-    if toNormalize == true && (addXIntercept==true) && (addZIntercept==true)
-        backtransform!(coeffs, meansX, meansZ, normsX, normsZ, get_Y(data), 
-                       data.predictors.X, data.predictors.Z)
-    elseif toNormalize == true # Otherwise
+    if toNormalize == true 
         backtransform!(coeffs, addXIntercept, addZIntercept, meansX, meansZ, 
                        normsX, normsZ)
     end
@@ -435,4 +436,3 @@ function mlmnet(data::RawData,
   return rslts
 end
 
-