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Merge pull request #32 from ocbe-uio/issue-17
Translated the `hh`-lambda loop
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
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@@ -5,3 +5,4 @@ | |
| src/*.o | ||
| src/*.so | ||
| src/*.dll | ||
| aux/ | ||
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,102 @@ | ||
| hh_nlambda_loop <- function( | ||
| lam, nlambda, beta0, theta0, beta, beta_hat, theta, rho1, X, Z, max_it, | ||
| my_W_hat, XtY, y, N, e.abs, e.rel, alpha, alph, svd.w, tree, my_print, | ||
| invmat, gg, tol, parallel, pal, BETA0, THETA0, BETA, | ||
| BETA_hat, Y_HAT, THETA, D, my_values, legacy = TRUE | ||
| ) { | ||
| if (legacy) { | ||
| obj <- NULL | ||
| non_zero_theta <- NULL | ||
| my_obj <- list() | ||
| n_main_terms <- NULL | ||
| lam_list <- list() | ||
| hh <- 1 | ||
| while (hh <= nlambda) { | ||
| lambda <- lam[hh, ] | ||
|
|
||
| start_time <- Sys.time() | ||
| if (pal) { | ||
| my_values <- admm_MADMMplasso( | ||
| beta0, theta0, beta, beta_hat, theta, rho1, X, Z, max_it, my_W_hat, XtY, | ||
| y, N, e.abs, e.rel, alpha, lambda, alph, svd.w, tree, my_print, invmat, | ||
| gg[hh, ], legacy | ||
| ) | ||
|
|
||
| beta <- my_values$beta | ||
| theta <- my_values$theta | ||
| my_obj[[hh]] <- list(my_values$obj) | ||
| beta0 <- my_values$beta0 | ||
| theta0 <- my_values$theta0 ### iteration | ||
| beta_hat <- my_values$beta_hat | ||
| y_hat <- my_values$y_hat | ||
| } | ||
| cost_time <- Sys.time() - start_time | ||
| if (my_print) { | ||
| print(cost_time) | ||
| } | ||
| if (parallel && !pal) { | ||
| beta <- my_values[hh, ]$beta | ||
| theta <- my_values[hh, ]$theta | ||
| my_obj[[hh]] <- list(my_values[hh, ]$obj) | ||
| beta0 <- my_values[hh, ]$beta0 | ||
| theta0 <- my_values[hh, ]$theta0 ### iteration | ||
| beta_hat <- my_values[hh, ]$beta_hat | ||
| y_hat <- my_values[hh, ]$y_hat | ||
| } else if (!parallel && !pal) { | ||
| beta <- my_values[[hh]]$beta | ||
| theta <- my_values[[hh]]$theta | ||
| my_obj[[hh]] <- list(my_values[[hh]]$obj) | ||
| beta0 <- my_values[[hh]]$beta0 | ||
| theta0 <- my_values[[hh]]$theta0 ### iteration | ||
| beta_hat <- my_values[[hh]]$beta_hat | ||
| y_hat <- my_values[[hh]]$y_hat | ||
| } | ||
| # Executed if par == TRUE, independent of parallel | ||
|
|
||
| beta1 <- as(beta * (abs(beta) > tol), "sparseMatrix") | ||
| theta1 <- as.sparse3Darray(theta * (abs(theta) > tol)) | ||
| beta_hat1 <- as(beta_hat * (abs(beta_hat) > tol), "sparseMatrix") | ||
|
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| n_interaction_terms <- count_nonzero_a((theta1)) | ||
|
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| n_main_terms <- (c(n_main_terms, count_nonzero_a((beta1)))) | ||
|
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| obj1 <- (sum(as.vector((y - y_hat)^2))) / (D * N) | ||
| obj <- c(obj, obj1) | ||
|
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| non_zero_theta <- (c(non_zero_theta, n_interaction_terms)) | ||
| lam_list <- (c(lam_list, lambda)) | ||
|
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||
| BETA0[[hh]] <- beta0 | ||
| THETA0[[hh]] <- theta0 | ||
| BETA[[hh]] <- as(beta1, "sparseMatrix") | ||
| BETA_hat[[hh]] <- as(beta_hat1, "sparseMatrix") | ||
|
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| Y_HAT[[hh]] <- y_hat | ||
| THETA[[hh]] <- as.sparse3Darray(theta1) | ||
|
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| if (my_print) { | ||
| if (hh == 1) { | ||
| print(c(hh, (n_main_terms[hh]), non_zero_theta[hh], obj1)) | ||
| } else { | ||
| print(c(hh, (n_main_terms[hh]), non_zero_theta[hh], obj[hh - 1], obj1)) | ||
| } | ||
| } | ||
|
|
||
| hh <- hh + 1 | ||
| } ### lambda | ||
| out <- list( | ||
| obj = obj, n_main_terms = n_main_terms, non_zero_theta = non_zero_theta, | ||
| BETA0 = BETA0, THETA0 = THETA0, BETA = BETA, BETA_hat = BETA_hat, | ||
| Y_HAT = Y_HAT, THETA = THETA | ||
| ) | ||
| } else { | ||
| out <- hh_nlambda_loop_cpp( | ||
| lam, nlambda, beta0, theta0, beta, beta_hat, theta, rho1, X, Z, max_it, | ||
| my_W_hat, XtY, y, N, e.abs, e.rel, alpha, alph, svd.w, tree, my_print, | ||
| invmat, gg, tol, parallel, pal, BETA0, THETA0, BETA, | ||
| BETA_hat, Y_HAT, THETA, D, my_values | ||
| ) | ||
| } | ||
| return(out) | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,26 @@ | ||
| #include <RcppArmadillo.h> | ||
| Rcpp::List admm_MADMMplasso_cpp( | ||
| const arma::vec beta0, | ||
| const arma::mat theta0, | ||
| arma::mat beta, | ||
| arma::mat beta_hat, | ||
| arma::cube theta, | ||
| const double rho1, | ||
| const arma::mat X, | ||
| const arma::mat Z, | ||
| const int max_it, | ||
| const arma::mat W_hat, | ||
| const arma::mat XtY, | ||
| const arma::mat y, | ||
| const int N, | ||
| const double e_abs, | ||
| const double e_rel, | ||
| const double alpha, | ||
| const arma::vec lambda, | ||
| const double alph, | ||
| const Rcpp::List svd_w, | ||
| const Rcpp::List tree, | ||
| const Rcpp::List invmat, | ||
| const arma::vec gg, | ||
| const bool my_print = true | ||
| ); |
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