Introduction and Dependencies

We define several functions to do a kernel-based ridge regression, and subsequent cross-validation. This is a technique for general non-linear regression using kernels. A complete treatment of the theory behind this can be found in Hastie, Tibshirani and Friedman (2016), specifically section 5.8. A linear kernel can be used for a generalized kernel-based linear regression. However, kernels that fit nonlinear functions in feature space are maps to a linear function in Hilbert space, hence the name of the function klm. The only dependency is :

• kernlab available in CRAN.

Please consult the kernlab manual to become familiar with this package, and available kernels it provides.

Usage

Suppose we have a dataset with n observations, k descriptors and 1 response variable. Then we have an n x 1 response vector, Y and an n x k descriptor matrix, X. It is recommended that X be normalized by column (by descriptor) and Y be shifted by its mean.

For a given kernel, we refer to the n x n kernel matrix as G.

klm

klm(G, y, lambda)

• G - the n x n kernel matrix
• y - the n x 1 response vector
• lambda - a meta-parameter, scale factor. Values too large will result in robust models at the expense of predictive performance. Values too small will result in overfitting (or error in computation if extremely small).

Output of klm

Outputs a named list, which can be referenced with usual $, containing:

• $z - the solution matrix
• $b - a constant added to each variable, often referred to to b₀ in standard linear models. It is calculated as the negative mean of G x z.
• $pred - the vector of predicted response values on the training data.
• $err - the vector of errors of the predicted values.
• $mse - the mean squared error.
• $G - returns original G.

predict.klm

predict.klm(G, test_samp, train_model)

• G - the n x n kernel matrix
• test_samp - the indices of the columns of G that will act as the test set.
• train_model - trained klm, trained on the training set.

Output of predict.klm

Outputs a vector consisting of the predicted values of the test set. One random partition is used and all partitions are exhausted.

cv.klm

Perform cross-validation on klm.

cv.klm(G, y, lambda, cv=5)

• G - the n x n kernel matrix
• y - the n x 1 response vector
• lambda - a meta-parameter, scale factor. Values too large will result in
• cv - number of cross validation "folds". For "leave one out" set to 'LOOCV' or the size of data set.

Output of cv.klm

Outputs a named list, which can be referenced with usual $, containing:

• $train_mse - list of training set mean squared errors, for each "fold".
• $test_mse - list of test set mean squared errors, for each "fold".
• $train_rse - square root of train_mse.
• $test_rse - square root of test_mse.
• $preds - a list containing cv number of lists, each the predicted values for each fold.
• $test_sd - standard deviation of test_rse.

mccv.klm

Perform monte-carlo cross-validation on klm. A new random partition is generated with each fold. Observations can be used multiple times, and some observations may not be used.

mccv.klm(G, y, lambda, cv=5)

• G - the n x n kernel matrix
• y - the n x 1 response vector
• lambda - a meta-parameter, scale factor. Values too large will result in
• cv - number of cross validation "folds". For "leave one out" set to 'LOOCV' or the size of data set.

Output of mccv.klm

Outputs a named list, which can be referenced with usual $, containing:

• $train_mse - list of training set mean squared errors, for each "fold".
• $test_mse - list of test set mean squared errors, for each "fold".
• $train_rse - square root of train_mse.
• $test_rse - square root of test_mse.
• $preds - a list containing cv number of lists, each the predicted values for each fold.
• $test_sd - standard deviation of test_rse.

find_best_gamma

Iterates klm method over possible values of gamma to find the best performing one, based on test-set performance with cv or mccv.

find_best_gamma(X, y, gammas, cv=5, lambda=1 , scale=FALSE, scale_lam=0.1, cv_type="cv")

• X - the original predictor matrix (not kernel matrix).
• y - the n x 1 response vector.
• gammas - list of values of gamma to be iterated over.
• cv - number of cross validation "folds" for each iteration. For "leave one out" set to 'LOOCV' or the size of data set.
• lambda - global value to be used for all iterations, if not scale.
• scale - boolean, if TRUE (default), a new lambda is choosen during each iteration, as a percentage of the largest eigenvalue of the kernel matrix.
• scale_lam - percentage of largest eigenvalue to be used as lambda on each iteration.
• cv_type - 'cv' (default) or 'mccv'.

Output of find_best_gamma

Outputs a named list, which can be referenced with usual $, containing:

• $train - list of the mean training mse for each gamma.
• $test - list of the mean test mse for each gamma.
• $best_mse - test set mse for best gamma.
• $best_sd - mean standard deviation of best gamma.
• $best_gamma - best gamma, with minimum test set prediction error.
• $best_rse - mean test set rse for best gamma.
• $train_rse - list of mean training set rse for each gamma.
• $test_rse - list of mean test set rse for each gamma.
• $test_sds - list of mean test set sd for each gamma.

find_best_lambda

Iterates klm method over possible values of lambda, while fixing gamma, to find the best performing one, based on test-set performance with cv or mccv.

find_best_lambda(X, y, lambdas, cv=5, gamma=1 , cv_type="cv")

• X - the original predictor matrix (not kernel matrix).
• y - the n x 1 response vector.
• lambdas - list of values of lambda to be iterated over.
• cv - number of cross validation "folds" for each iteration. For "leave one out" set to 'LOOCV' or the size of data set.
• gamma - global value to fix gamma at.
• cv_type - 'cv' (default) or 'mccv'.

Output of find_best_lambda

Outputs a named list, which can be referenced with usual $, containing:

• $train - list of the mean training mse for each lambda.
• $test - list of the mean test mse for each lambda.
• $best_mse - test set mse for best lambda.
• $best_sd - mean standard deviation of best lambda.
• $best_lambda - best lambda, with minimum test set prediction error.
• $best_rse - mean test set rse for best lambda.
• $train_rse - list of mean training set rse for each lambda.
• $test_rse - list of mean test set rse for each lambda.
• $test_sds - list of mean test set sd for each lambda.

Some example code

library(ISwR)

X <- scale(bp.obese$obese)
y <- bp.obese$bp - mean(bp.obese$bp)

## Save ridge.R in pwd and include with source("filename")
source("ridge.R")

gammas <- c(0.00001, 0.0001, 0.001,
	    0.005, 0.01, 0.05,
	    0.1, 0.5, 2,
	    5, 10, 50, 100, 1000)
lambda=500
ptm <- proc.time()
best <- find_best_gamma(X, y, gammas, cv=20, lambda=lambda)

## Vector containing mean training-set mse's for each gamma
print("$train: ")
best$train


## Vector containing mean test-set mse's for each gamma
print("$test: ")
best$test

## Vector containing mean test mse's for each gamma
print("$best_mse: ")
best$best_mse


## Vector containing mean test rse=sqrt(mse) for each gamma
print("$test_rse: ")
best$rse


## To get list of normalized test performance errors
print("Normalized performance errors: ")
best$test_rse/mean(bp.obese$bp)


## Mean test-set rse for best gamma
print("$best_rse: ")
best$best_rse

## To get performance of best gamma
print("Best normalized performance error: ")
best$best_rse/mean(bp.obese$bp)


## Vector containing mean sd for each gamma
print("$test_sd: ")
best$test_sd

## Sd of best gamma
print("$best_sd: ")
best$best_sd

## Best gamma
print("Best gamma: ")
best$best_gamma

proc.time() - ptm

Sources

Hastie Trevor, Tibshirani Robert and Friedman Jerome. 2016. The Elements of Statistical Learning: Data mining, Inference and Prediction, Second Edition (Springer Series in Statistics). Springer.