A Group Forward and Backward Stagewise (GFabs) algorithm for Group penalized problems.
GFabs uses coordinate descent with a fixed step size which consists of both forward and backward steps. At each step, the first-order Taylor's expansion is used to reflect the main part of the increment.
#install Rtools 3.5 (http://cran.r-project.org/bin/windows/Rtools)
#install.packages("devtools")
#install.packages("Rcpp")
library(devtools)
install_github("XiaoZhangryy/GFabs")
- GFabs-manual ------------ Details of the usage of the package.
library(GFabs)
library(mvtnorm)
sigma = outer(1:20, 1:20, FUN = function(x, y) 0.3^(abs(x - y)))
x = rmvnorm(100, mean = rep(0,20), sigma = sigma)
u = runif(100)
b = cbind(5*sin(2*pi*u), 5*cos(2*pi*u), 5, -5, matrix(0, 100, 16))
error = c(0.7*rnorm(100)+0.3*rcauchy(100))
y = rowSums(x * b) + error
fit <- GFabs_vc(x, y, u)
All the simulation results can be reproduced by using the codes at simulation.
Model Selection for Transformation Model with High Dimensional Varying Coefficients. Manuscript.
The R-package is developed by Xiao Zhang (zhangxiao_0422@163.com) and Xingjie Shi.