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Correctly handling the case λmax = 0. #53

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Correctly handling the case λmax = 0. #53

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3ccd5f0
Correctly handling the case λmax = 0.
barankarakus Sep 6, 2020
f4a3923
Update src/Lasso.jl
barankarakus Sep 20, 2020
5636fed
Replacing equality with approximate equality.
Sep 20, 2020
5ac04f7
Added test for case: zero variation in y.
Sep 20, 2020
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4 changes: 4 additions & 0 deletions src/Lasso.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -209,6 +209,10 @@ const MAX_DEV_FRAC = 0.999
# Compute automatic λ values based on λmax and λminratio
function computeλ(λmax, λminratio, α, nλ)
λmax /= α
if λmax == 0
@info "The penalized coefficients equal zero for all values of the regularisation parameter λ."
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return [λmax]
end
logλmax = log(λmax)
exp.(range(logλmax, stop=logλmax + log(λminratio), length=nλ))
end
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40 changes: 22 additions & 18 deletions src/coordinate_descent.jl
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Expand Up @@ -685,7 +685,7 @@ function StatsBase.fit!(path::RegularizationPath{S,T}; verbose::Bool=false, irls
niter = 0
if nλ == 0
i = 0
else
elseif i <= nλ # need this check because it is possible that autoλ is true and nλ is 1
while true # outer loop
obj = convert(T, Inf)
last_dev_ratio = dev_ratio
Expand Down Expand Up @@ -776,6 +776,7 @@ function StatsBase.fit!(path::RegularizationPath{S,T}; verbose::Bool=false, irls
end
end

i = min(i, nλ)
path.λ = path.λ[1:i]
path.pct_dev = pct_dev[1:i]
path.coefs = coefs[:, 1:i]
Expand Down Expand Up @@ -819,29 +820,32 @@ function StatsBase.fit!(path::RegularizationPath{S,T}; verbose::Bool=false,
i = 1
end

while true # outer loop
last_dev_ratio = dev_ratio
curλ = λ[i]
if i <= nλ # need this check because it is possible that autoλ is true and nλ is 1
while true # outer loop
last_dev_ratio = dev_ratio
curλ = λ[i]

# Run coordinate descent
niter += cdfit!(newcoef, cd, curλ, criterion)
# Run coordinate descent
niter += cdfit!(newcoef, cd, curλ, criterion)

dev_ratio = cd.dev/nulldev
pct_dev[i] = 1 - dev_ratio
addcoefs!(coefs, newcoef, i)
b0s[i] = intercept(newcoef, cd)
dev_ratio = cd.dev/nulldev
pct_dev[i] = 1 - dev_ratio
addcoefs!(coefs, newcoef, i)
b0s[i] = intercept(newcoef, cd)

# Test whether we should continue
if i == nλ || (stopearly && autoλ && (last_dev_ratio - dev_ratio < MIN_DEV_FRAC_DIFF ||
pct_dev[i] > MAX_DEV_FRAC))
break
end
# Test whether we should continue
if i == nλ || (stopearly && autoλ && (last_dev_ratio - dev_ratio < MIN_DEV_FRAC_DIFF ||
pct_dev[i] > MAX_DEV_FRAC))
break
end

verbose && println("$i: λ=$curλ, pct_dev=$(pct_dev[i])")
poststep(path, cd, i, newcoef)
i += 1
verbose && println("$i: λ=$curλ, pct_dev=$(pct_dev[i])")
poststep(path, cd, i, newcoef)
i += 1
end
end

i = min(i, nλ)
path.λ = path.λ[1:i]
path.pct_dev = pct_dev[1:i]
path.coefs = coefs[:, 1:i]
Expand Down