#' Implementation of the CVE method. #' #' Conditional Variance Estimator (CVE) is a novel sufficient dimension #' reduction (SDR) method assuming a model #' \deqn{Y \sim g(B'X) + \epsilon}{Y ~ g(B'X) + epsilon} #' where B'X is a lower dimensional projection of the predictors. #' #' @param formula Formel for the regression model defining `X`, `Y`. #' See: \code{\link{formula}}. #' @param data data.frame holding data for formula. #' @param method The different only differe in the used optimization. #' All of them are Gradient based optimization on a Stiefel manifold. #' \itemize{ #' \item "simple" Simple reduction of stepsize. #' \item "sgd" stocastic gradient decent. #' \item TODO: further #' } #' @param ... Further parameters depending on the used method. #' @examples #' library(CVE) #' #' # sample dataset #' ds <- dataset("M5") #' #' # call ´cve´ with default method (aka "simple") #' dr.simple <- cve(ds$Y ~ ds$X, k = ncol(ds$B)) #' # plot optimization history (loss via iteration) #' plot(dr.simple, main = "CVE M5 simple") #' #' # call ´cve´ with method "linesearch" using ´data.frame´ as data. #' data <- data.frame(Y = ds$Y, X = ds$X) #' # Note: ´Y, X´ are NOT defined, they are extracted from ´data´. #' dr.linesearch <- cve(Y ~ ., data, method = "linesearch", k = ncol(ds$B)) #' plot(dr.linesearch, main = "CVE M5 linesearch") #' #' @references Fertl L., Bura E. Conditional Variance Estimation for Sufficient Dimension Reduction, 2019 #' #' @seealso \code{\link{formula}}. For a complete parameters list (dependent on #' the method) see \code{\link{cve_simple}}, \code{\link{cve_sgd}} #' @import stats #' @importFrom stats model.frame #' @export cve <- function(formula, data, method = "simple", ...) { # check for type of `data` if supplied and set default if (missing(data)) { data <- environment(formula) } else if (!is.data.frame(data)) { stop('Parameter `data` must be a `data.frame` or missing.') } # extract `X`, `Y` from `formula` with `data` model <- stats::model.frame(formula, data) X <- as.matrix(model[,-1, drop = FALSE]) Y <- as.matrix(model[, 1, drop = FALSE]) # pass extracted data on to [cve.call()] dr <- cve.call(X, Y, method = method, ...) # overwrite `call` property from [cve.call()] dr$call <- match.call() return(dr) } #' @param nObs as describet in the Paper. #' @param X Data #' @param Y Responces #' @param nObs Like in the paper. #' @param k guess for SDR dimension. #' @param ... Method specific parameters. #' @rdname cve #' @export cve.call <- function(X, Y, method = "simple", nObs = nrow(X)^.5, k, ...) { # TODO: replace default value of `k` by `max.dim` when fast enough if (missing(k)) { stop("TODO: parameter `k` (rank(B)) is required, replace by `max.dim`.") } # parameter checking if (!is.matrix(X)) { stop('X should be a matrices.') } if (is.matrix(Y)) { Y <- as.vector(Y) } if (nrow(X) != length(Y)) { stop('Rows of X and number of Y elements are not compatible.') } if (ncol(X) < 2) { stop('X is one dimensional, no need for dimension reduction.') } # Call specified method. method <- tolower(method) if (method == 'simple') { dr <- cve_simple(X, Y, k, nObs = nObs, ...) } else if (method == 'sgd') { dr <- cve_sgd(X, Y, k, nObs = nObs, ...) } else { stop('Got unknown method.') } # augment result information dr$method <- method dr$call <- match.call() class(dr) <- "cve" return(dr) } # TODO: write summary # summary.cve <- function() { # # code # # } #' Ploting helper for objects of class \code{cve}. #' #' @param x Object of class \code{cve} (result of [cve()]). #' @param content Specifies what to plot: #' \itemize{ #' \item "history" Plots the loss history from stiefel optimization #' (default). #' \item ... TODO: add (if there are any) #' } #' @param ... Pass through parameters to [plot()] and [lines()] #' #' @usage ## S3 method for class 'cve' #' plot(x, content = "history", ...) #' @seealso see \code{\link{par}} for graphical parameters to pass through #' as well as \code{\link{plot}} for standard plot utility. #' @importFrom graphics plot lines points #' @method plot cve #' @export plot.cve <- function(x, ...) { H <- x$history H_1 <- H[!is.na(H[, 1]), 1] defaults <- list( main = "History", xlab = "Iterations i", ylab = expression(loss == L[n](V^{(i)})), xlim = c(1, nrow(H)), ylim = c(0, max(H)), type = "l" ) call.plot <- match.call() keys <- names(defaults) keys <- keys[match(keys, names(call.plot)[-1], nomatch = 0) == 0] for (key in keys) { call.plot[[key]] <- defaults[[key]] } call.plot[[1L]] <- quote(plot) call.plot$x <- quote(1:length(H_1)) call.plot$y <- quote(H_1) eval(call.plot) if (ncol(H) > 1) { for (i in 2:ncol(H)) { H_i <- H[H[, i] > 0, i] lines(1:length(H_i), H_i) } } x.ends <- apply(H, 2, function(h) { length(h[!is.na(h)]) }) y.ends <- apply(H, 2, function(h) { tail(h[!is.na(h)], n=1) }) points(x.ends, y.ends) } #' Prints a summary of a \code{cve} result. #' @param object Instance of 'cve' as return of \code{cve}. #' @method summary cve #' @export summary.cve <- function(object, ...) { cat('Summary of CVE result - Method: "', object$method, '"\n', '\n', 'Dataset size: ', nrow(object$X), '\n', 'Data Dimension: ', ncol(object$X), '\n', 'SDR Dimension: ', object$k, '\n', 'loss: ', object$loss, '\n', '\n', 'Called via:\n', ' ', sep='') print(object$call) }