wip: RMReg

tensorPredictors/R/RMReg.R

@@ -12,6 +12,9 @@
 #' The least squares loss combined with \eqn{f(s) = \lambda \sum_i |s_i|}
 #' corresponds to the nuclear norm regularization problem.
 #'
+#' In case of \code{lambda = Inf} the maximum penalty \eqn{\lambda} is computed.
+#' In this case the return value is only estimate as a single value.
+#'
 #' @param X the singnal data ether as a 3D tensor or a 2D matrix. In case of a
 #'  3D tensor the axis are assumed to be \eqn{n\times p\times q} meaning the
 #'  first dimension are the observations while the second and third are the
@@ -20,8 +23,7 @@
 #' @param Z additional covariate vector (can be \code{NULL} if not required.
 #'  For regression with intercept set \code{Z = rep(1, n)})
 #' @param y univariate response vector
-#' @param lambda penalty term (note: range between 0 and max. signular value
-#'  of the least squares solution gives non-trivial results)
+#' @param lambda penalty term, if set to \code{Inf} 
 #' @param loss loss function, part of the objective function
 #' @param grad.loss gradient with respect to \eqn{B} of the loss function
 #'  (required, there is no support for numerical gradients)
@@ -68,21 +70,30 @@ RMReg <- function(X, Z, y, lambda = 0,
     }
 
     ### Set initial values
-    # singular values of B1 (require only current point, not previous B0)
+    # Note: Naming convention; a name ending with 1 is the current iterate while
+    # names ending with 0 are the previous iterate value.
+    # Init singular values of B1 (require only current point, not previous B0)
     if (missing(B0)) {
         b1 <- rep(0, min(shape))
     } else {
         b1 <- La.svd(B0, 0, 0)$d
     }
+    # Init current to previous (start position)
     B1 <- B0
     a0 <- 0
     a1 <- 1
     loss1 <- loss(B1, beta, X, Z, y)
 
+    # Start without, the nesterov momentum is zero anyway
+    no.nesterov <- TRUE
     ### Repeat untill convergence
     for (iter in 1:max.iter) {
-        # Extrapolation (Nesterov Momentum)
+        # Extrapolation with Nesterov Momentum
+        if (no.nesterov) {
+            S <- B1
+        } else {
             S <- B1 + ((a0 - 1) / a1) * (B1 - B0)
+        }
 
         # Solve for beta at extrapolation point
         if (!is.null(ZZiZ)) {
@@ -97,12 +108,18 @@ RMReg <- function(X, Z, y, lambda = 0,
             # (potential) next step with delta as stepsize for gradient update
             A <- S - delta * grad
 
-            if (lambda > 0) {
+            if (lambda == Inf) {
+                # Application of Corollary 1 (only nuclear norm supported) to
+                # estimate maximum lambda. In this case (first time this line is
+                # hit when lambda set to Inf, then B is zero (ignore B0 param))
+                lambda.max <- max(La.svd(A, 0, 0)$d) / delta
+                return(lambda.max)
+            } else if (lambda > 0) {
                 # SVD of (potential) next step
                 svdA <- La.svd(A)
 
                 # Get (potential) next penalized iterate (nuclear norm version only)
-                b.temp <- pmax(0, svdA$d - lambda)  # Singular values of B.temp
+                b.temp <- pmax(0, svdA$d - delta * lambda)  # Singular values of B.temp
                 B.temp <- svdA$u %*% (b.temp * svdA$vt)
             } else {
                 # in case of no penalization (pure least squares solution)
@@ -131,16 +148,24 @@ RMReg <- function(X, Z, y, lambda = 0,
         # After gradient update enforce descent (stop if not decreasing)
         loss.temp <- loss(B.temp, beta, X, Z, y)
         if (loss.temp + penalty(b.temp) <= loss1 + penalty(b1)) {
+            no.nesterov <- FALSE
             loss1 <- loss.temp
             B0 <- B1
             B1 <- B.temp
             b1 <- b.temp
+        } else if (!no.nesterov) {
+            # Retry without Nesterov extrapolation
+            no.nesterov <- TRUE
+            next
         } else {
             break
         }
 
-        # Stop if estimate is zero
-        if (all(b1 < .Machine$double.eps)) {
+        # If estimate is zero, stop algorithm
+        if (all(b.temp < .Machine$double.eps)) {
+            loss1 <- loss.temp
+            B1 <- array(0, dim = shape)
+            b1 <- rep(0, min(shape))
             break
         }
 
@@ -166,6 +191,7 @@ RMReg <- function(X, Z, y, lambda = 0,
         iter = iter,
         df = df,
         loss = loss1,
+        lambda = lambda,
         AIC = loss1 / var(y) + 2 * df,
         BIC = loss1 / var(y) + log(nrow(X)) * df,
         call = match.call() # invocing function call, collects params like lambda