README

# Install the devtools or remotes package if you don't have it
# install.packages("devtools")

# Ensure that you have the Rcpp package installed with version >=1.0.13
devtools::install_github("Tathagata-S/autotune")

When installing from GitHub, in order to build the package from source, you need to have the appropriate R development tools installed (Rtools on Windows, or these tools on Mac).

Installation with vignette

Vignette provides the full details of different functionalities of autotune and is recommended for understanding our package better. You can build the vignette while installing the development version from GitHub:

# install.packages("devtools")

devtools::install_github("Tathagata-S/autotune", build_vignettes = TRUE, dependencies = TRUE)

vignette("autotune-lasso-vignette")

Here’s a quick example:

library(autotune)
?autotune_lasso

set.seed(10)
n <- 80
p <- 400
s <- 5
snr <- 4
betatrue <- c(rep(1,s), rep(0, p - s))
x <- matrix(rnorm(n * p), ncol = p)
error.sd <- sqrt((betatrue %*% betatrue)/snr)

err <- rnorm(n, sd = error.sd)
y <- x %*% betatrue + err
y <- y - mean(y)

ans <- autotune_lasso(x, y, trace_it = T)

b <- betatrue
# The Predictors which are actually significant:
which(b != 0)
# The Predictors which had nonzero estimated coefficients:
which(ans$beta != 0)
# Top 10 predictors X_i's in the ranking of X_i's given by autotune:
ans$CD.path.details$sorted_predictors[1:10]
# No of significant predictors in each CD iteration when sigma_hat is allowed to vary:
ans$CD.path.details$count_sig_beta
# Sigma estimates in each CD iteration:
ans$CD.path.details$sigma_sq_seq
# Empirical noise variance:
var(err)