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update README; local::.
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.github/workflows/R-CMD-check.yaml

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@@ -42,7 +42,7 @@ jobs:
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- uses: r-lib/actions/setup-r-dependencies@v2
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with:
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extra-packages: any::rcmdcheck
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extra-packages: any::rcmdcheck, local::.
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needs: check
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- uses: r-lib/actions/check-r-package@v2

README.Rmd

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@@ -38,18 +38,20 @@ matrix, making them user-friendly and useful for researchers and practitioners.
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$$
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\hat{\Omega}(\lambda,\alpha,\gamma) = {\arg\min}_{\Omega \succ 0}
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\{ -\log\det(\Omega) + \text{tr}(S\Omega) + \lambda P_{\alpha,\gamma}(\Omega) \},
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\left\{ -\log\det(\Omega) + \text{tr}(S\Omega)
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+ \mathcal{P}_{\lambda,\alpha,\gamma}(\Omega) \right\},
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$$
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$$
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P_{\alpha,\gamma}(\Omega)
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= \alpha P^\text{idv}_\gamma(\Omega) + (1-\alpha) P^\text{grp}_\gamma(\Omega),
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\mathcal{P}_{\lambda,\alpha,\gamma}(\Omega)
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= \alpha \mathcal{P}^\text{idv}_{\lambda,\gamma}(\Omega) + (1-\alpha) \mathcal{P}^\text{grp}_{\lambda,\gamma}(\Omega),
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$$
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$$
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P^\text{idv}_\gamma(\Omega) = \sum_{i,j} p_\gamma(\vert\omega_{ij}\vert),
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\mathcal{P}^\text{idv}_{\lambda,\gamma}(\Omega)
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= \sum_{i,j} P_{\lambda,\gamma}(\lvert\omega_{ij}\rvert),
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$$
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$$
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P^\text{grp}_\gamma(\Omega)
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= \sum_{g,g^\prime} p_\gamma(\Vert\Omega_{gg^\prime}\Vert_F).
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\mathcal{P}^\text{grp}_{\lambda,\gamma}(\Omega)
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= \sum_{g,g^\prime} P_{\lambda,\gamma}(\lVert\Omega_{gg^\prime}\rVert_F).
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$$
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set.seed(1234)
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## block-structured precision matrix based on SBM
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sim <- gen_prec_sbm(d = 30, K = 3,
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sim <- gen_prec_sbm(p = 30, K = 3,
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within.prob = 0.25, between.prob = 0.05,
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weight.dists = list("gamma", "unif"),
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weight.paras = list(c(shape = 20, rate = 10),

README.md

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@@ -15,16 +15,23 @@ The goal of **grasps** is to provide a collection of statistical methods that
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incorporate both element-wise and group-wise penalties to estimate a precision
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matrix, making them user-friendly and useful for researchers and practitioners.
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$$\hat{\Omega}(\lambda,\alpha,\gamma) = {\arg\min}_{\Omega \succ 0}
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\{ -\log\det(\Omega) + \text{tr}(S\Omega) + \lambda P_{\alpha,\gamma}(\Omega) \},$$
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$$P_{\alpha,\gamma}(\Omega)
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= \alpha P^\text{idv}_\gamma(\Omega) + (1-\alpha) P^\text{grp}_\gamma(\Omega),$$
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$$P^\text{idv}_\gamma(\Omega) = \sum_{i,j} p_\gamma(\vert\omega_{ij}\vert),$$
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$$P^\text{grp}_\gamma(\Omega)
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= \sum_{g,g^\prime} p_\gamma(\Vert\Omega_{gg^\prime}\Vert_F).$$
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$$
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\hat{\Omega}(\lambda,\alpha,\gamma) = {\arg\min}_{\Omega \succ 0}
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\left\{ -\log\det(\Omega) + \text{tr}(S\Omega)
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+ \mathcal{P}_{\lambda,\alpha,\gamma}(\Omega) \right\},
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$$
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$$
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\mathcal{P}_{\lambda,\alpha,\gamma}(\Omega)
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= \alpha \mathcal{P}^\text{idv}_{\lambda,\gamma}(\Omega) + (1-\alpha) \mathcal{P}^\text{grp}_{\lambda,\gamma}(\Omega),
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$$
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$$
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\mathcal{P}^\text{idv}_{\lambda,\gamma}(\Omega)
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= \sum_{i,j} P_{\lambda,\gamma}(\lvert\omega_{ij}\rvert),
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$$
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$$
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\mathcal{P}^\text{grp}_{\lambda,\gamma}(\Omega)
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= \sum_{g,g^\prime} P_{\lambda,\gamma}(\lVert\Omega_{gg^\prime}\rVert_F).
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$$
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For more details, see the vignette
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[Penalized Precision Matrix Estimation in grasps](https://shiying-xiao.com/grasps/articles/pen_est#sparse-group-estimator).
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set.seed(1234)
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## block-structured precision matrix based on SBM
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sim <- gen_prec_sbm(d = 30, K = 3,
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sim <- gen_prec_sbm(p = 30, K = 3,
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within.prob = 0.25, between.prob = 0.05,
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weight.dists = list("gamma", "unif"),
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weight.paras = list(c(shape = 20, rate = 10),
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plot(res)
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```
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<img src="man/figures/README-unnamed-chunk-2-1.png" width="100%" />
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<img src="man/figures/README-unnamed-chunk-2-1.png" alt="" width="100%" />
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``` r
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## performance
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performance(hatOmega = res$hatOmega, Omega = sim$Omega)
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#> measure value
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#> 1 sparsity 0.9103
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#> 2 Frobenius 24.6796
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#> 3 KL 7.2063
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#> 4 quadratic 54.1949
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#> 5 spectral 13.1336
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#> 2 Frobenius 24.6557
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#> 3 KL 7.2100
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#> 4 quadratic 54.4284
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#> 5 spectral 13.1234
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#> 6 TP 22.0000
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#> 7 TN 370.0000
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#> 8 FP 17.0000
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