50% off: Unlimited data and AI learning.
State of Data and AI Literacy Report 2025

CPGLIB

This package provides functions to generate ensembles of generalized linear models using competing proximal gradients.


Installation

You can install the stable version on R CRAN.

install.packages("CPGLIB", dependencies = TRUE)

You can install the development version from GitHub

library(devtools)
devtools::install_github("AnthonyChristidis/CPGLIB")

Usage

# Required Libraries
library(mvnfast)

# Sigmoid function
sigmoid <- function(t){
  return(exp(t)/(1+exp(t)))
}

# Data simulation
set.seed(1)
n <- 50
N <- 2000
p <- 300
beta.active <- c(abs(runif(p, 0, 1/2))*(-1)^rbinom(p, 1, 0.3))
# Parameters
p.active <- 150
beta <- c(beta.active[1:p.active], rep(0, p-p.active))
Sigma <- matrix(0, p, p)
Sigma[1:p.active, 1:p.active] <- 0.5
diag(Sigma) <- 1

# Train data
x.train <- rmvn(n, mu = rep(0, p), sigma = Sigma) 
prob.train <- sigmoid(x.train %*% beta)
y.train <- rbinom(n, 1, prob.train)

# Test data
x.test <- rmvn(N, mu = rep(0, p), sigma = Sigma)
prob.test <- sigmoid(x.test %*% beta + offset)
y.test <- rbinom(N, 1, prob.test)
mean(y.test)
sp.sen.par <- y.test==0

# CPGLIB - CV (Multiple Groups)
cpg.out <- cv.cpg(x.train, y.train,
                  type="Logistic",
                  G=5, include_intercept=TRUE,
                  alpha_s=3/4, alpha_d=4/4,
                  n_lambda_sparsity=100, n_lambda_diversity=100,
                  tolerance=1e-3, max_iter=1e3,
                  n_folds=5,
                  n_threads=1)

# Coefficients
cpg.coef <- coef(cpg.out, ensemble_average=TRUE)

# Plot of predicted probabilities
cpg.prob <- predict(cpg.out, x.test,  groups=1:cpg.out$G, class_type="prob", ensemble_type="Model-Avg")
plot(prob.test, cpg.prob, pch=20)
abline(h=0.5,v=0.5)

# Misclassification rate
cpg.class <- predict(cpg.out, x.test, groups=1:10, class_type="class", ensemble_type="Model-Avg")
mean(abs(y.test-cpg.class))

License

This package is free and open source software, licensed under GPL (>= 2).

Copy Link

Version

Install

install.packages('CPGLIB')

Monthly Downloads

241

Version

1.1.2

License

GPL (>= 2)

Maintainer

Anthony Christidis

Last Published

March 30th, 2025