W2IP: 2-Wasserstein distance selection by Integer Programming

Description

2-Wasserstein distance selection by Integer Programming

Usage

W2IP(
  X,
  Y = NULL,
  theta,
  transport.method = transport_options(),
  model.size = NULL,
  nvars = NULL,
  maxit = 100L,
  infimum.maxit = 100L,
  tol = 1e-07,
  solver = c("cone", "lp", "mosek", "cplex", "gurobi"),
  display.progress = FALSE,
  parallel = NULL,
  ...
)

Arguments

X: Covariates
Y: Predictions from arbitrary model
theta: Parameters of original linear model. Required
transport.method: Method for Wasserstein distance calculation. Should be one of the outputs of transport_options().
model.size: Maximum number of coefficients in interpretable model
nvars: The number of variables to explore. Should be an integer vector of model sizes. Default is NULL which will explore all models from 1 to model.size.
maxit: Maximum number of solver iterations
infimum.maxit: Maximum iterations to alternate binary program and Wasserstein distance calculation
tol: Tolerance for convergence of coefficients
solver: The solver to use. Must be one of "cone","lp", "cplex", "gurobi","mosek".
display.progress: Should progress be printed?
parallel: foreach back end. See foreach::foreach() for more details.
...: Extra args to Wasserstein distance methods

Details

For argument solution.method, options "cone" and "lp" use the free solvers "ECOS" and "lpSolver", respectively. "cplex", "gurobi" and "mosek" require installing the corresponding commercial solvers.