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learner_glmnet.R
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learner_glmnet.R
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#' @title R6 Class to construct a Glmnet learner
#'
#' @description
#' The `LearnerGlmnet` class is the interface to the `glmnet` R package for use
#' with the `mlexperiments` package.
#'
#' @details
#' Optimization metric:
#' Can be used with
#' * [mlexperiments::MLTuneParameters]
#' * [mlexperiments::MLCrossValidation]
#' * [mlexperiments::MLNestedCV]
#'
#' @seealso [glmnet::glmnet()], [glmnet::cv.glmnet()]
#'
#' @examples
#' # binary classification
#'
#' library(mlbench)
#' data("PimaIndiansDiabetes2")
#' dataset <- PimaIndiansDiabetes2 |>
#' data.table::as.data.table() |>
#' na.omit()
#'
#' seed <- 123
#' feature_cols <- colnames(dataset)[1:8]
#'
#' train_x <- model.matrix(
#' ~ -1 + .,
#' dataset[, .SD, .SDcols = feature_cols]
#' )
#' train_y <- as.integer(dataset[, get("diabetes")]) - 1L
#'
#' fold_list <- splitTools::create_folds(
#' y = train_y,
#' k = 3,
#' type = "stratified",
#' seed = seed
#' )
#' glmnet_cv <- mlexperiments::MLCrossValidation$new(
#' learner = mllrnrs::LearnerGlmnet$new(
#' metric_optimization_higher_better = FALSE
#' ),
#' fold_list = fold_list,
#' ncores = 2,
#' seed = 123
#' )
#' glmnet_cv$learner_args <- list(
#' alpha = 1,
#' lambda = 0.1,
#' family = "binomial",
#' type.measure = "class",
#' standardize = TRUE
#' )
#' glmnet_cv$predict_args <- list(type = "response")
#' glmnet_cv$performance_metric_args <- list(positive = "1")
#' glmnet_cv$performance_metric <- mlexperiments::metric("auc")
#'
#' # set data
#' glmnet_cv$set_data(
#' x = train_x,
#' y = train_y
#' )
#'
#' glmnet_cv$execute()
#' @export
#'
LearnerGlmnet <- R6::R6Class( # nolint
classname = "LearnerGlmnet",
inherit = mlexperiments::MLLearnerBase,
public = list(
#' @description
#' Create a new `LearnerGlmnet` object.
#'
#' @param metric_optimization_higher_better A logical. Defines the direction
#' of the optimization metric used throughout the hyperparameter
#' optimization.
#'
#' @return A new `LearnerGlmnet` R6 object.
#'
#' @examples
#' LearnerGlmnet$new(metric_optimization_higher_better = FALSE)
#'
initialize = function(metric_optimization_higher_better) { # nolint
if (!requireNamespace("glmnet", quietly = TRUE)) {
stop(
paste0(
"Package \"glmnet\" must be installed to use ",
"'learner = \"LearnerGlmnet\"'."
),
call. = FALSE
)
}
super$initialize(
metric_optimization_higher_better = metric_optimization_higher_better
)
# type.measure:
# * default: "deviance" (lower = better), for gaussian models, logistic
# and poisson regression
# * "class": misclassification error (lower = better), for binomial and
# multinomial logistic regression
# * "auc": two-class logistic regression
self$environment <- "mllrnrs"
self$cluster_export <- glmnet_ce()
private$fun_optim_cv <- function(...) {
kwargs <- list(...)
stopifnot(
(sapply(
X = c("family", "type.measure"),
FUN = function(x) {
x %in% names(kwargs$params)
}
)),
.check_glmnet_params(kwargs$params,
self$metric_optimization_higher_better)
)
return(do.call(glmnet_optimization, kwargs))
}
private$fun_fit <- glmnet_fit
private$fun_predict <- glmnet_predict
private$fun_bayesian_scoring_function <- function(...) {
kwargs <- list(...)
stopifnot(
(sapply(
X = c("family", "type.measure"),
FUN = function(x) {
x %in% names(kwargs)
}
)),
.check_glmnet_params(kwargs, self$metric_optimization_higher_better)
)
return(do.call(glmnet_bsF, kwargs))
}
}
)
)
.check_glmnet_params <- function(params, higher_better) {
stopifnot(
params$family %in% c("gaussian", "binomial", "poisson",
"multinomial", "mgaussian"),
params$type.measure != "C",
ifelse(
test = params$family == "binomial" &&
params$type.measure == "auc",
yes = isTRUE(higher_better),
no = isFALSE(higher_better)
)
)
TRUE
}
glmnet_ce <- function() {
c("glmnet_optimization", "glmnet_fit")
}
glmnet_bsF <- function(...) { # nolint
kwargs <- list(...)
# call to glmnet_optimization here with ncores = 1, since the
# Bayesian search is parallelized already / "FUN is fitted n times
# in m threads"
set.seed(seed)#, kind = "L'Ecuyer-CMRG")
bayes_opt_glmnet <- glmnet_optimization(
x = x,
y = y,
params = kwargs,
fold_list = method_helper$fold_list,
ncores = 1L, # important, as bayesian search is already parallelized
seed = seed
)
ret <- kdry::list.append(
list("Score" = bayes_opt_glmnet$metric_optim_mean),
bayes_opt_glmnet
)
return(ret)
}
# tune lambda
glmnet_optimization <- function(
x,
y,
params,
fold_list,
ncores,
seed
) {
stopifnot(
is.list(params),
(sapply(
X = c("alpha", "family", "type.measure"),
FUN = function(x) {
x %in% names(params)
}
)),
(!sapply(
X = c("x", "y", "foldid"),
FUN = function(x) {
x %in% names(params)
}
))
)
FUN <- ifelse( # nolint
test = params$family == "binomial" &&
params$type.measure == "auc",
yes = max,
no = min
)
# from the documentation (help("glmnet::cv.glmnet")):
# If users would like to cross-validate alpha as well, they should call
# cv.glmnet with a pre-computed vector foldid, and then use this same
# fold vector in separate calls to cv.glmnet with different values
# of alpha.
glmnet_fids <- kdry::mlh_outsample_row_indices(
fold_list = fold_list,
dataset_nrows = nrow(x),
type = "glmnet"
)
# initialize the parallel backend, if required
if (ncores > 1L) {
cl <- kdry::pch_register_parallel(ncores)
on.exit(
expr = {
kdry::pch_clean_up(cl)
}
)
go_parallel <- TRUE
} else {
go_parallel <- FALSE
}
cv_args <- kdry::list.append(
params,
list(
x = x,
y = y,
foldid = glmnet_fids$fold_id,
parallel = go_parallel
)
)
# rename mlexperiments "case_weights" to implementation specific (cv.glment)
# "weights"
if ("case_weights" %in% names(cv_args)) {
stopifnot(
"late fail: `case_weights` must be of same length as `y`" =
length(cv_args$case_weights) == length(y)
)
names(cv_args)[which(names(cv_args) == "case_weights")] <-
"weights"
}
set.seed(seed)
# fit the glmnet-cv-model
cvfit <- do.call(glmnet::cv.glmnet, cv_args)
res <- list(
"metric_optim_mean" = FUN(cvfit$cvm),
"lambda" = cvfit$lambda.min
)
return(res)
}
glmnet_fit <- function(x, y, ncores, seed, ...) {
kwargs <- list(...)
stopifnot((sapply(
X = c("lambda", "alpha", "family"),
FUN = function(x) {
x %in% names(kwargs)
}
)),
(!sapply(
X = c("x", "y"),
FUN = function(x) {
x %in% names(kwargs)
}
)))
fit_args <- kdry::list.append(
list(
x = x,
y = y
),
kwargs
)
# rename mlexperiments "case_weights" to implementation specific (cv.glment)
# "weights"
if ("case_weights" %in% names(fit_args)) {
stopifnot(
"late fail: `case_weights` must be of same length as `y`" =
length(fit_args$case_weights) == length(y)
)
names(fit_args)[which(names(fit_args) == "case_weights")] <-
"weights"
}
set.seed(seed)
# train final model with a given lambda / alpha
fit <- do.call(glmnet::glmnet, fit_args)
return(fit)
}
glmnet_predict <- function(model, newdata, ncores, ...) {
kwargs <- list(...) # nolint
pred_args <- kdry::list.append(
list(
object = model,
newx = newdata
),
kwargs
)
preds <- do.call(stats::predict, pred_args)
if (!is.null(kwargs$reshape)) {
if (isTRUE(kwargs$reshape)) {
preds <- preds[, , 1]
preds <- kdry::mlh_reshape(preds)
}
} else {
preds <- preds[, 1]
}
}