fix #55 -- MCPSCAD now working properly

pbreheny · Apr 20, 2024 · 7ef6552 · 7ef6552
1 parent c58de94
commit 7ef6552
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Showing 2 changed files with 9 additions and 14 deletions.
diff --git a/inst/tinytest/test_biglasso_fit.r b/inst/tinytest/test_biglasso_fit.r
@@ -35,10 +35,6 @@ fit1b <- biglasso_fit(X.bm, y, lambda = 0.05, xtx=xtx, r = resid,
 fit2b <- ncvfit(X = X, y = y, lambda = 0.05, xtx = xtx, r = resid,
                 penalty = "MCP", max.iter = 10000)
 
-tinytest::expect_equivalent(fit1b$resid, fit2b$resid, tolerance = 0.1)
-tinytest::expect_equivalent(fit1b$beta, fit2b$beta, tolerance = 0.1)
-
-# the tests below fail -- does this signal a problem? 
 tinytest::expect_equivalent(fit1b$resid, fit2b$resid, tolerance = 0.01)
 tinytest::expect_equivalent(fit1b$beta, fit2b$beta, tolerance = 0.01)
 
@@ -49,12 +45,9 @@ fit1c <- biglasso_fit(X.bm, y, lambda = 0.05, xtx=xtx, r = resid,
 fit2c <- ncvfit(X = X, y = y, lambda = 0.05, xtx = xtx, r = resid,
                 penalty = "SCAD", max.iter = 10000)
 
-tinytest::expect_equivalent(fit1c$resid, fit2c$resid, tolerance = 0.1)
-tinytest::expect_equivalent(fit1c$beta, fit2c$beta, tolerance = 0.1)
 
-# the tests below fail -- does this signal a problem? 
-# tinytest::expect_equivalent(fit1c$resid, fit2c$resid, tolerance = 0.01)
-# tinytest::expect_equivalent(fit1c$beta, fit2c$beta, tolerance = 0.01)
+tinytest::expect_equivalent(fit1c$resid, fit2c$resid, tolerance = 0.01)
+tinytest::expect_equivalent(fit1c$beta, fit2c$beta, tolerance = 0.01)
 
 # Prostate data ------------------------------------------------------------
 data("Prostate") # part of ncvreg

diff --git a/src/gaussian_simple.cpp b/src/gaussian_simple.cpp
@@ -155,9 +155,10 @@ RcppExport SEXP cdfit_gaussian_simple(SEXP X_,
         l2 = lambda * m[j] * (1-alpha);
         // TODO: add SCAD and MCP to the below
      //   Rprintf("\nCalling lasso");
-        b[j] = lasso(z[j], l1, l2, xtx[j]);
-
-
+     if (strcmp(penalty,"MCP")==0) b[j] = MCP(z[j], l1, l2, gamma, xtx[j]);
+     if (strcmp(penalty,"SCAD")==0) b[j] = SCAD(z[j], l1, l2, gamma, xtx[j]);
+     if (strcmp(penalty,"lasso")==0) b[j] = lasso(z[j], l1, l2, xtx[j]);
+
         // if something enters, update active set and residuals
         if (b[j] != 0) {
           ever_active[j] = 1;
@@ -343,8 +344,9 @@ RcppExport SEXP cdfit_gaussian_simple_path(SEXP X_,
           l2 = lambda[l] * m[j] * (1-alpha);
           // TODO: add SCAD and MCP to the below
           //   Rprintf("\nCalling lasso");
-          beta(j,l) = lasso(z[j], l1, l2, xtx[j]);
-
+          if (strcmp(penalty,"MCP")==0) beta(j,l) = MCP(z[j], l1, l2, gamma, xtx[j]);
+          if (strcmp(penalty,"SCAD")==0) beta(j,l) = SCAD(z[j], l1, l2, gamma, xtx[j]);
+          if (strcmp(penalty,"lasso")==0) beta(j,l) = lasso(z[j], l1, l2, xtx[j]);
 
           // if something enters, update active set and residuals
           if (beta(j,l) != 0) {