% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/varsel.R
\name{varsel}
\alias{varsel}
\alias{varsel.default}
\alias{varsel.vsel}
\alias{varsel.refmodel}
\title{Run search and performance evaluation without cross-validation}
\usage{
varsel(object, ...)

\method{varsel}{default}(object, ...)

\method{varsel}{vsel}(object, ...)

\method{varsel}{refmodel}(
  object,
  d_test = NULL,
  method = "forward",
  ndraws = NULL,
  nclusters = 20,
  ndraws_pred = 400,
  nclusters_pred = NULL,
  refit_prj = !inherits(object, "datafit"),
  nterms_max = NULL,
  verbose = TRUE,
  search_control = NULL,
  lambda_min_ratio = 1e-05,
  nlambda = 150,
  thresh = 1e-06,
  penalty = NULL,
  search_terms = NULL,
  search_out = NULL,
  seed = NA,
  ...
)
}
\arguments{
\item{object}{An object of class \code{refmodel} (returned by \code{\link[=get_refmodel]{get_refmodel()}} or
\code{\link[=init_refmodel]{init_refmodel()}}) or an object that can be passed to argument \code{object} of
\code{\link[=get_refmodel]{get_refmodel()}}.}

\item{...}{For \code{\link[=varsel.default]{varsel.default()}}: Arguments passed to \code{\link[=get_refmodel]{get_refmodel()}} as
well as to \code{\link[=varsel.refmodel]{varsel.refmodel()}}. For \code{\link[=varsel.vsel]{varsel.vsel()}}: Arguments passed to
\code{\link[=varsel.refmodel]{varsel.refmodel()}}. For \code{\link[=varsel.refmodel]{varsel.refmodel()}}: Arguments passed to the
divergence minimizer (see argument \code{div_minimizer} of \code{\link[=init_refmodel]{init_refmodel()}} as
well as section "Draw-wise divergence minimizers" of \link{projpred-package})
when refitting the submodels for the performance evaluation (if \code{refit_prj}
is \code{TRUE}).}

\item{d_test}{A \code{list} of the structure outlined in section "Argument
\code{d_test}" below, providing test data for evaluating the predictive
performance of the submodels as well as of the reference model. If \code{NULL},
the training data is used.}

\item{method}{The method for the search part. Possible options are
\code{"forward"} for forward search and \code{"L1"} for L1 search. See also section
"Details" below.}

\item{ndraws}{Number of posterior draws used in the search part. Ignored if
\code{nclusters} is not \code{NULL} or in case of L1 search (because L1 search always
uses a single cluster). If both (\code{nclusters} and \code{ndraws}) are \code{NULL}, the
number of posterior draws from the reference model is used for \code{ndraws}.
See also section "Details" below.}

\item{nclusters}{Number of clusters of posterior draws used in the search
part. Ignored in case of L1 search (because L1 search always uses a single
cluster). For the meaning of \code{NULL}, see argument \code{ndraws}. See also
section "Details" below.}

\item{ndraws_pred}{Only relevant if \code{refit_prj} is \code{TRUE}. Number of
posterior draws used in the evaluation part. Ignored if \code{nclusters_pred} is
not \code{NULL}. If both (\code{nclusters_pred} and \code{ndraws_pred}) are \code{NULL}, the
number of posterior draws from the reference model is used for
\code{ndraws_pred}. See also section "Details" below.}

\item{nclusters_pred}{Only relevant if \code{refit_prj} is \code{TRUE}. Number of
clusters of posterior draws used in the evaluation part. For the meaning of
\code{NULL}, see argument \code{ndraws_pred}. See also section "Details" below.}

\item{refit_prj}{For the evaluation part, should the submodels along the
predictor ranking be fitted again (\code{TRUE}) or should their fits from the
search part be re-used (\code{FALSE})?}

\item{nterms_max}{Maximum submodel size (number of predictor terms) up to
which the search is continued. If \code{NULL}, then \code{min(19, D)} is used where
\code{D} is the number of terms in the reference model (or in \code{search_terms}, if
supplied). Note that \code{nterms_max} does not count the intercept, so use
\code{nterms_max = 0} for the intercept-only model. (Correspondingly, \code{D} above
does not count the intercept.)}

\item{verbose}{A single logical value indicating whether to print out
additional information during the computations.}

\item{search_control}{A \code{list} of "control" arguments (i.e., tuning
parameters) for the search. In case of forward search, these arguments are
passed to the divergence minimizer (see argument \code{div_minimizer} of
\code{\link[=init_refmodel]{init_refmodel()}} as well as section "Draw-wise divergence minimizers" of
\link{projpred-package}). In case of forward search, \code{NULL} causes \code{...} to be
used not only for the performance evaluation, but also for the search. In
case of L1 search, possible arguments are:
\itemize{
\item \code{lambda_min_ratio}: Ratio between the smallest and largest lambda in the
L1-penalized search (default: \code{1e-5}). This parameter essentially
determines how long the search is carried out, i.e., how large submodels
are explored. No need to change this unless the program gives a warning
about this.
\item \code{nlambda}: Number of values in the lambda grid for L1-penalized search
(default: \code{150}). No need to change this unless the program gives a warning
about this.
\item \code{thresh}: Convergence threshold when computing the L1 path (default:
\code{1e-6}). Usually, there is no need to change this.
}}

\item{lambda_min_ratio}{Deprecated (please use \code{search_control} instead).
Only relevant for L1 search. Ratio between the smallest and largest lambda
in the L1-penalized search. This parameter essentially determines how long
the search is carried out, i.e., how large submodels are explored. No need
to change this unless the program gives a warning about this.}

\item{nlambda}{Deprecated (please use \code{search_control} instead). Only
relevant for L1 search. Number of values in the lambda grid for
L1-penalized search. No need to change this unless the program gives a
warning about this.}

\item{thresh}{Deprecated (please use \code{search_control} instead). Only relevant
for L1 search. Convergence threshold when computing the L1 path. Usually,
there is no need to change this.}

\item{penalty}{Only relevant for L1 search. A numeric vector determining the
relative penalties or costs for the predictors. A value of \code{0} means that
those predictors have no cost and will therefore be selected first, whereas
\code{Inf} means those predictors will never be selected. If \code{NULL}, then \code{1} is
used for each predictor.}

\item{search_terms}{Only relevant for forward search. A custom character
vector of predictor term blocks to consider for the search. Section
"Details" below describes more precisely what "predictor term block" means.
The intercept (\code{"1"}) is always included internally via \code{union()}, so
there's no difference between including it explicitly or omitting it. The
default \code{search_terms} considers all the terms in the reference model's
formula.}

\item{search_out}{Intended for internal use.}

\item{seed}{Pseudorandom number generation (PRNG) seed by which the same
results can be obtained again if needed. Passed to argument \code{seed} of
\code{\link[=set.seed]{set.seed()}}, but can also be \code{NA} to not call \code{\link[=set.seed]{set.seed()}} at all. If not
\code{NA}, then the PRNG state is reset (to the state before calling \code{\link[=varsel]{varsel()}})
upon exiting \code{\link[=varsel]{varsel()}}. Here, \code{seed} is used for clustering the reference
model's posterior draws (if \code{!is.null(nclusters)} or
\code{!is.null(nclusters_pred)}) and for drawing new group-level effects when
predicting from a multilevel submodel (however, not yet in case of a GAMM).}
}
\value{
An object of class \code{vsel}. The elements of this object are not meant
to be accessed directly but instead via helper functions (see the main
vignette and \link{projpred-package}).
}
\description{
Run the \emph{search} part and the \emph{evaluation} part for a projection predictive
variable selection. The search part determines the predictor ranking (also
known as solution path), i.e., the best submodel for each submodel size
(number of predictor terms). The evaluation part determines the predictive
performance of the submodels along the predictor ranking. A special method is
\code{\link[=varsel.vsel]{varsel.vsel()}} because it re-uses the search results from an earlier
\code{\link[=varsel]{varsel()}} (or \code{\link[=cv_varsel]{cv_varsel()}}) run, as illustrated in the main vignette.
}
\details{
Arguments \code{ndraws}, \code{nclusters}, \code{nclusters_pred}, and \code{ndraws_pred}
are automatically truncated at the number of posterior draws in the
reference model (which is \code{1} for \code{datafit}s). Using less draws or clusters
in \code{ndraws}, \code{nclusters}, \code{nclusters_pred}, or \code{ndraws_pred} than posterior
draws in the reference model may result in slightly inaccurate projection
performance. Increasing these arguments affects the computation time
linearly.

For argument \code{method}, there are some restrictions: For a reference model
with multilevel or additive formula terms or a reference model set up for
the augmented-data projection, only the forward search is available.
Furthermore, argument \code{search_terms} requires a forward search to take
effect.

L1 search is faster than forward search, but forward search may be more
accurate. Furthermore, forward search may find a sparser model with
comparable performance to that found by L1 search, but it may also start
overfitting when more predictors are added.

An L1 search may select an interaction term before all involved lower-order
interaction terms (including main-effect terms) have been selected. In
\pkg{projpred} versions > 2.6.0, the resulting predictor ranking is
automatically modified so that the lower-order interaction terms come
before this interaction term, but if this is conceptually undesired, choose
the forward search instead.

The elements of the \code{search_terms} character vector don't need to be
individual predictor terms. Instead, they can be building blocks consisting
of several predictor terms connected by the \code{+} symbol. To understand how
these building blocks work, it is important to know how \pkg{projpred}'s
forward search works: It starts with an empty vector \code{chosen} which will
later contain already selected predictor terms. Then, the search iterates
over model sizes \eqn{j \in \{0, ..., J\}}{j = 0, ..., J} (with \eqn{J}
denoting the maximum submodel size, not counting the intercept). The
candidate models at model size \eqn{j} are constructed from those elements
from \code{search_terms} which yield model size \eqn{j} when combined with the
\code{chosen} predictor terms. Note that sometimes, there may be no candidate
models for model size \eqn{j}. Also note that internally, \code{search_terms} is
expanded to include the intercept (\code{"1"}), so the first step of the search
(model size 0) always consists of the intercept-only model as the only
candidate.

As a \code{search_terms} example, consider a reference model with formula \code{y ~ x1 + x2 + x3}. Then, to ensure that \code{x1} is always included in the
candidate models, specify \code{search_terms = c("x1", "x1 + x2", "x1 + x3", "x1 + x2 + x3")} (or, in a simpler way that leads to the same results,
\code{search_terms = c("x1", "x1 + x2", "x1 + x3")}, for which helper function
\code{\link[=force_search_terms]{force_search_terms()}} exists). This search would start with \code{y ~ 1} as the
only candidate at model size 0. At model size 1, \code{y ~ x1} would be the only
candidate. At model size 2, \code{y ~ x1 + x2} and \code{y ~ x1 + x3} would be the
two candidates. At the last model size of 3, \code{y ~ x1 + x2 + x3} would be
the only candidate. As another example, to exclude \code{x1} from the search,
specify \code{search_terms = c("x2", "x3", "x2 + x3")} (or, in a simpler way
that leads to the same results, \code{search_terms = c("x2", "x3")}).
}
\section{Argument \code{d_test}}{
If not \code{NULL}, then \code{d_test} needs to be a \code{list} with the following
elements:
\itemize{
\item \code{data}: a \code{data.frame} containing the predictor variables for the test set.
\item \code{offset}: a numeric vector containing the offset values for the test set
(if there is no offset, use a vector of zeros).
\item \code{weights}: a numeric vector containing the observation weights for the test
set (if there are no observation weights, use a vector of ones).
\item \code{y}: a vector or a \code{factor} containing the response values for the test
set. In case of the latent projection, this has to be a vector containing the
\emph{latent} response values, but it can also be a vector full of \code{NA}s if
latent-scale post-processing is not needed.
\item \code{y_oscale}: Only needs to be provided in case of the latent projection
where this needs to be a vector or a \code{factor} containing the \emph{original}
(i.e., non-latent) response values for the test set.
}
}

\examples{
\dontshow{if (requireNamespace("rstanarm", quietly = TRUE)) (if (getRversion() >= "3.4") withAutoprint else force)(\{ # examplesIf}
# Data:
dat_gauss <- data.frame(y = df_gaussian$y, df_gaussian$x)

# The `stanreg` fit which will be used as the reference model (with small
# values for `chains` and `iter`, but only for technical reasons in this
# example; this is not recommended in general):
fit <- rstanarm::stan_glm(
  y ~ X1 + X2 + X3 + X4 + X5, family = gaussian(), data = dat_gauss,
  QR = TRUE, chains = 2, iter = 500, refresh = 0, seed = 9876
)

# Run varsel() (here without cross-validation, with L1 search, and with small
# values for `nterms_max` and `nclusters_pred`, but only for the sake of
# speed in this example; this is not recommended in general):
vs <- varsel(fit, method = "L1", nterms_max = 3, nclusters_pred = 10,
             seed = 5555)
# Now see, for example, `?print.vsel`, `?plot.vsel`, `?suggest_size.vsel`,
# and `?ranking` for possible post-processing functions.
\dontshow{\}) # examplesIf}
}
\seealso{
\code{\link[=cv_varsel]{cv_varsel()}}
}
