Translating the S-Plus/R Least

Angle Regression package to Mata

Adrian Mander

MRC-Human Nutrition Research Unit, Cambridge

SUG London 2007 Least Angle Regression

Outline

LARS package
Lasso (the constrained OLS)
Forward Stagewise regression
Least Angle Regression

Translating Hastie & Efron’s code from R to Mata

The lars Stata command

SUG London 2007 Least Angle Regression

 Lasso
Let y be the dependent variable and xj be the m covariates
The usual linear predictor m
ˆ   x j ˆ j
j 1
Want to minimise the squared differences
n
S ( ˆ )  y  ˆ i 
2
i
i 1
Subject to this constraint, large m
t gives OLS solution T ( ˆ )   ˆ j  t
N.B. Ridge regression does j 1
constraint on L2 norm
SUG London 2007 Least Angle Regression
 Lasso graphically

The constraints can be seen below.

b1

b2

One property of this constraint is that there will be coefficients =0

for a subset of variables

SUG London 2007 Least Angle Regression

 Ridge Regression

The constraints can be seen below.

b1

b2

The coefficients are shrunk but does not have the

property of parsimony
SUG London 2007 Least Angle Regression
Forward Stagewise

Using constraints

The function of current correlations is

Move the mean in the direction of the greatest

correlation for some small ε

FORWARD STEPWISE is greedy and selects

SUG London 2007 Least Angle Regression
Least Angle Regression

The LARS (S suggesting LaSso and Stagewise)

Starts like classic Forward Selection

Find predictor xj1 most correlated with the current residual

Make a step (epsilon) large enough until another predictor

xj2 has as much correlation with the current residual

LARS – now step in the direction equiangular between two

predictors until xj3 earns its way into the “correlated set”

SUG London 2007 Least Angle Regression

Least Angle Regression
Geometrically
Two covariates x1 and x2 and the space L(x1 ,x2) that is
spanned by them
x2 x2
Start at μ0 =0
y2 is the
projection of y
y2
onto L(x1 ,x2)

y1
μ0 μ1 x1
SUG London 2007 Least Angle Regression
Continued…

The current correlations only depend on the projection

of y on L(x1 ,x2) I.e. y2

SUG London 2007 Least Angle Regression

Programming similarities
The code comparing Splus to Mata looks incredibly similar

SUG London 2007 Least Angle Regression

Programming similarities
There are some differences though
Array of arrays… beta[[k]] = array

Indexing on the left hand side…

beta[positive] = beta0

Being able to “join” null matrices.

Row and column vectors are not very strict in Splus.
Being able to use the minus sign in indexing
beta[-positive]

“Local”-ness of mata functions within mata functions? Local is from the

first call of Mata
Not the easiest language to debug when you don’t know what you are
doing (thanks to statalist/Kit to push start me).
SUG London 2007 Least Angle Regression
Stata command
LARS is very simple to use
lars y <varlist>, a(lar)
lars y <varlist>, a(lasso)
lars y <varlist>, a(stagewise)

Not everything in the Splus package is implemented

because I didn’t have all the data required to test all the
code

SUG London 2007 Least Angle Regression

Stata command

SUG London 2007 Least Angle Regression

Graph output
1000

500
Beta

-500

-1000
0 .2 .4 .6 .8 1
Sum mod(beta)/ Max sum mod (beta)

age sex bmi bp s1

s2 s3 s4 s5 s6

SUG London 2007 Least Angle Regression

Conclusions

Mata could be a little easier to use

Translating Splus code is pretty simple
Least Angle Regression/Lasso/Forward Stagewise
are all very attractive algorithms and certainly an
improvement over Stepwise.

SUG London 2007 Least Angle Regression