A minimal example

Matthew Stephens

2021-06-07

In this short vignette, we fit a sparse linear regression model with up to \(L > 0\) non-zero effects. Generally, there is no harm in over-stating \(L\) (that is, the method is pretty robust to overfitting), except that computation will grow as \(L\) grows.

Here is a minimal example:

library(susieR)
set.seed(1)
n    <- 1000
p    <- 1000
beta <- rep(0,p)
beta[c(1,2,300,400)] <- 1
X   <- matrix(rnorm(n*p),nrow=n,ncol=p)
y   <- X %*% beta + rnorm(n)
res <- susie(X,y,L=10)
plot(coef(res)[-1],pch = 20)
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Plot the ground-truth outcomes vs. the predicted outcomes:

plot(y,predict(res),pch = 20)
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Session information

Here are some details about the computing environment, including the versions of R, and the R packages, used to generate these results.

sessionInfo()
# R version 3.6.2 (2019-12-12)
# Platform: x86_64-apple-darwin15.6.0 (64-bit)
# Running under: macOS Catalina 10.15.7
# 
# Matrix products: default
# BLAS:   /Library/Frameworks/R.framework/Versions/3.6/Resources/lib/libRblas.0.dylib
# LAPACK: /Library/Frameworks/R.framework/Versions/3.6/Resources/lib/libRlapack.dylib
# 
# locale:
# [1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8
# 
# attached base packages:
# [1] stats     graphics  grDevices utils     datasets  methods   base     
# 
# other attached packages:
# [1] L0Learn_1.2.0  susieR_0.11.42
# 
# loaded via a namespace (and not attached):
#  [1] Rcpp_1.0.5       pillar_1.4.3     compiler_3.6.2   plyr_1.8.5      
#  [5] highr_0.8        tools_3.6.2      digest_0.6.23    evaluate_0.14   
#  [9] lifecycle_0.1.0  tibble_2.1.3     gtable_0.3.0     lattice_0.20-38 
# [13] pkgconfig_2.0.3  rlang_0.4.5      Matrix_1.2-18    yaml_2.2.0      
# [17] xfun_0.11        stringr_1.4.0    dplyr_0.8.3      knitr_1.26      
# [21] grid_3.6.2       tidyselect_0.2.5 reshape_0.8.8    glue_1.3.1      
# [25] R6_2.4.1         rmarkdown_2.3    mixsqp_0.3-46    irlba_2.3.3     
# [29] reshape2_1.4.3   ggplot2_3.3.0    purrr_0.3.3      magrittr_1.5    
# [33] scales_1.1.0     htmltools_0.4.0  assertthat_0.2.1 colorspace_1.4-1
# [37] stringi_1.4.3    munsell_0.5.0    crayon_1.3.4