The R package projpred performs the projection predictive variable (or
"feature") selection for various regression models. We recommend to read the
README file (available with enhanced formatting
online) and the main vignette (topic = "projpred", but also available
online) before
continuing here.
Throughout the whole package documentation, we use the term "submodel" for
all kinds of candidate models onto which the reference model is projected.
For custom reference models, the candidate models don't need to be actual
submodels of the reference model, but in any case (even for custom
reference models), the candidate models are always actual submodels of the
full formula used by the search procedure. In this regard, it is correct
to speak of submodels, even in case of a custom reference model.
The following model type abbreviations will be used at multiple places throughout the documentation: GLM (generalized linear model), GLMM (generalized linear multilevel---or "mixed"---model), GAM (generalized additive model), and GAMM (generalized additive multilevel---or "mixed"---model). Note that the term "generalized" includes the Gaussian family as well.
For the projection of the reference model onto a submodel, projpred
currently relies on the following functions as draw-wise divergence
minimizers (in other words, these are the workhorse functions employed by
projpred's internal default div_minimizer functions, see
init_refmodel()):
Submodel without multilevel or additive terms:
For the traditional (or latent) projection (or the augmented-data
projection in case of the binomial() or brms::bernoulli() family): An
internal C++ function which basically serves the same purpose as lm()
for the gaussian() family and glm() for all other families. The
returned object inherits from class subfit. Possible tuning parameters
for this internal C++ function are: regul (amount of ridge
regularization; default: 1e-4), thresh_conv (convergence threshold;
default: 1e-7), qa_updates_max (maximum number of quadratic
approximation updates; default: 100, but fixed to 1 in case of the
Gaussian family with identity link), ls_iter_max (maximum number of
line search iterations; default: 30, but fixed to 1 in case of the
Gaussian family with identity link), normalize (single logical value
indicating whether to scale the predictors internally with the returned
regression coefficient estimates being back-adjusted appropriately;
default: TRUE), beta0_init (single numeric value giving the starting
value for the intercept at centered predictors; default: 0), and
beta_init (numeric vector giving the starting values for the regression
coefficients; default: vector of 0s).
For the augmented-data projection: MASS::polr() (the returned object
inherits from class polr) for the brms::cumulative() family or
rstanarm::stan_polr() fits, nnet::multinom() (the returned object
inherits from class multinom) for the brms::categorical() family.
Submodel with multilevel but no additive terms:
For the traditional (or latent) projection (or the augmented-data
projection in case of the binomial() or brms::bernoulli() family):
lme4::lmer() (the returned object inherits from class lmerMod) for
the gaussian() family, lme4::glmer() (the returned object inherits
from class glmerMod) for all other families.
For the augmented-data projection: ordinal::clmm() (the returned
object inherits from class clmm) for the brms::cumulative() family,
mclogit::mblogit() (the returned object inherits from class mmblogit)
for the brms::categorical() family.
Submodel without multilevel but additive terms: mgcv::gam() (the returned
object inherits from class gam).
Submodel with multilevel and additive terms: gamm4::gamm4() (within
projpred, the returned object inherits from class gamm4).
Setting global option projpred.extra_verbose to TRUE will print out which
submodel projpred is currently projecting onto as well as (if method = "forward" and verbose = TRUE in varsel() or cv_varsel()) which
submodel has been selected at those steps of the forward search for which a
percentage (of the maximum submodel size that the search is run up to) is
printed. In general, however, we cannot recommend setting this global option
to TRUE for cv_varsel() with validate_search = TRUE (simply due to the
amount of information that will be printed, but also due to the progress bar
which will not work as intended anymore).
By default, projpred catches messages and warnings from the draw-wise
divergence minimizers and throws their unique collection after performing all
draw-wise divergence minimizations (i.e., draw-wise projections). This can be
deactivated by setting global option projpred.warn_prj_drawwise to FALSE.
Furthermore, by default, projpred checks the convergence of the
draw-wise divergence minimizers and throws a warning if any seem to have not
converged. This warning is thrown after the warning message from global
option projpred.warn_prj_drawwise (see above) and can be deactivated by
setting global option projpred.check_conv to FALSE.
The projection of the reference model onto a submodel can be run in parallel
(across the projected draws). This is powered by the foreach package.
Thus, any parallel (or sequential) backend compatible with foreach can
be used, e.g., the backends from packages doParallel, doMPI, or
doFuture. Using the global option projpred.prll_prj_trigger, the
number of projected draws below which no parallelization is applied (even if
a parallel backend is registered) can be modified. Such a "trigger" threshold
exists because of the computational overhead of a parallelization which makes
the projection parallelization only useful for a sufficiently large number of
projected draws. By default, the projection parallelization is turned off,
which can also be achieved by supplying Inf (or NULL) to option
projpred.prll_prj_trigger. Note that we cannot recommend the projection
parallelization on Windows because in our experience, the parallelization
overhead is larger there, causing a parallel run to take longer than a
sequential run. Also note that the projection parallelization works well for
submodels which are GLMs (and hence also for the latent projection if the
submodel has no multilevel or additive predictor terms), but for all other
types of submodels, the fitted submodel objects are quite big, which---when
running in parallel---may lead to excessive memory usage which in turn may
crash the R session (on Unix systems, setting an appropriate memory limit via
unix::rlimit_as() may avoid crashing the whole machine). Thus, we currently
cannot recommend parallelizing projections onto submodels which are GLMs (in
this context, the latent projection onto a submodel without multilevel and
without additive terms may be regarded as a projection onto a submodel which
is a GLM). However, for cv_varsel(), there is also a CV parallelization
(i.e., a parallelization of projpred's cross-validation) which can be
activated via argument parallel.
In case of multilevel models, projpred offers two global options for
"integrating out" group-level effects: projpred.mlvl_pred_new and
projpred.mlvl_proj_ref_new. When setting projpred.mlvl_pred_new to TRUE
(default is FALSE), then at
prediction time, projpred will treat group levels existing in the
training data as new group levels, implying that their group-level effects
are drawn randomly from a (multivariate) Gaussian distribution. This concerns
both, the reference model and the (i.e., any) submodel. Furthermore, setting
projpred.mlvl_pred_new to TRUE causes as.matrix.projection() and
as_draws_matrix.projection() to omit the projected group-level effects (for
the group levels from the original dataset). When setting
projpred.mlvl_proj_ref_new to TRUE (default is FALSE), then at
projection time, the reference model's fitted values (that the submodels
fit to) will be computed by treating the group levels from the original
dataset as new group levels, implying that their group-level effects will
be drawn randomly from a (multivariate) Gaussian distribution (as long as the
reference model is a multilevel model, which---for custom reference
models---does not need to be the case). This also affects the latent response
values for a latent projection correspondingly. Setting
projpred.mlvl_pred_new to TRUE makes sense, e.g., when the prediction
task is such that any group level will be treated as a new one. Typically,
setting projpred.mlvl_proj_ref_new to TRUE only makes sense when
projpred.mlvl_pred_new is already set to TRUE. In that case, the default
of FALSE for projpred.mlvl_proj_ref_new ensures that at projection time,
the submodels fit to the best possible fitted values from the reference
model, and setting projpred.mlvl_proj_ref_new to TRUE would make sense if
the group-level effects should be integrated out completely.
By setting the global option projpred.run_gc to TRUE, projpred will
call gc() at some places (e.g., after each size that the forward search
passes through) to free up some memory. These gc() calls are not always
necessary to reduce the peak memory usage, but they add runtime (hence the
default of FALSE for that global option).
Most examples are not executed when called via example(). To execute them,
their code has to be copied and pasted manually to the console.
init_refmodel(), get_refmodel()For setting up an object
containing information about the reference model, the submodels, and how
the projection should be carried out. Explicit calls to init_refmodel()
and get_refmodel() are only rarely needed.
varsel(), cv_varsel()For running the search part and the evaluation part for a projection predictive variable selection, possibly with cross-validation (CV).
summary.vsel(), print.vsel(), plot.vsel(),
suggest_size.vsel(), ranking(), cv_proportions(),
plot.cv_proportions(), performances()For post-processing the results
from varsel() and cv_varsel().
project()For projecting the reference model onto submodel(s). Typically, this follows the variable selection, but it can also be applied directly (without a variable selection).
as.matrix.projection() and as_draws_matrix.projection()For extracting projected parameter draws.
proj_linpred(), proj_predict()For making predictions from a submodel (after projecting the reference model onto it).
Useful links: