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[shayandavoodii]

In the Lasso.md, a method of fit is introduced as follows:

fit(GammaLassoPath, X, y, d=Normal(), l=canonicallink(d); ...) fits a linear or generalized linear (concave) gamma lasso path given the design matrix X and response y.

Is it possible to provide an example in the documentation or mention the acceptable shape of X and y? I.e., X should be in size of $n\times m$, and y should be a vector of length $m$. I have a problem using the method since I don't know what is the acceptable size of these two arguments. I believe they should have something in common for example the length of y should be equal to the nrows(X) or ncols(X).

P.S.: In my case study, I have a X of size $d\times w$, and a y of length $d$. I don't know if I should pass X or X' as the second argument. I expect to get a matrix of coefficients of size $n\times d$ or $d\times n$.

[gdalle]

In the meantime maybe try both and see which one fails due to a shape mismatch?

[shayandavoodii]

In the meantime maybe try both and see which one fails due to a shape mismatch?

Surely I tried. But the result is not aligned with my expectation:

julia> using Lasso

julia> x = rand(5, 1); y = rand(5);

julia> m = fit(GammaLassoPath, x, y);

julia> coef(m)
2×50 SparseArrays.SparseMatrixCSC{Float64, Int64} with 100 stored entries:
⎡⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⎤
⎣⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⣀⎦

I expect a 5×50 or 50×5 sparse matrix in this case! This is why I asked for further elaboration on the size of X and y in the docs.

[gdalle]

Classically for regression purposes, if you have n samples of dimension d each, X is expected to be a matrix with n rows and d columns, while y is expected to be a vector of length n. From what I understand, the coefficients of your lasso path here correspond to 50 different values of the regularization lambda. Each one gives rise to 2 coefficients, one for the only feature in X (cause d = 1) and one for the intercept. Does that help?

[shayandavoodii]

From what I understand, the coefficients of your lasso path here correspond to 50 different values of the regularization lambda. Each one gives rise to 2 coefficients, one for the only feature in X (cause d = 1) and one for the intercept.

I think I got my answer. So, in my example, I should use x = rand(1, 5) and y=[rand()], because I have one sample with five features. Then:

julia> m = fit(GammaLassoPath, x, y)
┌ Warning: One of the predicators (columns of X) is a constant, so it can not be standardized.
│ To include a constant predicator set standardize = false and intercept = false

So, I should follow the instructions:

julia> m = fit(GammaLassoPath, x, y, standardize=false, intercept=false);

julia> coef(m)
5×76 SparseArrays.SparseMatrixCSC{Float64, Int64} with 75 stored entries:
⎡⠠⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⠤⎤
⎣⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⎦

That is aligned with what I expect. Now, how can I choose one of the coefficient series in the returned sparse matrix?

julia> coef(m)[:, 1]
5-element SparseArrays.SparseVector{Float64, Int64} with 0 stored entries

julia> coef(m)[:, 2]
5-element SparseArrays.SparseVector{Float64, Int64} with 1 stored entry:
  [2]  =  0.0231384

I expect a vector of length 5 in each. However, it returns a scalar with weird indexing.

[shayandavoodii]

I think I got it:

julia> coef(m) |> Matrix
5×76 Matrix{Float64}:
 0.0  0.0        0.0        0.0        …  0.0       0.0       0.0
 0.0  0.0231384  0.0452252  0.0663081     0.492017  0.492793  0.493533       
 0.0  0.0        0.0        0.0           0.0       0.0       0.0
 0.0  0.0        0.0        0.0           0.0       0.0       0.0
 0.0  0.0        0.0        0.0           0.0       0.0       0.0

[gdalle]

I expect a vector of length 5 in each. However, it returns a scalar with weird indexing.

This is not a scalar, it is a sparse vector with only one nonzero entry. The reason for this behavior is that Lasso parameters are meant to be sparse, aka have few nonzero entries

[shayandavoodii]

Thank you. It seems that I reached the answer to my question. Thank you for your help and elaboration.