glmnet: Binary Classification

# nolint start
library(mlexperiments)
library(mllrnrs)

See https://github.com/kapsner/mllrnrs/blob/main/R/learner_glmnet.R for implementation details.

Preprocessing

Import and Prepare Data

library(mlbench)
data("PimaIndiansDiabetes2")
dataset <- PimaIndiansDiabetes2 |>
  data.table::as.data.table() |>
  na.omit()

feature_cols <- colnames(dataset)[1:8]
target_col <- "diabetes"

General Configurations

seed <- 123
if (isTRUE(as.logical(Sys.getenv("_R_CHECK_LIMIT_CORES_")))) {
  # on cran
  ncores <- 2L
} else {
  ncores <- ifelse(
    test = parallel::detectCores() > 4,
    yes = 4L,
    no = ifelse(
      test = parallel::detectCores() < 2L,
      yes = 1L,
      no = parallel::detectCores()
    )
  )
}
options("mlexperiments.bayesian.max_init" = 10L)

Generate Training- and Test Data

data_split <- splitTools::partition(
  y = dataset[, get(target_col)],
  p = c(train = 0.7, test = 0.3),
  type = "stratified",
  seed = seed
)

train_x <- model.matrix(
  ~ -1 + .,
  dataset[data_split$train, .SD, .SDcols = feature_cols]
)
train_y <- as.integer(dataset[data_split$train, get(target_col)]) - 1L


test_x <- model.matrix(
  ~ -1 + .,
  dataset[data_split$test, .SD, .SDcols = feature_cols]
)
test_y <- as.integer(dataset[data_split$test, get(target_col)]) - 1L

Generate Training Data Folds

fold_list <- splitTools::create_folds(
  y = train_y,
  k = 3,
  type = "stratified",
  seed = seed
)

Experiments

Prepare Experiments

# required learner arguments, not optimized
learner_args <- list(
  family = "binomial",
  type.measure = "class",
  standardize = TRUE
)

# set arguments for predict function and performance metric,
# required for mlexperiments::MLCrossValidation and
# mlexperiments::MLNestedCV
predict_args <- list(type = "response")
performance_metric <- metric("auc")
performance_metric_args <- list(positive = "1")
return_models <- FALSE

# required for grid search and initialization of bayesian optimization
parameter_grid <- expand.grid(
  alpha = seq(0, 1, 0.05)
)
# reduce to a maximum of 10 rows
if (nrow(parameter_grid) > 10) {
  set.seed(123)
  sample_rows <- sample(seq_len(nrow(parameter_grid)), 10, FALSE)
  parameter_grid <- kdry::mlh_subset(parameter_grid, sample_rows)
}

# required for bayesian optimization
parameter_bounds <- list(
  alpha = c(0., 1.)
)
optim_args <- list(
  iters.n = ncores,
  kappa = 3.5,
  acq = "ucb"
)

Hyperparameter Tuning

tuner <- mlexperiments::MLTuneParameters$new(
  learner = mllrnrs::LearnerGlmnet$new(
    metric_optimization_higher_better = FALSE
  ),
  strategy = "grid",
  ncores = ncores,
  seed = seed
)

tuner$parameter_grid <- parameter_grid
tuner$learner_args <- learner_args
tuner$split_type <- "stratified"

tuner$set_data(
  x = train_x,
  y = train_y
)

tuner_results_grid <- tuner$execute(k = 3)
#> 
#> Parameter settings [==================>-----------------------------------------------------------------------------] 2/10 ( 20%)
#> Parameter settings [============================>-------------------------------------------------------------------] 3/10 ( 30%)
#> Parameter settings [=====================================>----------------------------------------------------------] 4/10 ( 40%)
#> Parameter settings [===============================================>------------------------------------------------] 5/10 ( 50%)
#> Parameter settings [=========================================================>--------------------------------------] 6/10 ( 60%)
#> Parameter settings [==================================================================>-----------------------------] 7/10 ( 70%)
#> Parameter settings [============================================================================>-------------------] 8/10 ( 80%)
#> Parameter settings [=====================================================================================>----------] 9/10 ( 90%)
#> Parameter settings [===============================================================================================] 10/10 (100%)                                                                                                                                  

head(tuner_results_grid)
#>    setting_id metric_optim_mean      lambda alpha   family type.measure standardize
#> 1:          1         0.1751825 0.094027663  0.70 binomial        class        TRUE
#> 2:          2         0.1788321 0.080262968  0.90 binomial        class        TRUE
#> 3:          3         0.1788321 0.101260561  0.65 binomial        class        TRUE
#> 4:          4         0.1751825 0.006282777  0.10 binomial        class        TRUE
#> 5:          5         0.1751825 0.110644301  0.45 binomial        class        TRUE
#> 6:          6         0.1751825 0.006551691  0.05 binomial        class        TRUE

Bayesian Optimization

tuner <- mlexperiments::MLTuneParameters$new(
  learner = mllrnrs::LearnerGlmnet$new(
    metric_optimization_higher_better = FALSE
  ),
  strategy = "bayesian",
  ncores = ncores,
  seed = seed
)

tuner$parameter_grid <- parameter_grid
tuner$parameter_bounds <- parameter_bounds

tuner$learner_args <- learner_args
tuner$optim_args <- optim_args

tuner$split_type <- "stratified"

tuner$set_data(
  x = train_x,
  y = train_y
)

tuner_results_bayesian <- tuner$execute(k = 3)
#> 
#> Registering parallel backend using 4 cores.

head(tuner_results_bayesian)
#>    Epoch setting_id alpha gpUtility acqOptimum inBounds Elapsed      Score metric_optim_mean      lambda errorMessage   family
#> 1:     0          1  0.70        NA      FALSE     TRUE   0.934 -0.1751825         0.1751825 0.094027663           NA binomial
#> 2:     0          2  0.90        NA      FALSE     TRUE   0.971 -0.1788321         0.1788321 0.080262968           NA binomial
#> 3:     0          3  0.65        NA      FALSE     TRUE   0.948 -0.1788321         0.1788321 0.101260561           NA binomial
#> 4:     0          4  0.10        NA      FALSE     TRUE   0.931 -0.1751825         0.1751825 0.006282777           NA binomial
#> 5:     0          5  0.45        NA      FALSE     TRUE   0.027 -0.1751825         0.1751825 0.110644301           NA binomial
#> 6:     0          6  0.05        NA      FALSE     TRUE   0.030 -0.1751825         0.1751825 0.006551691           NA binomial
#>    type.measure standardize
#> 1:        class        TRUE
#> 2:        class        TRUE
#> 3:        class        TRUE
#> 4:        class        TRUE
#> 5:        class        TRUE
#> 6:        class        TRUE

k-Fold Cross Validation

validator <- mlexperiments::MLCrossValidation$new(
  learner = mllrnrs::LearnerGlmnet$new(
    metric_optimization_higher_better = FALSE
  ),
  fold_list = fold_list,
  ncores = ncores,
  seed = seed
)

validator$learner_args <- tuner$results$best.setting[-1]

validator$predict_args <- predict_args
validator$performance_metric <- performance_metric
validator$performance_metric_args <- performance_metric_args
validator$return_models <- return_models

validator$set_data(
  x = train_x,
  y = train_y
)

validator_results <- validator$execute()
#> 
#> CV fold: Fold1
#> 
#> CV fold: Fold2
#> 
#> CV fold: Fold3

head(validator_results)
#>     fold performance     alpha    lambda   family type.measure standardize
#> 1: Fold1   0.8773136 0.7568403 0.1047508 binomial        class        TRUE
#> 2: Fold2   0.8630354 0.7568403 0.1047508 binomial        class        TRUE
#> 3: Fold3   0.8304127 0.7568403 0.1047508 binomial        class        TRUE

Nested Cross Validation

validator <- mlexperiments::MLNestedCV$new(
  learner = mllrnrs::LearnerGlmnet$new(
    metric_optimization_higher_better = FALSE
  ),
  strategy = "grid",
  fold_list = fold_list,
  k_tuning = 3L,
  ncores = ncores,
  seed = seed
)

validator$parameter_grid <- parameter_grid
validator$learner_args <- learner_args
validator$split_type <- "stratified"

validator$predict_args <- predict_args
validator$performance_metric <- performance_metric
validator$performance_metric_args <- performance_metric_args
validator$return_models <- return_models

validator$set_data(
  x = train_x,
  y = train_y
)

validator_results <- validator$execute()
#> 
#> CV fold: Fold1
#> 
#> Parameter settings [==================>-----------------------------------------------------------------------------] 2/10 ( 20%)
#> Parameter settings [============================>-------------------------------------------------------------------] 3/10 ( 30%)
#> Parameter settings [=====================================>----------------------------------------------------------] 4/10 ( 40%)
#> Parameter settings [===============================================>------------------------------------------------] 5/10 ( 50%)
#> Parameter settings [=========================================================>--------------------------------------] 6/10 ( 60%)
#> Parameter settings [==================================================================>-----------------------------] 7/10 ( 70%)
#> Parameter settings [============================================================================>-------------------] 8/10 ( 80%)
#> Parameter settings [=====================================================================================>----------] 9/10 ( 90%)
#> Parameter settings [===============================================================================================] 10/10 (100%)                                                                                                                                  
#> CV fold: Fold2
#> CV progress [====================================================================>-----------------------------------] 2/3 ( 67%)
#> 
#> Parameter settings [==================>-----------------------------------------------------------------------------] 2/10 ( 20%)
#> Parameter settings [============================>-------------------------------------------------------------------] 3/10 ( 30%)
#> Parameter settings [=====================================>----------------------------------------------------------] 4/10 ( 40%)
#> Parameter settings [===============================================>------------------------------------------------] 5/10 ( 50%)
#> Parameter settings [=========================================================>--------------------------------------] 6/10 ( 60%)
#> Parameter settings [==================================================================>-----------------------------] 7/10 ( 70%)
#> Parameter settings [============================================================================>-------------------] 8/10 ( 80%)
#> Parameter settings [=====================================================================================>----------] 9/10 ( 90%)
#> Parameter settings [===============================================================================================] 10/10 (100%)                                                                                                                                  
#> CV fold: Fold3
#> CV progress [========================================================================================================] 3/3 (100%)
#>                                                                                                                                   
#> Parameter settings [==================>-----------------------------------------------------------------------------] 2/10 ( 20%)
#> Parameter settings [============================>-------------------------------------------------------------------] 3/10 ( 30%)
#> Parameter settings [=====================================>----------------------------------------------------------] 4/10 ( 40%)
#> Parameter settings [===============================================>------------------------------------------------] 5/10 ( 50%)
#> Parameter settings [=========================================================>--------------------------------------] 6/10 ( 60%)
#> Parameter settings [==================================================================>-----------------------------] 7/10 ( 70%)
#> Parameter settings [============================================================================>-------------------] 8/10 ( 80%)
#> Parameter settings [=====================================================================================>----------] 9/10 ( 90%)
#> Parameter settings [===============================================================================================] 10/10 (100%)                                                                                                                                  

head(validator_results)
#>     fold performance     lambda alpha   family type.measure standardize
#> 1: Fold1   0.8741407 0.00093823   0.7 binomial        class        TRUE
#> 2: Fold2   0.8646219 0.09563561   0.7 binomial        class        TRUE
#> 3: Fold3   0.8648954 0.03175575   0.7 binomial        class        TRUE

Inner Bayesian Optimization

validator <- mlexperiments::MLNestedCV$new(
  learner = mllrnrs::LearnerGlmnet$new(
    metric_optimization_higher_better = FALSE
  ),
  strategy = "bayesian",
  fold_list = fold_list,
  k_tuning = 3L,
  ncores = ncores,
  seed = 312
)

validator$parameter_grid <- parameter_grid
validator$learner_args <- learner_args
validator$split_type <- "stratified"


validator$parameter_bounds <- parameter_bounds
validator$optim_args <- optim_args

validator$predict_args <- predict_args
validator$performance_metric <- performance_metric
validator$performance_metric_args <- performance_metric_args
validator$return_models <- TRUE

validator$set_data(
  x = train_x,
  y = train_y
)

validator_results <- validator$execute()
#> 
#> CV fold: Fold1
#> 
#> Registering parallel backend using 4 cores.
#> 
#> CV fold: Fold2
#> CV progress [====================================================================>-----------------------------------] 2/3 ( 67%)
#> 
#> Registering parallel backend using 4 cores.
#> 
#> CV fold: Fold3
#> CV progress [========================================================================================================] 3/3 (100%)
#>                                                                                                                                   
#> Registering parallel backend using 4 cores.

head(validator_results)
#>     fold performance alpha     lambda   family type.measure standardize
#> 1: Fold1   0.8773136   0.9 0.08390173 binomial        class        TRUE
#> 2: Fold2   0.8767848   0.1 0.15109601 binomial        class        TRUE
#> 3: Fold3   0.8507631   0.5 0.11271736 binomial        class        TRUE

Holdout Test Dataset Performance

Predict Outcome in Holdout Test Dataset

preds_glmnet <- mlexperiments::predictions(
  object = validator,
  newdata = test_x
)

Evaluate Performance on Holdout Test Dataset

perf_glmnet <- mlexperiments::performance(
  object = validator,
  prediction_results = preds_glmnet,
  y_ground_truth = test_y,
  type = "binary"
)
perf_glmnet
#>    model performance       auc     prauc sensitivity specificity       ppv       npv tn tp fn fp       tnr       tpr       fnr
#> 1: Fold1   0.7656605 0.7656605 0.5841923   0.3333333   0.8860759 0.5909091 0.7291667 70 13 26  9 0.8860759 0.3333333 0.6666667
#> 2: Fold2   0.7831873 0.7831873 0.5822704   0.3846154   0.8860759 0.6250000 0.7446809 70 15 24  9 0.8860759 0.3846154 0.6153846
#> 3: Fold3   0.7627394 0.7627394 0.5747411   0.3589744   0.8607595 0.5600000 0.7311828 68 14 25 11 0.8607595 0.3589744 0.6410256
#>          fpr    bbrier       acc        ce     fbeta
#> 1: 0.1139241 0.1831706 0.7033898 0.2966102 0.4262295
#> 2: 0.1139241 0.1786208 0.7203390 0.2796610 0.4761905
#> 3: 0.1392405 0.1861673 0.6949153 0.3050847 0.4375000
#>