`kfoldcv`

The main function in the `cvwrapr`

package is `kfoldcv`

which performs K-fold cross-validation (CV). In this vignette, we go through a series of examples showing how it can be used.

`glmnet`

Let's set up some fake data:

```
set.seed(1)
nobs <- 100; nvars <- 10
x <- matrix(rnorm(nobs * nvars), nrow = nobs)
y <- rowSums(x[, 1:2]) + rnorm(nobs)
```

If we used `glmnet`

's `cv.glmnet`

function to perform CV, the call would look like this:

```
library(glmnet)
set.seed(1)
glmnet_fit <- cv.glmnet(x, y)
```

An equivalent call using `kfoldcv`

would look like this.

```
library(cvwrapr)
set.seed(1)
cv_fit <- kfoldcv(x, y, train_fun = glmnet, predict_fun = predict)
```

Apart from `x`

and `y`

, `kfoldcv`

needs `train_fun`

and `predict_fun`

which are the training and prediction functions respectively.

The returned objects from `kfoldcv`

and `cv.glmnet`

are slightly different:

```
names(glmnet_fit)
#> [1] "lambda" "cvm" "cvsd" "cvup" "cvlo"
#> [6] "nzero" "call" "name" "glmnet.fit" "lambda.min"
#> [11] "lambda.1se" "index"
names(cv_fit)
#> [1] "lambda" "cvm" "cvsd" "cvup" "cvlo"
#> [6] "lambda.min" "lambda.1se" "index" "name" "overallfit"
```

Importantly though, the CV computations are the same:

```
library(testthat)
expect_equal(glmnet_fit$lambda, cv_fit$lambda)
expect_equal(glmnet_fit$cvm, cv_fit$cvm)
expect_equal(glmnet_fit$cvsd, cv_fit$cvsd)
```

`glmnet`

with function arguments`kfoldcv`

works with more complicated function calls as well. For example, let's say we want to fit a binomial model with observation weights:

```
biny <- ifelse(y > 0, 1, 0)
weights <- rep(1:2, length.out = nobs)
set.seed(1)
glmnet_fit <- cv.glmnet(x, biny, family = "binomial", weights = weights)
```

Here is the equivalent call with `kfoldcv`

. We now have 3 extra parameters:

`train_params`

: A list of function arguments to be passed to`train_fun`

for model-fitting (excluding the data matrix`x`

and the response`y`

).`predict_params`

: A list of function arguments to be passed to`predict_fun`

for prediction (excluding the fitted model`object`

, new data matrix`newx`

and the lambda sequence`s`

). Notice here that we had to pass`type = "response"`

to the prediction function: this is because`glmnet`

returns the linear predictor by default, whereas`kfoldcv`

expects the predictions to be on the scale of the response variable.`train_row_params`

: A vector of names of function arguments that should be subsetted when performing CV.

```
set.seed(1)
cv_fit <- kfoldcv(x, biny, family = "binomial",
train_fun = glmnet, predict_fun = predict,
train_params = list(family = "binomial",
weights = weights),
predict_params = list(type = "response"),
train_row_params = c("weights"))
```

Again, the CV computations are the same:

```
expect_equal(glmnet_fit$lambda, cv_fit$lambda)
expect_equal(glmnet_fit$cvm, cv_fit$cvm)
expect_equal(glmnet_fit$cvsd, cv_fit$cvsd)
```

`glmnet`

with excludeLet's look at a `glmnet`

example with `exclude`

. First, let's create some data such that the `x`

matrix is sparse:

```
set.seed(101)
x[sample(seq(length(x)), 4 * nobs * nvars / 5)] <- 0
y <- rowSums(x[, 1:2]) + rnorm(nobs)
foldid <- sample(rep(seq(5), length = nobs))
```

Sometimes, we might want to exclude variables which are too sparse. In the code below, we exclude variables that are more than 80% sparse. From `glmnet`

version 4.1-2 and later (not on CRAN yet at time of writing), we can pass a function to the `exclude`

argument.

```
filter <- function(x, ...) which(colMeans(x == 0) > 0.8)
glmnet_fit <- cv.glmnet(x, y, foldid = foldid, exclude = filter)
```

Of course, we could pass the filter along to `kfoldcv`

via `train_params`

:

```
cv_fit <- kfoldcv(x, y, train_fun = glmnet, predict_fun = predict,
train_params = list(exclude = filter), foldid = foldid)
expect_equal(glmnet_fit$lambda, cv_fit$lambda)
expect_equal(glmnet_fit$cvm, cv_fit$cvm)
expect_equal(glmnet_fit$cvsd, cv_fit$cvsd)
```

If we have an earlier version of `glmnet`

which only allows the `exclude`

argument to take a vector of indices, we can use `kfoldcv`

to achieve the same result:

```
train_fun <- function(x, y) {
exclude <- which(colMeans(x == 0) > 0.8)
if (length(exclude) == 0) {
model <- glmnet(x, y)
} else {
model <- glmnet(x[, -exclude, drop = FALSE], y)
}
return(list(lambda = model$lambda,
exclude = exclude,
model = model))
}
predict_fun <- function(object, newx, s) {
if (length(object$exclude) == 0) {
predict(object$model, newx = newx, s = s)
} else {
predict(object$model, newx = newx[, -object$exclude, drop = FALSE], s = s)
}
}
cv_fit <- kfoldcv(x, y, train_fun = train_fun, predict_fun = predict_fun,
foldid = foldid)
```

```
expect_equal(glmnet_fit$lambda, cv_fit$lambda)
expect_equal(glmnet_fit$cvm, cv_fit$cvm)
expect_equal(glmnet_fit$cvsd, cv_fit$cvsd)
```

Some notes of caution are in order:

`train_fun`

must take in the design matrix as`x`

and the response as`y`

. In its return value, it must have the`lambda`

sequence as the named element`lambda`

.`predict_fun`

must take in the output of`train_fun`

as`object`

and the new data matrix as`newx`

. It must also have an argument (`s`

by default) that takes in a`lambda`

sequence, and`predict_fun`

must return a matrix of predictions, each column corresponding to one value of`lambda`

.

The loss function used in CV is controlled by two function arguments: `type.measure`

and `family`

. To see all possible `type.measure`

values for each family, run `availableTypeMeasures()`

:

```
availableTypeMeasures()
#> $gaussian
#> [1] "deviance" "mse" "mae"
#>
#> $binomial
#> [1] "deviance" "class" "auc" "mse" "mae"
#>
#> $poisson
#> [1] "deviance" "mse" "mae"
#>
#> $cox
#> [1] "deviance" "C"
#>
#> $multinomial
#> [1] "deviance" "class" "mse" "mae"
#>
#> $mgaussian
#> [1] "deviance" "mse" "mae"
#>
#> $GLM
#> [1] "deviance" "mse" "mae"
```

The default is `type.measure = "deviance"`

and `family = "gaussian"`

, which corresponds to mean-squared error. Below is an example of misclassification loss with a binary response:

```
biny <- ifelse(y > 0, 1, 0)
glmnet_fit <- cv.glmnet(x, biny, family = "binomial",
type.measure = "class", foldid = foldid)
cv_fit <- kfoldcv(x, biny, family = "binomial", type.measure = "class",
train_fun = glmnet, predict_fun = predict,
train_params = list(family = "binomial"),
predict_params = list(type = "response"),
foldid = foldid)
expect_equal(glmnet_fit$lambda, cv_fit$lambda)
expect_equal(glmnet_fit$cvm, cv_fit$cvm)
expect_equal(glmnet_fit$cvsd, cv_fit$cvsd)
```

There seems to be a bit of duplication in that we have to specify `family = "binomial"`

as an argument to `kfoldcv()`

as well as in the list provided to `train_params`

. This duplication is to allow for greater generality for `train_fun`

. In `glmnet`

, the type of model being fit is defined by an argument named `family`

, so in theory we could extract the `family`

value from `train_params`

to determine the type of model being fit. However, not all model-fitting functions will have a "family" argument.

Let's look at a non-`glmnet`

example. Here, I want to do principal components (PC) regression and I want to cross-validate the number of PCs to include in the model. Let's use our non-sparse fake data again:

```
set.seed(1)
nobs <- 100; nvars <- 10
x <- matrix(rnorm(nobs * nvars), nrow = nobs)
y <- rowSums(x[, 1:2]) + rnorm(nobs)
```

The `pls`

package can perform PC regression with `pcr()`

, but its interface is quite different from what `kfoldcv()`

needs. Recall that `train_fun`

must take the data matrix, response and hyperparameter values as `x`

, `y`

and `lambda`

respectively. `predict_fun`

must take the output of `train_fun`

, the new data matrix and the hyperparameter values as `object`

, `newx`

and `s`

respectively. The code below shows how we can write `train_fun`

and `predict_fun`

for the PC regression problem:

```
library(pls)
# lambda represents no. of PCs
train_fun <- function(x, y, lambda) {
df <- data.frame(x, y)
model <- pls::pcr(y ~ ., data = df, ncomp = max(lambda))
return(list(lambda = lambda, model = model))
}
predict_fun <- function(object, newx, s) {
preds <- predict(object$model, newdata = newx, ncomp = s)
return(array(preds,
dim = c(nrow(newx), length(s))))
}
set.seed(2)
lambda <- 1:10
cv_fit <- kfoldcv(x, y, lambda = lambda,
train_fun = train_fun, predict_fun = predict_fun)
```

`kfoldcv()`

returns an object of class "cv_obj", which is equipped with a `plot`

method much like those for `cv.glmnet`

objects. The code below shows how we might plot a CV curve for PC regression:

`plot(cv_fit, log.lambda = FALSE)`

Notice that in determining the `lambda.1se`

value, the `plot`

method correctly determined that it should be looking at smaller values of `lambda`

(corresponding to fewer PCs), instead of larger values of `lambda`

, as is usually the case in `glmnet`

. How did it figure it out? When computing the `lambda.1se`

value, `kfoldcv`

looks for the smallest model such that its CV error is within 1 SE of the minimum CV error. In doing so, it assumes that the `lambda`

sequence provided to it is ordered from smallest model to largest model. In this example, we provided `lambda <- 1:10`

. Compare that to the `glmnet`

examples, where `lambda`

is ordered from largest to smallest.

`gbm`

Let's look at another non-`glmnet`

example: gradient boosting with the `gbm`

package. In this first example, we want to cross-validate the number of trees to be included in our boosting ensemble. As with PC regression, we need to write our own `train_fun`

and `predict_fun`

to interface correctly with `kfoldcv`

.

```
library(gbm)
# lambda represents # of trees
train_fun <- function(x, y, lambda) {
df <- data.frame(x, y)
model <- gbm::gbm(y ~ ., data = df, n.trees = max(lambda),
distribution = "gaussian")
return(list(lambda = lambda, model = model))
}
predict_fun <- function(object, newx, s) {
newdf <- data.frame(newx)
predict(object$model, newdata = newdf, n.trees = s)
}
set.seed(3)
lambda <- 1:100
cv_fit <- kfoldcv(x, y, lambda = lambda,
train_fun = train_fun, predict_fun = predict_fun)
```

Again, we can plot a CV curve. Notice how we can rename the x-axis and add a title:

```
plot(cv_fit, log.lambda = FALSE, xlab = "No. of trees",
main = "CV MSE vs. no. of trees")
```

Next, let's try to cross-validate for a different parameter: `interaction.depth`

. Notice that the internals of `train_fun`

and `predict_fun`

look quite different from before. This is because `gbm`

has the ability to predict for any number of trees as long as it is smaller than that in the fitted model: this allows us to fit just one model for the whole `lambda`

sequence. For `interaction.depth`

, we will have to fit one model for each `interaction.depth`

.

```
# lambda represents interaction depth
train_fun <- function(x, y, lambda) {
df <- data.frame(x, y)
model <- lapply(lambda, function(i) gbm::gbm(y ~ ., data = df,
interaction.depth = i,
distribution = "gaussian"))
return(list(lambda = lambda, model = model))
}
predict_fun <- function(object, newx, s) {
newdf <- data.frame(newx)
preds <- lapply(object$model,
function(obj) predict(obj, newdata = newdf,
n.trees = obj$n.trees))
return(matrix(unlist(preds), nrow = nrow(newdf)))
}
set.seed(3)
lambda <- 1:5
cv_fit <- kfoldcv(x, y, lambda = lambda,
train_fun = train_fun, predict_fun = predict_fun)
plot(cv_fit, log.lambda = FALSE, xlab = "Interaction depth",
main = "CV MSE vs. interaction depth")
```

`kfoldcv`

`kfoldcv`

has a few other capabilities worth mentioning here:

`foldid`

: An optional vector of values between`1`

and`nfolds`

(inclusive) identifying which fold each observation is in. Note that`kfoldcv`

actually works even if`foldid`

does not take values between`1`

and`nfolds`

, but for ease of use it is recommended that users do so.`keep`

: If set to`TRUE`

,`kfoldcv`

returns the matrix of pre-validated fits as well as the`foldid`

vector used in CV. Default is`FALSE`

.`save_cvfits`

: If set to`TRUE`

,`kfoldcv`

returns the intermediate model fits for each CV fold. This is useful if the user wants to inspect the intermediate fits (e.g model coefficients) or compute some intermediate statistic (e.g. how many times a feature appears across the folds). However, bear in mind that this could greatly inflate the size of the object`kfoldcv`

returns. Default is`FALSE`

.`parallel`

: If set to`TRUE`

, model-fitting for each CV fold can be done in parallel. A parallel backend must be registered first. Below is a code example comparing a call to`kfoldcv`

with and without parallel computing, using the vanilla`glmnet`

example.

```
# without parallel computing
set.seed(3)
foldid <- sample(rep(1:5, length.out = nrow(x)))
cv_fit1 <- kfoldcv(x, y, foldid = foldid, train_fun = glmnet,
predict_fun = predict)
# with parallel computing
library(parallel)
library(doParallel)
cl <- parallel::makeCluster(2)
doParallel::registerDoParallel(cl)
cv_fit2 <- kfoldcv(x, y, foldid = foldid, train_fun = glmnet,
predict_fun = predict, parallel = TRUE)
parallel::stopCluster(cl)
# check that the two fits are the same
expect_equal(cv_fit1$lambda, cv_fit2$lambda)
expect_equal(cv_fit1$cvm, cv_fit2$cvm)
expect_equal(cv_fit1$cvsd, cv_fit2$cvsd)
```