Version 2.x released September 2020 offers many new features and
improved speed. **These changes make pense 2.x incompatible with
code written for pense 1.x and results will not be
identical!**

The most visible changes are to functions `pense()`

and
`pensem()`

, which now only fit models but do not evaluate
prediction performance anymore. Instead, the new functions
`pense_cv()`

and `pensem_cv()`

are now used for
fitting models *and* estimating their prediction performance.

First we need to load the new version of the pense package:

This guide uses the following simulated data:

```
set.seed(1234)
x <- matrix(rt(50 * 10, df = 5), ncol = 10)
y <- 0.5 * x[, 1] - 2 * x[, 2] + 1.5 * x[, 3] + rt(nrow(x), df = 3)
```

`_cv()`

family of functionsThe most basic usage in old versions was to call function
`pense()`

to fit models with `nlambda`

different
penalization levels and evaluate each model’s prediction performance
with K-fold cross-validation. In the new version, this will now raise an
error:

```
set.seed(1234)
fitted_with_cv <- pense(x, y, alpha = 0.6, nlambda = 40, warm_reset = 5L, cv_k = 5)
#> Error:
#> ! The `cv_k` argument of `pense()` was deprecated in pense 2.0.0 and is
#> now defunct.
#> ℹ Please use `pense_cv()` instead.
```

As the error message says, if model fitting *and*
cross-validation is required, use `pense_cv()`

instead. The
simple solution is to replace `pense()`

with
`pense_cv()`

:

```
set.seed(1234)
fitted_with_cv <- pense_cv(x, y, alpha = 0.6, nlambda = 40, warm_reset = 5L, cv_k = 5)
#> Error:
#> ! The `warm_reset` argument of `pense()` was deprecated in pense 2.0.0
#> and is now defunct.
#> ℹ Please use the `nlambda_enpy` argument instead.
```

However, this raises a warning that the argument
`warm_reset=`

is also deprecated in favor of argument
`nlambda_enpy=`

. The new version uses more consistent and
self-explaining naming for arguments. Therefore, the most basic way for
computing regularized S-estimates of linear regression *and*
estimating their prediction performance via CV is the following:

```
set.seed(1234)
fitted_with_cv <- pense_cv(x, y, alpha = 0.6, nlambda = 40, nlambda_enpy = 5L, cv_k = 5)
```

To only fit the models, without estimating prediction performance,
use `pense()`

(note the absence of the `cv_k=`

argument):

The structure of the returned objects is different from pense
versions 1.x. In old versions, the estimated coefficients were stored as
a sparse matrix object, with one column per fit (i.e., per penalization
level). In new versions, estimates are stored as a list with one entry
per penalization level. For fitted models with prediction performance,
as in `fitted_with_cv`

, the returned object additionally
contains information on the prediction performance of all fitted
models:

```
str(fitted_no_cv, max.level = 1)
#> List of 6
#> $ call : language pense(x = x, y = y, alpha = 0.6, nlambda = 40, nlambda_enpy = 5L)
#> $ bdp : num 0.255
#> $ lambda :List of 1
#> $ metrics :List of 1
#> $ estimates:List of 40
#> $ alpha : num 0.6
#> - attr(*, "class")= chr [1:2] "pense" "pense_fit"
str(fitted_with_cv, max.level = 1)
#> List of 9
#> $ call : language pense_cv(x = x, y = y, cv_k = 5, alpha = 0.6, nlambda = 40, nlambda_enpy = 5L)
#> $ bdp : num 0.255
#> $ lambda :List of 1
#> $ alpha : num 0.6
#> $ cvres :'data.frame': 40 obs. of 4 variables:
#> $ cv_measure: chr "tau_size"
#> $ cv_repl : int 1
#> $ metrics :List of 1
#> $ estimates :List of 40
#> - attr(*, "class")= chr [1:2] "pense" "pense_cvfit"
```

As in previous versions, the coefficient estimates are best accessed
via the `coefficients()`

method. For fits with estimated
prediction performance, the method returns the coefficients of the model
yielding the lowest prediction error:

```
coefficients(fitted_with_cv)
#> (Intercept) X1 X2 X3 X4
#> 0.0764169254 0.5424968148 -1.7469201595 1.4314931674 -0.1059407235
#> X5 X6 X7 X8 X9
#> 0.1410239524 0.0470255357 -0.0456642474 0.0005307165 0.2026268551
#> X10
#> 0.0733546445
```

Fits computed with `pense()`

, however, do not have
information about prediction performance, hence
`coefficients(fitted_no_cv)`

would not know what penalization
level to use. In this case, the desired penalization level must be
specified manually:

```
coefficients(fitted_no_cv, lambda = fitted_no_cv$lambda[10])
#> Error in lambda[[1L]]: subscript out of bounds
```

An important difference to previous versions is that new versions
**do not correct for the bias** introduced by the Ridge
penalty. The correction, which was adopted from the original LS elastic
net paper (Zou and Hastie 2005), was
dropped as it does not adequately counter the effects of the Ridge
penalty on the S-estimates. Specifying the `correction=`

argument results in an error in new versions of the package:

```
coefficients(fitted_with_cv, correction = TRUE)
#> Error:
#> ! The `correction` argument of `coef()` was deprecated in pense 2.0.0
#> and is now defunct.
```

The same applies to functions `residuals()`

and
`predict()`

for extracting residuals of the fits and using
the estimated coefficients for prediction, respectively.

Many of the optional arguments to `pense()`

and
`pensem()`

have been renamed. Options to control the
algorithms have been regrouped to remove ambiguity and redundancies. For
example, previous versions had several options to specify the numerical
tolerance used in different parts of the algorithm. This could have lead
to unstable algorithms and undesired results. In new versions, the
numerical tolerance is only specified on the top level in the call to
`pense()`

and friends.

In previous versions of the package, all options for the PENSE
algorithm have been set via the `pense(options=)`

argument
and the `pense_options()`

function.

In new versions, the options are either given directly to the
`pense()`

function, or supplied via arguments
`algorithm_opts`

or `mscale_opts`

:

pense versions 1.x | pense versions 2.x and above |
---|---|

`pense_options(eps=)` |
`pense(eps=)` |

`pense_options(delta=)` |
`pense(bdp=)` |

`pense_options(cc=)` |
`pense(cc=)` |

`pense_options(maxit=)` |
`mm_algorithm_options(max_it=)` |

`pense_options(mscale_maxit=)` |
`mscale_algorithm_options(max_it=)` |

`pense_options(mscale_eps=)` |
`mscale_algorithm_options(eps=)` |

all other options | unsupported |

For example, in previous versions the breakdown point of the PENSE
estimate was set with `pense_options(delta=)`

:

In the new versions, the breakdown point is set directly in the call
to `pense()`

:

As with `pense()`

, options for controlling the algorithm
used by `pensem_cv()`

are moved from
`mstep_options()`

to:

pense versions 1.x | pense versions 2.x and above |
---|---|

`mstep_options(cc=)` |
`pensem_cv(cc=)` |

`mstep_options(eps=)` |
`pensem_cv(eps=)` |

`mstep_options(maxit=)` |
`mm_algorithm_options(max_it=)` |

all other options | unsupported |

In previous versions, the EN algorithm (the workhorse to compute
PENSE estimates), was specified via `pense(en_options=)`

. In
new versions, the user can select the EN algorithm separately for
computing PENSE estimates and for computing starting points via ENPY
separately. Therefore, the algorithm and it’s options are now set
through arguments `algorithm_opts=`

and
`enpy_opts=`

.

```
pense(x, y, alpha = 0.6, nlambda = 40, nlambda_enpy = 5L,
algorithm_opts = mm_algorithm_options(en_algorithm_opts = en_lars_options()),
enpy_opts = enpy_options(en_algorithm_opts = en_admm_options()))
```

Moreover, functions `en_options_aug_lars()`

and
`en_options_dal()`

are replaced by
`en_lars_options()`

and `en_dal_options()`

,
respectively. The new functions accept similar arguments, but with
slightly different names. They do not accept the numerical tolerance
`eps`

anymore, as this is now set directly in
`pense()`

and friends. The LARS algorithm now always uses the
Gram matrix, afforded by a more efficient implementation (argument
`use_gram`

is now ignored). Similarly, the DAL algorithm
always uses a conjugate gradient pre-conditioner, doesn’t print status
information, and adaptively chooses the initial step size as either
`eta_start_conservative`

or
`eta_start_aggressive`

, based on the change in penalization
level. Hence, arguments `verbosity`

,
`preconditioner`

, and `eta_start`

are now
defunct:

pense versions 1.x | pense versions 2.x and above |
---|---|

`en_options_dal(eps=)` |
`pense(eps=)` |

`en_options_dal(maxit=)` |
`en_dal_options(max_it=)` |

`en_options_dal(eta_mult=)` |
`en_dal_options(eta_multiplier=)` |

`en_options_dal(eta_start=)` |
`en_dal_options(eta_start_conservative=, eta_start_aggressive=)` |

all other options | unsupported |

Zou, Hui, and Trevor Hastie. 2005. “Regularization and Variable
Selection via the Elastic Net.” *Journal of the Royal
Statistical Society. Series B (Statistical Methodology)* 67: 301–20.
http://www.jstor.org/stable/3647580.