This is an experimental feature. There may be bugs; use carefully!
The mixedPenalty function allows you to add multiple
penalties to a single model. For instance, you may want to regularize
both loadings and regressions in a SEM. In this case, using the same
penalty (e.g., lasso) for both types of penalties may actually not be
what you want to use because the penalty function is sensitive to the
scales of the parameters. Instead, you may want to use two separate
lasso penalties for loadings and regressions. Similarly, separate
penalties for different parameters have, for instance, been proposed in
multi-group models (Geminiani et al., 2021).
Important: You cannot impose two penalties on the same parameter!
Models are fitted with the glmnet or ista optimizer. Note that the optimizers differ in which penalties they support. The following table provides an overview:
| Penalty | Function | glmnet | ista |
|---|---|---|---|
| lasso | addLasso | x | x |
| elastic net | addElasticNet | x* | - |
| cappedL1 | addCappedL1 | x | x |
| lsp | addLsp | x | x |
| scad | addScad | x | x |
| mcp | addMcp | x | x |
By default, glmnet will be used. Note that the elastic net penalty can only be combined with other elastic net penalties.
Getting Started
In the following model, we will allow for cross-loadings
(c2-c4). We want to regularize both,
cross-loadings and regression coefficients (r1 -
r3)
model <- '
# latent variable definitions
ind60 =~ x1 + x2 + x3 + c2*y2 + c3*y3 + c4*y4
dem60 =~ y1 + y2 + y3 + y4
dem65 =~ y5 + y6 + y7 + c*y8
# regressions
dem60 ~ r1*ind60
dem65 ~ r2*ind60 + r3*dem60
'
lavaanModel <- sem(model,
data = PoliticalDemocracy)Next, we add separate lasso penalties for the loadings and the regressions:
mp <- lavaanModel |>
mixedPenalty() |>
addLasso(regularized = c("c2", "c3", "c4"),
lambdas = seq(0,1,.1)) |>
addLasso(regularized = c("r1", "r2", "r3"),
lambdas = seq(0,1,.2)) Note that we can use the pipe-operator to add multiple penalties. They don’t have to be the same; the following would also work:
mp <- lavaanModel |>
mixedPenalty() |>
addLasso(regularized = c("c2", "c3", "c4"),
lambdas = seq(0,1,.1)) |>
addScad(regularized = c("r1", "r2", "r3"),
lambdas = seq(0,1,.2),
thetas = 3.7) To fit the model, we use the fit- function:
fitMp <- fit(mp)To check which parameter has be regularized with which penalty, we
can look at the penalty statement in the resulting
object:
fitMp@penalty
#> ind60=~x2 ind60=~x3 c2 c3 c4 dem60=~y2
#> "none" "none" "lasso" "lasso" "lasso" "none"
#> dem60=~y3 dem60=~y4 dem65=~y6 dem65=~y7 c r1
#> "none" "none" "none" "none" "none" "scad"
#> r2 r3 x1~~x1 x2~~x2 x3~~x3 y2~~y2
#> "scad" "scad" "none" "none" "none" "none"
#> y3~~y3 y4~~y4 y1~~y1 y5~~y5 y6~~y6 y7~~y7
#> "none" "none" "none" "none" "none" "none"
#> y8~~y8 ind60~~ind60 dem60~~dem60 dem65~~dem65
#> "none" "none" "none" "none"We can access the best parameters according to the BIC with:
coef(fitMp, criterion = "BIC")
#>
#> Tuning ||--|| Estimates
#> ---------------------------- ||--|| ---------- ---------- ----------
#> tuningParameterConfiguration ||--|| ind60=~x2 ind60=~x3 c2
#> ============================ ||--|| ========== ========== ==========
#> 11.0000 ||--|| 2.1817 1.8188 .
#>
#>
#> ---------- ---------- ---------- ---------- ---------- ---------- ----------
#> c3 c4 dem60=~y2 dem60=~y3 dem60=~y4 dem65=~y6 dem65=~y7
#> ========== ========== ========== ========== ========== ========== ==========
#> . . 1.3540 1.0440 1.2995 1.2585 1.2825
#>
#>
#> ---------- ---------- ---------- ---------- ---------- ---------- ----------
#> c r1 r2 r3 x1~~x1 x2~~x2 x3~~x3
#> ========== ========== ========== ========== ========== ========== ==========
#> 1.3098 1.4738 0.4533 0.8644 0.0818 0.1184 0.4673
#>
#>
#> ---------- ---------- ---------- ---------- ---------- ---------- ----------
#> y2~~y2 y3~~y3 y4~~y4 y1~~y1 y5~~y5 y6~~y6 y7~~y7
#> ========== ========== ========== ========== ========== ========== ==========
#> 6.4896 5.3399 2.8871 1.9419 2.3901 4.3428 3.5096
#>
#>
#> ---------- ------------ ------------ ------------
#> y8~~y8 ind60~~ind60 dem60~~dem60 dem65~~dem65
#> ========== ============ ============ ============
#> 2.9403 0.4482 3.8717 0.1149The tuningParameterConfiguration refers to the rows in
the lambda, theta, and alpha matrices that resulted in the best fit:
getTuningParameterConfiguration(regularizedSEMMixedPenalty = fitMp,
tuningParameterConfiguration = 11)
#> parameter penalty lambda alpha
#> ind60=~x2 ind60=~x2 none 0 0
#> ind60=~x3 ind60=~x3 none 0 0
#> c2 c2 lasso 1 1
#> c3 c3 lasso 1 1
#> c4 c4 lasso 1 1
#> dem60=~y2 dem60=~y2 none 0 0
#> dem60=~y3 dem60=~y3 none 0 0
#> dem60=~y4 dem60=~y4 none 0 0
#> dem65=~y6 dem65=~y6 none 0 0
#> dem65=~y7 dem65=~y7 none 0 0
#> c c none 0 0
#> r1 r1 scad 0 0
#> r2 r2 scad 0 0
#> r3 r3 scad 0 0
#> x1~~x1 x1~~x1 none 0 0
#> x2~~x2 x2~~x2 none 0 0
#> x3~~x3 x3~~x3 none 0 0
#> y2~~y2 y2~~y2 none 0 0
#> y3~~y3 y3~~y3 none 0 0
#> y4~~y4 y4~~y4 none 0 0
#> y1~~y1 y1~~y1 none 0 0
#> y5~~y5 y5~~y5 none 0 0
#> y6~~y6 y6~~y6 none 0 0
#> y7~~y7 y7~~y7 none 0 0
#> y8~~y8 y8~~y8 none 0 0
#> ind60~~ind60 ind60~~ind60 none 0 0
#> dem60~~dem60 dem60~~dem60 none 0 0
#> dem65~~dem65 dem65~~dem65 none 0 0In this case, the best model has no cross-loadings, but the regressions remained unregularized: The lambda for the cross-loadings is large (1), while the lambda for the regressions is 0 (no regularization).
Using ista
The glmnet optimizer is typically considerably faster than ista. However, sometimes glmnet may run into issues. In that case, it can help to switch to ista:
mp <- lavaanModel |>
# Change the optimizer and the control object:
mixedPenalty(method = "ista",
control = controlIsta()) |>
addLasso(regularized = c("c2", "c3", "c4"),
lambdas = seq(0,1,.1)) |>
addLasso(regularized = c("r1", "r2", "r3"),
lambdas = seq(0,1,.2)) To fit the model, we use the fit- function:
fitMp <- fit(mp)
coef(fitMp, criterion = "BIC")
#>
#> Tuning ||--|| Estimates
#> ---------------------------- ||--|| ---------- ---------- ----------
#> tuningParameterConfiguration ||--|| ind60=~x2 ind60=~x3 c2
#> ============================ ||--|| ========== ========== ==========
#> 11.0000 ||--|| 2.1818 1.8188 .
#>
#>
#> ---------- ---------- ---------- ---------- ---------- ---------- ----------
#> c3 c4 dem60=~y2 dem60=~y3 dem60=~y4 dem65=~y6 dem65=~y7
#> ========== ========== ========== ========== ========== ========== ==========
#> . . 1.3541 1.0441 1.2997 1.2586 1.2825
#>
#>
#> ---------- ---------- ---------- ---------- ---------- ---------- ----------
#> c r1 r2 r3 x1~~x1 x2~~x2 x3~~x3
#> ========== ========== ========== ========== ========== ========== ==========
#> 1.3099 1.4740 0.4532 0.8643 0.0818 0.1184 0.4672
#>
#>
#> ---------- ---------- ---------- ---------- ---------- ---------- ----------
#> y2~~y2 y3~~y3 y4~~y4 y1~~y1 y5~~y5 y6~~y6 y7~~y7
#> ========== ========== ========== ========== ========== ========== ==========
#> 6.4892 5.3396 2.8861 1.9420 2.3904 4.3421 3.5090
#>
#>
#> ---------- ------------ ------------ ------------
#> y8~~y8 ind60~~ind60 dem60~~dem60 dem65~~dem65
#> ========== ============ ============ ============
#> 2.9392 0.4482 3.8710 0.1159The tuningParameterConfiguration refers to the rows in
the lambda, theta, and alpha matrices that resulted in the best fit:
getTuningParameterConfiguration(regularizedSEMMixedPenalty = fitMp,
tuningParameterConfiguration = 11)
#> parameter penalty lambda theta alpha
#> ind60=~x2 ind60=~x2 none 0 0 0
#> ind60=~x3 ind60=~x3 none 0 0 0
#> c2 c2 lasso 1 0 1
#> c3 c3 lasso 1 0 1
#> c4 c4 lasso 1 0 1
#> dem60=~y2 dem60=~y2 none 0 0 0
#> dem60=~y3 dem60=~y3 none 0 0 0
#> dem60=~y4 dem60=~y4 none 0 0 0
#> dem65=~y6 dem65=~y6 none 0 0 0
#> dem65=~y7 dem65=~y7 none 0 0 0
#> c c none 0 0 0
#> r1 r1 lasso 0 0 1
#> r2 r2 lasso 0 0 1
#> r3 r3 lasso 0 0 1
#> x1~~x1 x1~~x1 none 0 0 0
#> x2~~x2 x2~~x2 none 0 0 0
#> x3~~x3 x3~~x3 none 0 0 0
#> y2~~y2 y2~~y2 none 0 0 0
#> y3~~y3 y3~~y3 none 0 0 0
#> y4~~y4 y4~~y4 none 0 0 0
#> y1~~y1 y1~~y1 none 0 0 0
#> y5~~y5 y5~~y5 none 0 0 0
#> y6~~y6 y6~~y6 none 0 0 0
#> y7~~y7 y7~~y7 none 0 0 0
#> y8~~y8 y8~~y8 none 0 0 0
#> ind60~~ind60 ind60~~ind60 none 0 0 0
#> dem60~~dem60 dem60~~dem60 none 0 0 0
#> dem65~~dem65 dem65~~dem65 none 0 0 0Here is a short run-time comparison of ista and glmnet with the lasso-regularized model from above: Five repetitions using ista took 20.081 seconds, while glmnet took 1.159 seconds. That is, if you can use glmnet with your model, we recommend that you do.
Bibliography
- Geminiani, E., Marra, G., & Moustaki, I. (2021). Single- and multiple-group penalized factor analysis: A trust-region algorithm approach with integrated automatic multiple tuning parameter selection. Psychometrika, 86(1), 65–95. https://doi.org/10.1007/s11336-021-09751-8