sortVariablesLR

 L1 penalized logistic regression ranking of variables
 
 syntax: [ bestVariables bestToWorst  ] = sortVariablesLR( featureVect, classLabels, ...
                 topVarsToKeep, topVarsToSearch )
 
 Inputs:
   featureVect: all the the data samples in (dim x numSamples)
   classLabels: all class labels (0 for not learned, 1 for learned, 2 unsure.  
      The ones labeled class 2 will not be used.
   topVarsToKeep: index of number of best variables to return
   topVarsToSearch: To find topVarsToKeep, we look at the most frequently
       top ranked variables within the (first:topVarsToSearch ) variables
       across all folds of leave subject out cross validation
 
 Outputs:
   bestVariables: indices of best variables to separate the classes
   bestToWorst: index ordering all the variables for all CV folds

0001 % L1 penalized logistic regression ranking of variables
0002 %
0003 % syntax: [ bestVariables bestToWorst  ] = sortVariablesLR( featureVect, classLabels, ...
0004 %                 topVarsToKeep, topVarsToSearch )
0005 %
0006 % Inputs:
0007 %   featureVect: all the the data samples in (dim x numSamples)
0008 %   classLabels: all class labels (0 for not learned, 1 for learned, 2 unsure.
0009 %      The ones labeled class 2 will not be used.
0010 %   topVarsToKeep: index of number of best variables to return
0011 %   topVarsToSearch: To find topVarsToKeep, we look at the most frequently
0012 %       top ranked variables within the (first:topVarsToSearch ) variables
0013 %       across all folds of leave subject out cross validation
0014 %
0015 % Outputs:
0016 %   bestVariables: indices of best variables to separate the classes
0017 %   bestToWorst: index ordering all the variables for all CV folds
0018 %
0019 
0020 function [ bestVariables bestToWorst  ] = sortVariablesLR( featureVect, classLabels, ...
0021                 topVarsToKeep, topVarsToSearch )
0022 
0023 if nargin < 3 || isempty( topVarsToKeep)
0024     topVarsToKeep = 10;
0025 end
0026 if nargin < 4 || isempty( topVarsToSearch )
0027     topVarsToSearch = topVarsToKeep;
0028 end
0029 
0030 
0031 % leave one subject out cross validation
0032 [ dim numSamples] = size( featureVect);
0033 % expLabels = getLeave1OutLabels( numSamples, numSamplesPerSubj);
0034 numTrials = 1; % length(expLabels);
0035 bestToWorst = zeros( topVarsToSearch, numTrials);
0036 
0037 % center and scale variables to unit variance
0038 featureVect = featureVect - repmat( mean(featureVect,2), [1,numSamples] );
0039 featStdev = std( featureVect, 0, 2);
0040 featureVect( featStdev ~= 0,:) = featureVect( featStdev ~= 0,:)./repmat(featStdev(featStdev ~= 0), [1,numSamples]);
0041 
0042 % init some thing for LR
0043 featureVect = [ones(numSamples,1) featureVect']'; % Add Bias element to features (at top)
0044 classLabels( classLabels == 0) = -1; % Convert y to {-1,1} representation
0045 baseLambda = ones(dim+1,1);  % [ 1./(std( featureVect, 0, 2)+.001)]; % 15
0046 options = struct('verbose',0);
0047 
0048 
0049 for i1 = 1; %:numTrials
0050     
0051     % init weight and lambda scalar every trial
0052     w = zeros( dim+1,1); %  make sure it goes into while loop
0053     lambdaScalar = 150;
0054     
0055     
0056     trainLabels = classLabels; %(:,expLabels(i1).train);
0057     trainFeatures = featureVect; %(:,expLabels(i1).train);
0058     trainFeatures( :, trainLabels==2) = [];
0059     trainLabels( :, trainLabels==2) = [];
0060     funObj = @(w)LogisticLoss(w,trainFeatures',trainLabels'); % LR objective
0061     
0062     % do the tests on each feature
0063     k1 = 0;
0064     while nnz( w) < topVarsToSearch && k1 < 500
0065         k1 = k1+1;
0066 
0067         lambda = lambdaScalar*baseLambda;
0068         lambda(1) = 0; % Do not penalize bias variable
0069         w = L1GeneralProjection(funObj,w,lambda, options );
0070         lambdaScalar = lambdaScalar/1.1;
0071     end
0072     
0073     % sort by most important, and put in the matrix
0074     w(1) = [];
0075     [ temp bestToWorst] = sort( abs(w(:)), 'descend');  
0076 %     bestToWorst( :,i1) = wIdx(1:topVarsToSearch);
0077     
0078 end
0079 
0080 % remove redundancies
0081 featureVect(1,:) = [];  %to remove that unit offset
0082 
0083 unqIdx = findRedundancies( featureVect(bestToWorst,:) );
0084 bestToWorst = bestToWorst(unqIdx);
0085 
0086 
0087 bestVariables = bestToWorst(1:min(topVarsToKeep, length(bestToWorst) ));
0088 
0089 
0090