# Generate small sample of 20 observations of a binary classification task
# Due to keeping the example as fast as possible, the parameters of the tuning
# algorithm are set for low accuracy. Higher values of tol_input, fineTuneIt,
# maxRuns, repetitions will increase performance considerably.
library(pROC)
# Generate design matrix
sampleSize <- 20
X <- matrix(0, nrow=sampleSize, ncol=5)
for(j in 1:5) {
set.seed (j)
X [, j] <- rnorm(sampleSize)
}
# Generate response of binary problem with sum(X) > 0 -> 1 and 0 elsewhere
set.seed(-1)
error <- rnorm (sampleSize)
y <- ifelse((rowSums(X) + error) > 0, 1, 0)
# Generate test data
Xtest <- matrix(, nrow=sampleSize, ncol=5)
for(j in 1:5) {
set.seed (j*2+1)
Xtest [, j] <- rnorm(sampleSize)
}
# Generate test response
set.seed(-10)
error <- rnorm (sampleSize)
ytest <- ifelse((rowSums(Xtest) + error) > 0, 1, 0)
# Draw cv training indices
library(caret)
cvTrainInd <- createFolds(y=y, k = 2, list = TRUE, returnTrain = TRUE)
# Define loss function
defLossFunc <- function(preds, ytest) {-c(auc(response=ytest, predictor=c(preds)))}
# Tune kernel deep stacking network by auc on test data
tuned_KDSN_EGO_level <- tuneMboSharedCvKDSN (y=y, X=X,
fineTuneIt=10, nStepMult=2, designMult=3,
cvIndex=cvTrainInd, lossFunc=defLossFunc)
preds <- predict(tuned_KDSN_EGO_level, newx=Xtest)
library(pROC)
auc(response=ytest, predictor=c(preds))
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