NAG Library Routine Document

G05PWF

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Parallelism and Performance

9 Further Comments

▸▿ 10 Example

10.1 Program Text

10.2 Program Data

10.3 Program Results

1 Purpose

G05PWF generates a dataset suitable for use with repeated random sub-sampling validation.

2 Specification

SUBROUTINE G05PWF (

NT, N, M, SORDX, X, LDX, USEY, Y, USEW, W, STATE, IFAIL)

INTEGER	NT, N, M, SORDX, LDX, USEY, USEW, STATE(*), IFAIL
REAL (KIND=nag_wp)	X(LDX,), Y(), W(*)

3 Description

Let

X_{o}

denote a matrix of

n

observations on

m

variables and

y_{o}

and

w_{o}

each denote a vector of length

n

. For example,

X_{o}

might represent a matrix of independent variables,

y_{o}

the dependent variable and

w_{o}

the associated weights in a weighted regression.

G05PWF generates a series of training datasets, denoted by the matrix, vector, vector triplet

(X_{t}, y_{t}, w_{t})

n_{t}

observations, and validation datasets, denoted

(X_{v}, y_{v}, w_{v})

with

n_{v}

observations. These training and validation datasets are generated by randomly assigning each observation to either the training dataset or the validation dataset.

The resulting datasets are suitable for use with repeated random sub-sampling validation.

One of the initialization routines G05KFF (for a repeatable sequence if computed sequentially) or G05KGF (for a non-repeatable sequence) must be called prior to the first call to G05PWF.

4 References

None.

5 Parameters

1: $NT$ – INTEGERInput

On entry:

n_{t}

, the number of observations in the training dataset.

Constraint:

1 \leq NT \leq N

2: $N$ – INTEGERInput

On entry:

n

, the number of observations.

Constraint:

N \geq 1

3: $M$ – INTEGERInput

On entry:

m

, the number of variables.

Constraint:

M \geq 1

4: $SORDX$ – INTEGERInput

On entry: determines how variables are stored in X.

Constraint:

SORDX = 1

2

5: $X (LDX *)$ – REAL (KIND=nag_wp) arrayInput/Output

Note: the second dimension of the array X must be at least

M

SORDX = 1

and at least

N

SORDX = 2

The way the data is stored in X is defined by SORDX.

SORDX = 1

X (i, j)

contains the

i

th observation for the

j

th variable, for

i = 1, 2, \dots, N

and

j = 1, 2, \dots, M

SORDX = 2

X (j, i)

contains the

i

th observation for the

j

th variable, for

i = 1, 2, \dots, N

and

j = 1, 2, \dots, M

On entry: X must hold

X_{o}

, the values of

X

for the original dataset. This may be the same X as returned by a previous call to G05PWF.

On exit: values of

X

for the training and validation datasets, with

X_{t}

held in observations

1

NT

and

X_{v}

in observations

NT + 1

N

6: $LDX$ – INTEGERInput

On entry: the first dimension of the array X as declared in the (sub)program from which G05PWF is called.

Constraints:

if $SORDX = 2$ , $LDX \geq M$ ;
otherwise $LDX \geq N$ .

7: $USEY$ – INTEGERInput

On entry: if

USEY = 1

, the original dataset includes

y_{o}

and

y_{o}

will be processed alongside

X_{o}

Constraint:

USEY = 0

1

8: $Y (*)$ – REAL (KIND=nag_wp) arrayInput/Output

Note: the dimension of the array Y must be at least

N

USEY = 1

USEY = 0

, Y is not referenced on entry and will not be modified on exit.

On entry: Y must hold

y_{o}

, the values of

y

for the original dataset. This may be the same Y as returned by a previous call to G05PWF.

On exit: values of

y

for the training and validation datasets, with

y_{t}

held in elements

1

NT

and

y_{v}

in elements

NT + 1

N

9: $USEW$ – INTEGERInput

On entry: if

USEW = 1

, the original dataset includes

w_{o}

and

w_{o}

will be processed alongside

X_{o}

Constraint:

USEW = 0

1

10: $W (*)$ – REAL (KIND=nag_wp) arrayInput/Output

Note: the dimension of the array W must be at least

N

USEW = 1

USEW = 0

, W is not referenced on entry or and will not be modified on exit.

On entry: W must hold

w_{o}

, the values of

w

for the original dataset. This may be the same W as returned by a previous call to G05PWF.

On exit: values of

w

for the training and validation datasets, with

w_{t}

held in elements

1

NT

and

w_{v}

in elements

NT + 1

N

11: $STATE (*)$ – INTEGER arrayCommunication Array

Note: the actual argument supplied must be the array STATE supplied to the initialization routines G05KFF or G05KGF.

On entry: contains information on the selected base generator and its current state.

On exit: contains updated information on the state of the generator.

12: $IFAIL$ – INTEGERInput/Output

On entry: IFAIL must be set to

0

- 1 ​ or ​ 1

. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.

For environments where it might be inappropriate to halt program execution when an error is detected, the value

- 1 ​ or ​ 1

is recommended. If the output of error messages is undesirable, then the value

1

is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is

0

. When the value $- 1 or 1$ is used it is essential to test the value of IFAIL on exit.

On exit:

IFAIL = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry

IFAIL = 0

- 1

, explanatory error messages are output on the current error message unit (as defined by X04AAF).

Errors or warnings detected by the routine:

$IFAIL = 11$: On entry, $NT = 〈value〉$ and $N = 〈value〉$ .
Constraint: $1 \leq NT \leq N$ .

$IFAIL = 21$: On entry, $N = 〈value〉$ .
Constraint: $N \geq 1$ .

$IFAIL = 31$: On entry, $M = 〈value〉$ .
Constraint: $M \geq 1$ .

$IFAIL = 41$: On entry, $SORDX = 〈value〉$ .
Constraint: $SORDX = 1$ or $2$ .

$IFAIL = 61$: On entry, $LDX = 〈value〉$ and $N = 〈value〉$ .
Constraint: if $SORDX = 1$ , $LDX \geq N$ .

$IFAIL = 62$: On entry, $LDX = 〈value〉$ and $M = 〈value〉$ .
Constraint: if $SORDX = 2$ , $LDX \geq M$ .

$IFAIL = 71$: Constraint: $USEY = 0$ or $1$ .

$IFAIL = 91$: Constraint: $USEW = 0$ or $1$ .

$IFAIL = 111$: On entry, STATE vector has been corrupted or not initialized.

$IFAIL = - 99$: An unexpected error has been triggered by this routine. Please contact NAG.
See Section 3.8 in the Essential Introduction for further information.

$IFAIL = - 399$: Your licence key may have expired or may not have been installed correctly.
See Section 3.7 in the Essential Introduction for further information.

$IFAIL = - 999$: Dynamic memory allocation failed.
See Section 3.6 in the Essential Introduction for further information.

7 Accuracy

Not applicable.

8 Parallelism and Performance

G05PWF is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

G05PWF makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.

Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

G05PWF will be computationality more efficient if each observation in X is contiguous, that is

SORDX = 2

10 Example

This example uses G05PWF to facilitate repeated random sub-sampling cross-validation.

A set of simulated data is randomly split into a training and validation datasets. G02GBF is used to fit a logistic regression model to each training dataset and then G02GPF is used to predict the response for the observations in the validation dataset. This process is repeated

10

times.

The counts of true and false positives and negatives along with the sensitivity and specificity is then reported.

NAG Library Routine DocumentG05PWF

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Parallelism and Performance

9 Further Comments

10 Example

10.1 Program Text

10.2 Program Data

10.3 Program Results

NAG Library Routine Document

G05PWF