"""
Best Subset of Group Selection
==============================
"""
# %%
# Introduction
# ------------
# Best subset of group selection (BSGS) aims to choose a small part of non-overlapping groups to achieve the best interpretability on the response variable.
# BSGS is practically useful for the analysis of ubiquitously existing variables with certain group structures.
# For instance, a categorical variable with several levels is often represented by a group of dummy variables.
# Besides, in a nonparametric additive model, a continuous component can be represented by a set of basis functions
# (e.g., a linear combination of spline basis functions). Finally, specific prior knowledge can impose group structures on variables.
# A typical example is that the genes belonging to the same biological pathway can be considered as a group in the genomic data analysis.
# Figure for distinct BSGS and best-subset selection is presented below.
#
# .. image:: ../../Tutorial/figure/best-subset-group-selection.png
#
# The BSGS can be achieved by solving:
#
# .. math::
# \min_{\beta\in \mathbb{R}^p} \frac{1}{2n} ||y-X\beta||_2^2,\; \textup{s.t.}\ ||\beta||_{0,2}\leq s .
#
#
# where :math:`||\beta||_{0,2} = \sum_{j=1}^J I(||\beta_{G_j}||_2\neq 0)` in which :math:`||\cdot||_2` is the :math:`\ell_2` norm and model size :math:`s` is a positive integer to be determined from data.
#
# Regardless of the NP-hard of this problem, Zhang et al develop a certifiably polynomial algorithm to solve it.
# This algorithm is integrated in the ``abess`` package, and user can handily select best group subset by assigning a proper value to the ``group`` arguments:
#
# Using best group subset selection
# ---------------------------------
# We still use the dataset ``data`` generated before, which has 100
# samples, 5 useful variables and 15 irrelevant variables.
import numpy as np
from abess.datasets import make_glm_data
from abess.linear import LinearRegression
np.random.seed(0)
# generate data
n = 100
p = 20
k = 5
coef1 = 0.5*np.ones(5)
coef2 = np.zeros(5)
coef3 = 0.5*np.ones(5)
coef4 = np.zeros(5)
coef = np.hstack((coef1, coef2, coef3, coef4))
data = make_glm_data(n=n, p=p, k=k, family='gaussian', coef_ = coef)
print('real coefficients:\n', data.coef_, '\n')
# %%
# Support we have some prior information that every 5 variables as a group:
group = np.linspace(0, 3, 4).repeat(5)
print('group index:\n', group)
# %%
# Then we can set the ``group`` argument in function. Besides, the
# ``support_size`` here indicates the number of groups, instead of the
# number of variables. Similarly, ``always_select``, ``A_init`` and other
# parameters related to "index" should also be group index, instead of
# the variable one.
model1 = LinearRegression(support_size=range(3), group=group)
model1.fit(data.x, data.y)
print('coefficients:\n', model1.coef_)
# %%
# The fitted result suggest that only two groups are selected (since ``support_size`` is from 0 to 2) and the selected variables are shown above.
#
# Next, we want to compare the result of a given group structure with that without a given group structure.
#
model2 = LinearRegression()
model2.fit(data.x, data.y)
print('coefficients:\n', model2.coef_)
# %%
# The result from a model without a given group structure omits three predictors
# belonging to the active set.
# The ``abess`` R package also supports best group subset selection.
#
# For R tutorial, please view
# https://abess-team.github.io/abess/articles/v07-advancedFeatures.html.
#
# sphinx_gallery_thumbnail_path = 'Tutorial/figure/best-subset-group-selection.png'
#