Thank you Professor Ripley!
> -----Original Message-----
> From: Prof Brian D Ripley [SMTP:ripley@stats.ox.ac.uk]
> Sent: Tuesday, October 19, 1999 2:13 AM
> To: Kurbat, Matthew A.
> Subject: Re: [S] ppreg in splus
>
> On Mon, 18 Oct 1999, Kurbat, Matthew A. wrote:
>
> >
> >
> >
> > I have a ppreg (projection pursuit regression) question.
> >
> > ppreg has the following optional argument
> > "optlevel=
> > integer from 0 to 3 which determines the throughness of an optimization
> > routine in ppreg. A higher number means more optimization."
> >
> > Does anyone know in more detail exactly what this means?
>
> Yes. You need to read:
>
> Friedman, J. H. (1984) SMART User's Guide. Laboratory for
> Computational Statistics, Stanford University Technical
> Report No. 1.
>
> since that is where the code comes from. I only have a photocopy of it.
> Alternatively, look at the help pages for my ppr (library MASS):
>
> The basic method is given by Friedman (1984), and is
> essentially the same code used by ppreg. The code is
> extremely sensitive to the compiler used, and this version
> uses double precision to try to reduce differences between
> machines. The differences are the ability to use spline
> smoothers and the interface which should be much easier to
> use.
>
> The algorithm first adds up to max.terms ridge terms one
> at a time; it will use less if it is unable to find a term
> to add that makes sufficient difference. It then removes
> the least "important" term at each step until nterm terms
> are left. The levels of optimization differ in how
> thoroughly the models are refitted during this process.
> At level 0 the existing ridge terms are not refitted. At
> level 1 the projection directions are not refitted, but
> the ridge functions and the regression coefficients are.
> Levels 2 and 3 refit all the terms and are equivalent for
> one response; level 3 is more careful to re-balance the
> contributions from each regressor at each step and so is a
> little less likely to converge to a saddle point of the
> sum of squares criterion.
>
>
> --
> Brian D. Ripley, ripley@stats.ox.ac.uk
> Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
> University of Oxford, Tel: +44 1865 272861 (self)
> 1 South Parks Road, +44 1865 272860 (secr)
> Oxford OX1 3TG, UK Fax: +44 1865 272595
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