getting the selection details lambda fit statistic in proc glmselect

[Jest]

HI, 

I am trying to get the selection details in glmselect, specifically the lambda fit statistic. I noticed that the following link generates the selection details that has the lambda for hpgenselect:

http://support.sas.com/documentation/cdl/en/stathpug/68163/HTML/default/viewer.htm#stathpug_hpgensel...

any way I can get the same table in proc glmselect? 

This is my code:

proc glmselect data=data plots(stepaxis=normb)=all;
model converted= x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 x11 x12 x13 x14 x15/selection=lasso (choose=sbc) details=all; performance details; run;

This gives me the RootMSE, dependent mean, R-square, Adj R-sq, AIC, AICC, SBC...but not the lambda.

Thanks.

[Reeza]

https://blogs.sas.com/content/iml/2017/01/09/ods-output-any-statistic.html

[Jest]

Thanks. but the issue is not with storing the statistcs, but with generating the lambda values in the output, every other statistic fit is generated. Does sas not generate lambda statistic fit using glmselect?

[Reeza]

Whats your version of SAS/STAT?

proc product_status;run;

[Jest]

the version is: 9.4_M4

[Reeza]

That's your SAS version, not STAT version. Please run the code shown and post the STAT version.

[Jest]

stat version: 14.2

[Reeza]

Post your log please, the code doesn't look correct. 

Selection should be a new line like in the demo.

Yours:

model converted= x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 x11 x12 x13 x14 x15/selection=lasso (choose=sbc) details=all; performance details;

run;

SAS Sample:

model yPoisson = x: / dist=Poisson;
selection method=Lasso(choose=SBC) details=all;

[Jest]

that is because that is the code for hpgenselect..I am trying to get the lambda for glmselect which is different than the demo. with glmselect the option is following a / and not with a new line...I am trying to get the lambda for glmselect. 

Thanks.

[Reeza]

That is what you said, my bad, I missed the difference there. Unfortunately I'm not seeing one, but hopefully someone else knows a way go get it.

[Jest]

thanks! yeah. I hope someone can help with finding a way.

[Rick_SAS]

The GLMSELECT procedure uses the keyword 'L1' instead of 'lambda' .See the GLMSELECT documentation for various ways to search/stop in the parameter space. The L1 option is only available for the group lasso, and the syntax looks something like this:

model y = x1-x100 / selection=GROUPLASSO(stop=L1 L1=0.1 showStepL1);

[Jest]

Thank you Rick! I never replied that this actually worked. Quick question, what is a good L1 value to set it as in your option.

Thanks!

[Rick_SAS]

I don't know. It depends somewhat on the value of the L1CHOICE option. I think "a small value" is what I usually see, similar to ridge parameters. But I don't have any advice as to whether 0.1 is "usually better" than 0.01. I suggest you experiment, possibly on simulated data or which you know the true underlying model.

[cHirap]

I am new to SAS. I am trying to understand LASSO in SAS and glmselect. Can someone hlep mewith some of the my questions here? Thank you. eWhen we do glmselect , is it that SAS choses the value of lambda by its own? If so, how can I get the value of lambda it chose? In one of the post s here you say that you got the value for lambda. Can you share the code? Did you use it for LASSO or group LASSO?

2.One of the posts here says we have to use L1 keyword to set LASSO value. in group LASSO. So is that we can set the value of LASSO only when we use tGROOUP LASSO and not LASSO?

3. After reading the post here I am trying to understand tthe differnce between LASSO and Group LASSO. Can you explain the difference in simple terms?