Thanks for the thought in any case Mark. Your right about the brute force. I'll expand a bit with an example though for the sake of clarity. Given a correlation matrix of 4 covariates ABCD with distances of: AB=0.2; AC=0.6; AD=0.3 ; BC=0.9 ; BD=0.8 ; CD=0.7 Find the optimal subset (size > n, n being the number of covariates) where the mean of r for the subset is a maximum. Of course all NxN distances need to be considered between any chosen subset covariates. Thus for n>1, the solution would be simply BC = 0.9 And for n>2, the solution would be BCD as (BC + CD + BD)/3) = 0.8 is the maximum mean r value that could be obtained from any of the subsets with n>2. I'd expected that this would be a common problem but 2 days of googling has given me little. I'm expecting a greedy graph traversal or the like will be my answer but I'd hoped to whip a solution of in R. Any help would be greatly appreciated. Ryan
Leeds, Mark (IED) wrote:
hi ryan : I reread and you already have the correlation matrix so brute force should definitely work. So, if the correlation matrix was size 20 by 20 and your n was 9. Then, you have to have of size 10 or greater so the number of possoibilities would be ( 20 choose 10 ) + ( 20 choose 11 ) + ( 200 choose 12 ) + ( 20 choose 13 ) + ......... ( 20 choose 20 ) Oh boy, it is too large a problem to do by brute force. There are too many possibilities even for this size of problem. Hopefully Someone else will have a better idea. Forget my brute force idea. It's useless and I apologize. I Made a mistake. -----Original Message----- From: r-help-bounces at stat.math.ethz.ch [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Ryan Austin Sent: Friday, October 13, 2006 2:43 PM To: r-help at stat.math.ethz.ch Subject: [R] a correlation matrix subset where the subset avg is a maximum Hello R group, Given a correlation matrix, I would like to obtain the best subset of pairs in the matrix of some size > n such that the mean of r for that subset is a maximum compared to any other possible subset of size > n. I've been looking at the deal and subselect packages but they don't seem to do what I need. Does anyone have any suggestions? Thanks in advance, Ryan
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