[R] a correlation matrix subset where the subset avg is a maximum

[Ryan Austin]

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 off 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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