A repository to reproduce the numerical results in the Derandomized Knockoffs paper.

We provide the code to exactly reproduce the numerical results in Section 3-5 of the paper. Based on the code, we additionally develop an R package derandomKnock, which will be constantly improved and udpated. We recommend the users to check out the R package if they want to want to use the procedure.

• R/: contains the main functions that implement the variable selection procedures.
• simulations/: contains the scripts to carry out the simulations.
• results/: stores the result.
• bash/: bash files to run the simulations.

Each script in the simulations/ folder implements one run of the simulation. The users can specify the amplitude and the seed when running the script. For example, to implement one run of the small-scale experiment in Section 3 with amplitude 4 and seed 1, run the following command in your terminal:

Rscript ./simulations/pfer_small.R 4 1

The results presented in the paper are averaged over multiple runs. The user can use the bash file in bash/ to automatically implement multiple runs of the simulation. But note that it may take a long time if it is run on a laptop. To use the bash file, run the following code in your terminal:

bash ./bash/run_all.sh