#' o$f( o$linArgs(par0) )
#' o$f( o$linArgs(par1) )
#' @export
-optimParams <- function(X, Y, K, link=c("logit","probit"))
+optimParams <- function(X, Y, K, link=c("logit","probit"), M=NULL)
{
- # Check arguments
+ # Check arguments
if (!is.matrix(X) || any(is.na(X)))
stop("X: numeric matrix, no NAs")
- if (!is.numeric(Y) || any(is.na(Y)) || any(Y!=0 | Y!=1))
+ if (!is.numeric(Y) || any(is.na(Y)) || any(Y!=0 & Y!=1))
stop("Y: binary vector with 0 and 1 only")
- link <- match.arg(link)
+ link <- match.arg(link)
if (!is.numeric(K) || K!=floor(K) || K < 2)
stop("K: integer >= 2")
- # Build and return optimization algorithm object
- methods::new("OptimParams", "li"=link, "X"=X,
- "Y"=as.integer(Y), "K"=as.integer(K))
+ if (is.null(M))
+ {
+ # Precompute empirical moments
+ Mtmp <- computeMoments(X, Y)
+ M1 <- as.double(Mtmp[[1]])
+ M2 <- as.double(Mtmp[[2]])
+ M3 <- as.double(Mtmp[[3]])
+ M <- c(M1, M2, M3)
+ }
+ else
+ M <- c(M[[1]], M[[2]], M[[3]])
+
+ # Build and return optimization algorithm object
+ methods::new("OptimParams", "li"=link, "X"=X,
+ "Y"=as.integer(Y), "K"=as.integer(K), "Mhat"=as.double(M))
}
#' Encapsulated optimization for p (proportions), β and b (regression parameters)
#' @field W Weights matrix (iteratively refined)
#'
setRefClass(
- Class = "OptimParams",
+ Class = "OptimParams",
- fields = list(
- # Inputs
- li = "character", #link function
- X = "matrix",
- Y = "numeric",
+ fields = list(
+ # Inputs
+ li = "character", #link function
+ X = "matrix",
+ Y = "numeric",
Mhat = "numeric", #vector of empirical moments
- # Dimensions
- K = "integer",
+ # Dimensions
+ K = "integer",
n = "integer",
- d = "integer",
+ d = "integer",
# Weights matrix (generalized least square)
W = "matrix"
- ),
+ ),
- methods = list(
- initialize = function(...)
- {
- "Check args and initialize K, d, W"
+ methods = list(
+ initialize = function(...)
+ {
+ "Check args and initialize K, d, W"
callSuper(...)
- if (!hasArg("X") || !hasArg("Y") || !hasArg("K") || !hasArg("li"))
- stop("Missing arguments")
-
- # Precompute empirical moments
- M <- computeMoments(optargs$X,optargs$Y)
- M1 <- as.double(M[[1]])
- M2 <- as.double(M[[2]])
- M3 <- as.double(M[[3]])
- Mhat <<- matrix(c(M1,M2,M3), ncol=1)
-
- n <<- nrow(X)
- d <<- length(M1)
- W <<- diag(d+d^2+d^3) #initialize at W = Identity
- },
-
- expArgs = function(v)
- {
- "Expand individual arguments from vector v into a list"
-
- list(
- # p: dimension K-1, need to be completed
- "p" = c(v[1:(K-1)], 1-sum(v[1:(K-1)])),
- "β" = matrix(v[K:(K+d*K-1)], ncol=K),
- "b" = v[(K+d*K):(K+(d+1)*K-1)])
- },
-
- linArgs = function(L)
- {
- "Linearize vectors+matrices from list L into a vector"
-
- c(L$p[1:(K-1)], as.double(L$β), L$b)
- },
+ if (!hasArg("X") || !hasArg("Y") || !hasArg("K")
+ || !hasArg("li") || !hasArg("Mhat"))
+ {
+ stop("Missing arguments")
+ }
+
+ n <<- nrow(X)
+ d <<- ncol(X)
+ # W will be initialized when calling run()
+ },
+
+ expArgs = function(v)
+ {
+ "Expand individual arguments from vector v into a list"
+
+ list(
+ # p: dimension K-1, need to be completed
+ "p" = c(v[1:(K-1)], 1-sum(v[1:(K-1)])),
+ "β" = t(matrix(v[K:(K+d*K-1)], ncol=d)),
+ "b" = v[(K+d*K):(K+(d+1)*K-1)])
+ },
+
+ linArgs = function(L)
+ {
+ "Linearize vectors+matrices from list L into a vector"
+
+ # β linearized row by row, to match derivatives order
+ c(L$p[1:(K-1)], as.double(t(L$β)), L$b)
+ },
computeW = function(θ)
{
- dim <- d + d^2 + d^3
- W <<- solve( matrix( .C("Compute_Omega",
- X=as.double(X), Y=as.double(Y), M=as.double(Moments(θ)),
+ require(MASS)
+ dd <- d + d^2 + d^3
+ M <- Moments(θ)
+ Omega <- matrix( .C("Compute_Omega",
+ X=as.double(X), Y=as.integer(Y), M=as.double(M),
pn=as.integer(n), pd=as.integer(d),
- W=as.double(W), PACKAGE="morpheus")$W, nrow=dim, ncol=dim) )
- NULL #avoid returning W
+ W=as.double(W), PACKAGE="morpheus")$W, nrow=dd, ncol=dd )
+ MASS::ginv(Omega)
},
Moments = function(θ)
"Vector of moments, of size d+d^2+d^3"
p <- θ$p
- β <- θ$β
- λ <- sqrt(colSums(β^2))
- b <- θ$b
-
- # Tensorial products β^2 = β2 and β^3 = β3 must be computed from current β1
- β2 <- apply(β, 2, function(col) col %o% col)
- β3 <- apply(β, 2, function(col) col %o% col %o% col)
-
- matrix(c(
- β %*% (p * .G(li,1,λ,b)),
- β2 %*% (p * .G(li,2,λ,b)),
- β3 %*% (p * .G(li,3,λ,b))), ncol=1)
+ β <- θ$β
+ λ <- sqrt(colSums(β^2))
+ b <- θ$b
+
+ # Tensorial products β^2 = β2 and β^3 = β3 must be computed from current β1
+ β2 <- apply(β, 2, function(col) col %o% col)
+ β3 <- apply(β, 2, function(col) col %o% col %o% col)
+
+ c(
+ β %*% (p * .G(li,1,λ,b)),
+ β2 %*% (p * .G(li,2,λ,b)),
+ β3 %*% (p * .G(li,3,λ,b)))
},
f = function(θ)
{
- "Product t(Mi - hat_Mi) W (Mi - hat_Mi) with Mi(theta)"
+ "Product t(hat_Mi - Mi) W (hat_Mi - Mi) with Mi(theta)"
- A <- Moments(θ) - Mhat
+ L <- expArgs(θ)
+ A <- as.matrix(Mhat - Moments(L))
t(A) %*% W %*% A
},
- grad_f = function(θ)
- {
- "Gradient of f, dimension (K-1) + d*K + K = (d+2)*K - 1"
+ grad_f = function(θ)
+ {
+ "Gradient of f, dimension (K-1) + d*K + K = (d+2)*K - 1"
- -2 * t(grad_M(θ)) %*% W %*% (Mhat - Moments(θ))
+ L <- expArgs(θ)
+ -2 * t(grad_M(L)) %*% W %*% as.matrix(Mhat - Moments(L))
},
grad_M = function(θ)
{
"Gradient of the vector of moments, size (dim=)d+d^2+d^3 x K-1+K+d*K"
- L <- expArgs(θ)
- p <- L$p
- β <- L$β
- λ <- sqrt(colSums(β^2))
- μ <- sweep(β, 2, λ, '/')
- b <- L$b
+ p <- θ$p
+ β <- θ$β
+ λ <- sqrt(colSums(β^2))
+ μ <- sweep(β, 2, λ, '/')
+ b <- θ$b
res <- matrix(nrow=nrow(W), ncol=0)
- # Tensorial products β^2 = β2 and β^3 = β3 must be computed from current β1
- β2 <- apply(β, 2, function(col) col %o% col)
- β3 <- apply(β, 2, function(col) col %o% col %o% col)
+ # Tensorial products β^2 = β2 and β^3 = β3 must be computed from current β1
+ β2 <- apply(β, 2, function(col) col %o% col)
+ β3 <- apply(β, 2, function(col) col %o% col %o% col)
- # Some precomputations
- G1 = .G(li,1,λ,b)
- G2 = .G(li,2,λ,b)
- G3 = .G(li,3,λ,b)
- G4 = .G(li,4,λ,b)
- G5 = .G(li,5,λ,b)
+ # Some precomputations
+ G1 = .G(li,1,λ,b)
+ G2 = .G(li,2,λ,b)
+ G3 = .G(li,3,λ,b)
+ G4 = .G(li,4,λ,b)
+ G5 = .G(li,5,λ,b)
# Gradient on p: K-1 columns, dim rows
- km1 = 1:(K-1)
- res <- cbind(res, rbind(
- t( sweep(as.matrix(β [,km1]), 2, G1[km1], '*') - G1[K] * β [,K] ),
- t( sweep(as.matrix(β2[,km1]), 2, G2[km1], '*') - G2[K] * β2[,K] ),
- t( sweep(as.matrix(β3[,km1]), 2, G3[km1], '*') - G3[K] * β3[,K] )))
-
- # TODO: understand derivatives order and match the one in optim init param
- for (i in 1:d)
- {
- # i determines the derivated matrix dβ[2,3]
-
- dβ_left <- sweep(β, 2, p * G3 * β[i,], '*')
- dβ_right <- matrix(0, nrow=d, ncol=K)
- block <- i
- dβ_right[block,] <- dβ_right[block,] + 1
- dβ <- dβ_left + sweep(dβ_right, 2, p * G1, '*')
-
- dβ2_left <- sweep(β2, 2, p * G4 * β[i,], '*')
- dβ2_right <- do.call( rbind, lapply(1:d, function(j) {
- sweep(dβ_right, 2, β[j,], '*')
- }) )
- block <- ((i-1)*d+1):(i*d)
- dβ2_right[block,] <- dβ2_right[block,] + β
- dβ2 <- dβ2_left + sweep(dβ2_right, 2, p * G2, '*')
-
- dβ3_left <- sweep(β3, 2, p * G5 * β[i,], '*')
- dβ3_right <- do.call( rbind, lapply(1:d, function(j) {
- sweep(dβ2_right, 2, β[j,], '*')
- }) )
- block <- ((i-1)*d*d+1):(i*d*d)
- dβ3_right[block,] <- dβ3_right[block,] + β2
- dβ3 <- dβ3_left + sweep(dβ3_right, 2, p * G3, '*')
-
- res <- cbind(res, rbind(t(dβ), t(dβ2), t(dβ3)))
- }
+ km1 = 1:(K-1)
+ res <- cbind(res, rbind(
+ sweep(as.matrix(β [,km1]), 2, G1[km1], '*') - G1[K] * β [,K],
+ sweep(as.matrix(β2[,km1]), 2, G2[km1], '*') - G2[K] * β2[,K],
+ sweep(as.matrix(β3[,km1]), 2, G3[km1], '*') - G3[K] * β3[,K] ))
+
+ for (i in 1:d)
+ {
+ # i determines the derivated matrix dβ[2,3]
+
+ dβ_left <- sweep(β, 2, p * G3 * β[i,], '*')
+ dβ_right <- matrix(0, nrow=d, ncol=K)
+ block <- i
+ dβ_right[block,] <- dβ_right[block,] + 1
+ dβ <- dβ_left + sweep(dβ_right, 2, p * G1, '*')
+
+ dβ2_left <- sweep(β2, 2, p * G4 * β[i,], '*')
+ dβ2_right <- do.call( rbind, lapply(1:d, function(j) {
+ sweep(dβ_right, 2, β[j,], '*')
+ }) )
+ block <- ((i-1)*d+1):(i*d)
+ dβ2_right[block,] <- dβ2_right[block,] + β
+ dβ2 <- dβ2_left + sweep(dβ2_right, 2, p * G2, '*')
+
+ dβ3_left <- sweep(β3, 2, p * G5 * β[i,], '*')
+ dβ3_right <- do.call( rbind, lapply(1:d, function(j) {
+ sweep(dβ2_right, 2, β[j,], '*')
+ }) )
+ block <- ((i-1)*d*d+1):(i*d*d)
+ dβ3_right[block,] <- dβ3_right[block,] + β2
+ dβ3 <- dβ3_left + sweep(dβ3_right, 2, p * G3, '*')
+
+ res <- cbind(res, rbind(dβ, dβ2, dβ3))
+ }
# Gradient on b
- res <- cbind(res, rbind(
- t( sweep(β, 2, p * G2, '*') ),
- t( sweep(β2, 2, p * G3, '*') ),
- t( sweep(β3, 2, p * G4, '*') )))
+ res <- cbind(res, rbind(
+ sweep(β, 2, p * G2, '*'),
+ sweep(β2, 2, p * G3, '*'),
+ sweep(β3, 2, p * G4, '*') ))
- res
- },
+ res
+ },
- run = function(θ0)
- {
- "Run optimization from θ0 with solver..."
+ run = function(θ0)
+ {
+ "Run optimization from θ0 with solver..."
- if (!is.list(θ0))
- stop("θ0: list")
+ if (!is.list(θ0))
+ stop("θ0: list")
if (is.null(θ0$β))
stop("At least θ0$β must be provided")
- if (!is.matrix(θ0$β) || any(is.na(θ0$β)) || ncol(θ0$β) != K)
- stop("θ0$β: matrix, no NA, ncol == K")
+ if (!is.matrix(θ0$β) || any(is.na(θ0$β))
+ || nrow(θ0$β) != d || ncol(θ0$β) != K)
+ {
+ stop("θ0$β: matrix, no NA, nrow = d, ncol = K")
+ }
if (is.null(θ0$p))
θ0$p = rep(1/K, K-1)
- else if (length(θ0$p) != K-1 || sum(θ0$p) > 1)
- stop("θ0$p should contain positive integers and sum to < 1")
- # Next test = heuristic to detect missing b (when matrix is called "beta")
- if (is.null(θ0$b) || all(θ0$b == θ0$β))
+ else if (!is.numeric(θ0$p) || length(θ0$p) != K-1
+ || any(is.na(θ0$p)) || sum(θ0$p) > 1)
+ {
+ stop("θ0$p: length K-1, no NA, positive integers, sum to <= 1")
+ }
+ if (is.null(θ0$b))
θ0$b = rep(0, K)
- else if (any(is.na(θ0$b)))
- stop("θ0$b cannot have missing values")
-
- op_res = constrOptim( linArgs(θ0), .self$f, .self$grad_f,
- ui=cbind(
- rbind( rep(-1,K-1), diag(K-1) ),
- matrix(0, nrow=K, ncol=(d+1)*K) ),
- ci=c(-1,rep(0,K-1)) )
-
- # debug:
- #computeW(expArgs(op_res$par))
- #print(W)
- # We get a first non-trivial estimation of W
- # TODO: loop, this redefine f, so that we can call constrOptim again...
- # Stopping condition? N iterations? Delta <= epsilon ?
-
- expArgs(op_res$par)
- }
- )
+ else if (!is.numeric(θ0$b) || length(θ0$b) != K || any(is.na(θ0$b)))
+ stop("θ0$b: length K, no NA")
+
+ # (Re)Set W to identity, to allow several run from the same object
+ W <<- diag(d+d^2+d^3)
+
+ loopMax <- 2 #TODO: loopMax = 3 ? Seems not improving...
+ x_init <- linArgs(θ0)
+ for (loop in 1:loopMax)
+ {
+ op_res = constrOptim( x_init, .self$f, .self$grad_f,
+ ui=cbind(
+ rbind( rep(-1,K-1), diag(K-1) ),
+ matrix(0, nrow=K, ncol=(d+1)*K) ),
+ ci=c(-1,rep(0,K-1)) )
+ if (loop < loopMax) #avoid computing an extra W
+ W <<- computeW(expArgs(op_res$par))
+ x_init <- op_res$par
+ #print(op_res$value) #debug
+ #print(expArgs(op_res$par)) #debug
+ }
+
+ expArgs(op_res$par)
+ }
+ )
)
# Compute vectorial E[g^{(order)}(<β,x> + b)] with x~N(0,Id) (integral in R^d)
#
.G <- function(link, order, λ, b)
{
- # NOTE: weird "integral divergent" error on inputs:
- # link="probit"; order=2; λ=c(531.8099,586.8893,523.5816); b=c(-118.512674,-3.488020,2.109969)
- # Switch to pracma package for that (but it seems slow...)
+ # NOTE: weird "integral divergent" error on inputs:
+ # link="probit"; order=2; λ=c(531.8099,586.8893,523.5816); b=c(-118.512674,-3.488020,2.109969)
+ # Switch to pracma package for that (but it seems slow...)
sapply( seq_along(λ), function(k) {
res <- NULL
tryCatch({
# Derivatives list: g^(k)(x) for links 'logit' and 'probit'
#
.deriv <- list(
- "probit"=list(
- # 'probit' derivatives list;
- # NOTE: exact values for the integral E[g^(k)(λz+b)] could be computed
- function(x) exp(-x^2/2)/(sqrt(2*pi)), #g'
- function(x) exp(-x^2/2)/(sqrt(2*pi)) * -x, #g''
- function(x) exp(-x^2/2)/(sqrt(2*pi)) * ( x^2 - 1), #g^(3)
- function(x) exp(-x^2/2)/(sqrt(2*pi)) * (-x^3 + 3*x), #g^(4)
- function(x) exp(-x^2/2)/(sqrt(2*pi)) * ( x^4 - 6*x^2 + 3) #g^(5)
- ),
- "logit"=list(
- # Sigmoid derivatives list, obtained with http://www.derivative-calculator.net/
- # @seealso http://www.ece.uc.edu/~aminai/papers/minai_sigmoids_NN93.pdf
- function(x) {e=exp(x); .zin(e /(e+1)^2)}, #g'
- function(x) {e=exp(x); .zin(e*(-e + 1) /(e+1)^3)}, #g''
- function(x) {e=exp(x); .zin(e*( e^2 - 4*e + 1) /(e+1)^4)}, #g^(3)
- function(x) {e=exp(x); .zin(e*(-e^3 + 11*e^2 - 11*e + 1) /(e+1)^5)}, #g^(4)
- function(x) {e=exp(x); .zin(e*( e^4 - 26*e^3 + 66*e^2 - 26*e + 1)/(e+1)^6)} #g^(5)
- )
+ "probit"=list(
+ # 'probit' derivatives list;
+ # NOTE: exact values for the integral E[g^(k)(λz+b)] could be computed
+ function(x) exp(-x^2/2)/(sqrt(2*pi)), #g'
+ function(x) exp(-x^2/2)/(sqrt(2*pi)) * -x, #g''
+ function(x) exp(-x^2/2)/(sqrt(2*pi)) * ( x^2 - 1), #g^(3)
+ function(x) exp(-x^2/2)/(sqrt(2*pi)) * (-x^3 + 3*x), #g^(4)
+ function(x) exp(-x^2/2)/(sqrt(2*pi)) * ( x^4 - 6*x^2 + 3) #g^(5)
+ ),
+ "logit"=list(
+ # Sigmoid derivatives list, obtained with http://www.derivative-calculator.net/
+ # @seealso http://www.ece.uc.edu/~aminai/papers/minai_sigmoids_NN93.pdf
+ function(x) {e=exp(x); .zin(e /(e+1)^2)}, #g'
+ function(x) {e=exp(x); .zin(e*(-e + 1) /(e+1)^3)}, #g''
+ function(x) {e=exp(x); .zin(e*( e^2 - 4*e + 1) /(e+1)^4)}, #g^(3)
+ function(x) {e=exp(x); .zin(e*(-e^3 + 11*e^2 - 11*e + 1) /(e+1)^5)}, #g^(4)
+ function(x) {e=exp(x); .zin(e*( e^4 - 26*e^3 + 66*e^2 - 26*e + 1)/(e+1)^6)} #g^(5)
+ )
)
# Utility for integration: "[return] zero if [argument is] NaN" (Inf / Inf divs)
#
.zin <- function(x)
{
- x[is.nan(x)] <- 0.
- x
+ x[is.nan(x)] <- 0.
+ x
}
projects / morpheus.git / blobdiff