mc.pbart: Probit BART for dichotomous outcomes with Normal latents and...

In BART: Bayesian Additive Regression Trees

Probit BART for dichotomous outcomes with Normal latents and parallel computation

Description

BART is a Bayesian “sum-of-trees” model.
For a binary response y, P(Y=1 | x) = F(f(x)), where F denotes the standard normal cdf (probit link).

In both cases, f is the sum of many tree models. The goal is to have very flexible inference for the uknown function f.

In the spirit of “ensemble models”, each tree is constrained by a prior to be a weak learner so that it contributes a small amount to the overall fit.

Usage

mc.pbart(
   x.train, y.train, x.test=matrix(0.0,0,0),
   sparse=FALSE, theta=0, omega=1,
   a=0.5, b=1, augment=FALSE, rho=NULL,
   xinfo=matrix(0.0,0,0), usequants=FALSE,
   cont=FALSE, rm.const=TRUE,
   k=2.0, power=2.0, base=.95,
   binaryOffset=NULL,
   ntree=50L, numcut=100L,
   ndpost=1000L, nskip=100L,
   keepevery=1L, printevery=100,
   keeptrainfits=TRUE, transposed=FALSE,

   mc.cores = 2L, nice = 19L,
   seed = 99L
)

Arguments

x.train	Explanatory variables for training (in sample) data. May be a matrix or a data frame, with (as usual) rows corresponding to observations and columns to variables. If a variable is a factor in a data frame, it is replaced with dummies. Note that q dummies are created if q>2 and one dummy is created if q=2, where q is the number of levels of the factor. pbart will generate draws of f(x) for each x which is a row of x.train.
y.train	Binary dependent variable for training (in sample) data.
x.test	Explanatory variables for test (out of sample) data. Should have same structure as x.train. pbart will generate draws of f(x) for each x which is a row of x.test.
sparse	Whether to perform variable selection based on a sparse Dirichlet prior rather than simply uniform; see Linero 2016.
theta	Set theta parameter; zero means random.
omega	Set omega parameter; zero means random.
a	Sparse parameter for Beta(a, b) prior: 0.5<=a<=1 where lower values inducing more sparsity.
b	Sparse parameter for Beta(a, b) prior; typically, b=1.
rho	Sparse parameter: typically rho=p where p is the number of covariates under consideration.
augment	Whether data augmentation is to be performed in sparse variable selection.
xinfo	You can provide the cutpoints to BART or let BART choose them for you. To provide them, use the xinfo argument to specify a list (matrix) where the items (rows) are the covariates and the contents of the items (columns) are the cutpoints.
usequants	If usequants=FALSE, then the cutpoints in xinfo are generated uniformly; otherwise, if TRUE, uniform quantiles are used for the cutpoints.
cont	Whether or not to assume all variables are continuous.
rm.const	Whether or not to remove constant variables.
k	For binary y, k is the number of prior standard deviations f(x) is away from +/-3. The bigger k is, the more conservative the fitting will be.
power	Power parameter for tree prior.
base	Base parameter for tree prior.
binaryOffset	Used for binary y. The model is P(Y=1 | x) = F(f(x) + binaryOffset).
ntree	The number of trees in the sum.
numcut	The number of possible values of c (see usequants). If a single number if given, this is used for all variables. Otherwise a vector with length equal to ncol(x.train) is required, where the i^{th} element gives the number of c used for the i^{th} variable in x.train. If usequants is false, numcut equally spaced cutoffs are used covering the range of values in the corresponding column of x.train. If usequants is true, then min(numcut, the number of unique values in the corresponding columns of x.train - 1) c values are used.
ndpost	The number of posterior draws returned.
nskip	Number of MCMC iterations to be treated as burn in.
keepevery	Every keepevery draw is kept to be returned to the user.
printevery	As the MCMC runs, a message is printed every printevery draws.
keeptrainfits	Whether to keep yhat.train or not.
transposed	When running pbart in parallel, it is more memory-efficient to transpose x.train and x.test, if any, prior to calling mc.pbart.
seed	Setting the seed required for reproducible MCMC.
mc.cores	Number of cores to employ in parallel.
nice	Set the job niceness. The default niceness is 19: niceness goes from 0 (highest) to 19 (lowest).

Details

BART is an Bayesian MCMC method. At each MCMC interation, we produce a draw from f in the binary y case.

Thus, unlike a lot of other modelling methods in R, we do not produce a single model object from which fits and summaries may be extracted. The output consists of values f^*(x) where * denotes a particular draw. The x is either a row from the training data (x.train) or the test data (x.test).

Value

mc.pbart returns an object of type pbart which is essentially a list.

yhat.train	A matrix with ndpost rows and nrow(x.train) columns. Each row corresponds to a draw f^* from the posterior of f and each column corresponds to a row of x.train. The (i,j) value is f^*(x) for the i^{th} kept draw of f and the j^{th} row of x.train. Burn-in is dropped.
yhat.test	Same as yhat.train but now the x's are the rows of the test data.
varcount	a matrix with ndpost rows and nrow(x.train) columns. Each row is for a draw. For each variable (corresponding to the columns), the total count of the number of times that variable is used in a tree decision rule (over all trees) is given.

In addition the list has a binaryOffset component giving the value used.

Note that in the binary y, case yhat.train and yhat.test are f(x) + binaryOffset. If you want draws of the probability P(Y=1 | x) you need to apply the normal cdf (pnorm) to these values.

See Also

pbart

Examples

set.seed(99)
n=5000
x = sort(-2+4*runif(n))
X=matrix(x,ncol=1)
f = function(x) {return((1/2)*x^3)}
FL = function(x) {return(exp(x)/(1+exp(x)))}
pv = FL(f(x))
y = rbinom(n,1,pv)
np=100
xp=-2+4*(1:np)/np
Xp=matrix(xp,ncol=1)

## parallel::mcparallel/mccollect do not exist on windows
if(.Platform$OS.type=='unix') {
##test BART with token run to ensure installation works
    mf = mc.pbart(X, y, nskip=5, ndpost=5, mc.cores=1, seed=99)
}

## Not run: 
set.seed(99)
pf = pbart(X,y,Xp)

## plot(f(Xp), pf$yhat.test.mean, xlim=c(-4, 4), ylim=c(-4, 4),
##      xlab='True f(x)', ylab='BART f(x)')
## lines(c(-4, 4), c(-4, 4))

mf = mc.pbart(X,y,Xp, mc.cores=4, seed=99)

## plot(f(Xp), mf$yhat.test.mean, xlim=c(-4, 4), ylim=c(-4, 4),
##      xlab='True f(x)', ylab='BART f(x)')
## lines(c(-4, 4), c(-4, 4))

par(mfrow=c(2,2))

plot(range(xp),range(pf$yhat.test),xlab='x',ylab='f(x)',type='n')
lines(x,f(x),col='blue',lwd=2)
lines(xp,apply(pf$yhat.test,2,mean),col='red')
qpl = apply(pf$yhat.test,2,quantile,probs=c(.025,.975))
lines(xp,qpl[1,],col='green',lty=1)
lines(xp,qpl[2,],col='green',lty=1)
title(main='BART::pbart f(x) with 0.95 intervals')

plot(range(xp),range(mf$yhat.test),xlab='x',ylab='f(x)',type='n')
lines(x,f(x),col='blue',lwd=2)
lines(xp,apply(mf$yhat.test,2,mean),col='red')
qpl = apply(mf$yhat.test,2,quantile,probs=c(.025,.975))
lines(xp,qpl[1,],col='green',lty=1)
lines(xp,qpl[2,],col='green',lty=1)
title(main='BART::mc.pbart f(x) with 0.95 intervals')

## plot(pf$yhat.test.mean,apply(mf$yhat.test,2,mean),xlab='BART::pbart',ylab='BART::mc.pbart')
## abline(0,1,col='red')
## title(main="BART::pbart f(x) vs. BART::mc.pbart f(x)")

## End(Not run)

BART documentation built on June 22, 2024, 11:33 a.m.