wbart: BART for continuous outcomes

In BART: Bayesian Additive Regression Trees

BART for continuous outcomes

Description

BART is a Bayesian “sum-of-trees” model.
For a numeric response y, we have y = f(x) + \epsilon, where \epsilon \sim N(0,\sigma^2).

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

wbart(
   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,
   sigest=NA, sigdf=3, sigquant=.90,
   k=2.0, power=2.0, base=.95,
   sigmaf=NA, lambda=NA,
   fmean=mean(y.train), w=rep(1,length(y.train)),
   ntree=200L, numcut=100L,
   ndpost=1000L, nskip=100L, keepevery=1L,
   nkeeptrain=ndpost, nkeeptest=ndpost,
   nkeeptestmean=ndpost, nkeeptreedraws=ndpost,
   printevery=100L, transposed=FALSE 
)

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. wbart will generate draws of f(x) for each x which is a row of x.train.
y.train	Continuous dependent variable for training (in sample) data.
x.test	Explanatory variables for test (out of sample) data. Should have same structure as x.train. wbart 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.
sigest	The prior for the error variance (\sigma^2) is inverted chi-squared (the standard conditionally conjugate prior). The prior is specified by choosing the degrees of freedom, a rough estimate of the corresponding standard deviation and a quantile to put this rough estimate at. If sigest=NA then the rough estimate will be the usual least squares estimator. Otherwise the supplied value will be used.
sigdf	Degrees of freedom for error variance prior.
sigquant	The quantile of the prior that the rough estimate (see sigest) is placed at. The closer the quantile is to 1, the more aggresive the fit will be as you are putting more prior weight on error standard deviations (\sigma) less than the rough estimate.
k	For numeric y, k is the number of prior standard deviations E(Y|x) = f(x) is away from +/-.5. 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.
sigmaf	The SD of f.
lambda	The scale of the prior for the variance.
fmean	BART operates on y.train centered by fmean.
w	Vector of weights which multiply the standard deviation.
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.
nkeeptrain	Number of MCMC iterations to be returned for train data.
nkeeptest	Number of MCMC iterations to be returned for test data.
nkeeptestmean	Number of MCMC iterations to be returned for test mean.
nkeeptreedraws	Number of MCMC iterations to be returned for tree draws.
printevery	As the MCMC runs, a message is printed every printevery draws.
keepevery	Every keepevery draw is kept to be returned to the user.
transposed	When running wbart in parallel, it is more memory-efficient to transpose x.train and x.test, if any, prior to calling mc.wbart.

Details

BART is an Bayesian MCMC method. At each MCMC interation, we produce a draw from the joint posterior (f,\sigma) | (x,y) in the numeric 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) (and \sigma^* in the numeric case) where * denotes a particular draw. The x is either a row from the training data (x.train) or the test data (x.test).

Value

wbart returns an object of type wbart which is essentially a list. In the numeric y case, the list has components:

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.
yhat.train.mean	train data fits = mean of yhat.train columns.
yhat.test.mean	test data fits = mean of yhat.test columns.
sigma	post burn in draws of sigma, length = ndpost.
first.sigma	burn-in draws of sigma.
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.
sigest	The rough error standard deviation (\sigma) used in the prior.

See Also

pbart

Examples

##simulate data (example from Friedman MARS paper)
f = function(x){
10*sin(pi*x[,1]*x[,2]) + 20*(x[,3]-.5)^2+10*x[,4]+5*x[,5]
}
sigma = 1.0  #y = f(x) + sigma*z , z~N(0,1)
n = 100      #number of observations
set.seed(99)
x=matrix(runif(n*10),n,10) #10 variables, only first 5 matter
Ey = f(x)
y=Ey+sigma*rnorm(n)
lmFit = lm(y~.,data.frame(x,y)) #compare lm fit to BART later

##test BART with token run to ensure installation works
set.seed(99)
bartFit = wbart(x,y,nskip=5,ndpost=5)

## Not run: 
##run BART
set.seed(99)
bartFit = wbart(x,y)

##compare BART fit to linear matter and truth = Ey
fitmat = cbind(y,Ey,lmFit$fitted,bartFit$yhat.train.mean)
colnames(fitmat) = c('y','Ey','lm','bart')
print(cor(fitmat))

## End(Not run)

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