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# ' newtheta for Newton
# ' @param X dataset without intercept
# ' @param Z the structure (square without intercept)
# ' @param B the wheighted structure (p+1)xp
# ' @param Atilde p-sized vector of explicative coeffcients
# ' @param Sigma vector of the standard deviations of the subregressions (p2 long)
# ' @param A vector of the coefficient for the main regression
# ' @param lambda lagrange multiplicators
# ' @param nbit number of iteration for Newton
# ' @export
newtheta <- function(X = X, Z = Z, B = B, Sigma = Sigma, A = A, lambda = NULL, Atilde = Atilde, nbit = 1) {
X = cbind(1, X)
I2 = which(colSums(Z) != 0)
p2 = length(I2)
Z = rbind(0, Z)
Z[1, I2] = 1 # on ajoute une constante a chaque ssreg
Z = cbind(0, Z)
I2 = I2 + 1
pz = sum(Z != 0)
quidroite = which(rowSums(Z[, ]) != 0)
p1 = length(which(rowSums(Z[-I2, ]) != 0)) # I3 ne doit pas intervenir
if (is.null(lambda)) {
lambda = rep(1, times = p1)
}
n = nrow(X)
J = matrix(0, ncol = (p1 + p2 + pz), nrow = (p1 + p2 + pz))
barZ = which(Z != 0, arr.ind = TRUE)
Fvect = rep(0, times = (p1 + p2 + pz))
for (it in 1:nbit) {
# message(it)
for (j in 1:p2) {
I1j = barZ[barZ[, 2] == I2[j], 1]
debcolj = nrow(barZ[barZ[, 2] < I2[j], ])
colonne = (debcolj + 1):(debcolj + sum(Z[, I2[j]])) # sous-reg precedentes+
Fvect[colonne] = (1 / Sigma[j]^2) * t(X[, I1j]) %*% (X[, I2[j]] - X[, I1j] %*% B[I1j, I2[j] - 1]) + A[I2[j]] * lambda[which(Z[quidroite, I2[j]] != 0)]
Fvect[pz + p1 + j] = Sigma[j]^2 - (1 / n) * t(X[, I2[j]] - X[, I1j] %*% B[I1j, I2[j] - 1]) %*% (X[, I2[j]] - X[, I1j] %*% B[I1j, I2[j] - 1])
J[pz + p1 + j, pz + p1 + j] = 2 * Sigma[j] # bloc J9
J[pz + p1 + j, colonne] = (2 / n) * t(X[, I2[j]] - X[, I1j] %*% B[I1j, I2[j] - 1]) %*% X[, I1j] # bloc J7
diag(J[pz + (1:p1), which(barZ[, 2] == I2[j])]) = A[I2[j]] # attention on compte l'intercept #blocJ4
J[colonne, pz + p1 + j] = (-2 / (Sigma[j]^3)) * t(X[, I1j]) %*% (X[, I2[j]] - X[, I1j] %*% B[I1j, I2[j] - 1]) # bloc J3
diag(J[which(barZ[, 2] == I2[j]), pz + (1:p1)]) = A[I2[j]] # attention on compte l'intercept #bloc J2
diag(J[colonne, colonne]) = (-1 / (Sigma[j]^2)) * diag(t(X[, I1j]) %*% (X[, I1j])) # bloc J1
}
Fvect[(pz + 1):(pz + p1)] = A[quidroite] + as.matrix(B[quidroite, I2 - 1]) %*% A[I2] - Atilde[quidroite]
if (rcond(J) > 10^(-16)) {
matint = solve(J) %*% Fvect
for (j in 1:p2) {
I1j = barZ[barZ[, 2] == I2[j], 1]
debcolj = nrow(barZ[barZ[, 2] < I2[j], ])
colonne = (debcolj + 1):(debcolj + sum(Z[, I2[j]])) # sous-reg precedentes+
B[I1j, I2[j] - 1] = B[I1j, I2[j] - 1] - matint[colonne]
}
Sigma = Sigma - matint[-c(1:(pz + p1))]
lambda = lambda - matint[c((pz + 1):(pz + p1))]
} else {
message(it)
message("numerically singular matrix J")
# break
}
}
return(list(B = B, Sigma = Sigma, lambda = lambda))
}
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