penalty: Computes penalty based on quadratic form

In LaMa: Fast Numerical Maximum Likelihood Estimation for Latent Markov Models

Computes penalty based on quadratic form

Description

This function computes quadratic penalties of the form

0.5 \sum_{i} \lambda_i b_i^T S_i b_i,

with smoothing parameters \lambda_i, coefficient vectors b_i, and fixed penalty matrices S_i.

It is intended to be used inside the penalised negative log-likelihood function when fitting models with penalised splines or simple random effects via quasi restricted maximum likelihood (qREML) with the qreml function. For qreml to work, the likelihood function needs to be compatible with the RTMB R package to enable automatic differentiation.

Usage

penalty(re_coef, S, lambda)

Arguments

re_coef	coefficient vector/ matrix or list of coefficient vectors/ matrices Each list entry corresponds to a different smooth/ random effect with its own associated penalty matrix in S. When several smooths/ random effects of the same kind are present, it is convenient to pass them as a matrix, where each row corresponds to one smooth/ random effect. This way all rows can use the same penalty matrix.
S	fixed penalty matrix or list of penalty matrices matching the structure of re_coef and also the dimension of the individuals smooths/ random effects
lambda	penalty strength parameter vector that has a length corresponding to the total number of random effects/ spline coefficients in re_coef E.g. if re_coef contains one vector and one matrix with 4 rows, then lambda needs to be of length 5.

Details

Caution: The formatting of re_coef needs to match the structure of the parameter list in your penalised negative log-likelihood function, i.e. you cannot have two random effect vectors of different names (different list elements in the parameter list), combine them into a matrix inside your likelihood and pass the matrix to penalty. If these are seperate random effects, each with its own name, they need to be passed as a list to penalty. Moreover, the ordering of re_coef needs to match the character vector random specified in qreml.

Value

returns the penalty value and reports to qreml.

References

Koslik, J. O. (2024). Efficient smoothness selection for nonparametric Markov-switching models via quasi restricted maximum likelihood. arXiv preprint arXiv:2411.11498.

See Also

qreml for the qREML algorithm

Examples

# Example with a single random effect
re = rep(0, 5)
S = diag(5)
lambda = 1
penalty(re, S, lambda)

# Example with two random effects, 
# where one element contains two random effects of similar structure
re = list(matrix(0, 2, 5), rep(0, 4))
S = list(diag(5), diag(4))
lambda = c(1,1,2) # length = total number of random effects
penalty(re, S, lambda)

# Full model-fitting example
data = trex[1:1000,] # subset

# initial parameter list
par = list(logmu = log(c(0.3, 1)), # step mean
           logsigma = log(c(0.2, 0.7)), # step sd
           beta0 = c(-2,-2), # state process intercept
           betaspline = matrix(rep(0, 18), nrow = 2)) # state process spline coefs
          
# data object with initial penalty strength lambda
dat = list(step = data$step, # step length
           tod = data$tod, # time of day covariate
           N = 2, # number of states
           lambda = rep(10,2)) # initial penalty strength

# building model matrices
modmat = make_matrices(~ s(tod, bs = "cp"), 
                       data = data.frame(tod = 1:24), 
                       knots = list(tod = c(0,24))) # wrapping points
dat$Z = modmat$Z # spline design matrix
dat$S = modmat$S # penalty matrix

# penalised negative log-likelihood function
pnll = function(par) {
  getAll(par, dat) # makes everything contained available without $
  Gamma = tpm_g(Z, cbind(beta0, betaspline)) # transition probabilities
  delta = stationary_p(Gamma, t = 1) # initial distribution
  mu = exp(logmu) # step mean
  sigma = exp(logsigma) # step sd
  # calculating all state-dependent densities
  allprobs = matrix(1, nrow = length(step), ncol = N)
  ind = which(!is.na(step)) # only for non-NA obs.
  for(j in 1:N) allprobs[ind,j] = dgamma2(step[ind],mu[j],sigma[j])
  -forward_g(delta, Gamma[,,tod], allprobs) +
      penalty(betaspline, S, lambda) # this does all the penalization work
}

# model fitting
mod = qreml(pnll, par, dat, random = "betaspline")

LaMa documentation built on June 8, 2025, 1:53 p.m.