R/HDPHMMpoisson.R

In MCMCpack: Markov Chain Monte Carlo (MCMC) Package

################################
## Sitcky HDP-HMM Poisson Changepoint Model
##
##
## Matthew Blackwell 05/22/2017
################################

#' Markov Chain Monte Carlo for sticky HDP-HMM with a Poisson
#' outcome distribution
#'
#' This function generates a sample from the posterior distribution of
#' a (sticky) HDP-HMM with a Poisson outcome distribution
#' (Fox et al, 2011). The user supplies data and priors, and a
#' sample from the posterior distribution is returned as an mcmc
#' object, which can be subsequently analyzed with functions provided
#' in the coda package.
#'
#' \code{HDPHMMpoisson} simulates from the posterior distribution of a
#' sticky HDP-HMM with a Poisson outcome distribution,
#' allowing for multiple, arbitrary changepoints in the model. The details of the
#' model are discussed in Blackwell (2017). The implementation here is
#' based on a weak-limit approximation, where there is a large, though
#' finite number of regimes that can be switched between. Unlike other
#' changepoint models in \code{MCMCpack}, the HDP-HMM approach allows
#' for the state sequence to return to previous visited states.
#'
#'  The model takes the following form, where we show the fixed-limit version:
#'
#' \deqn{y_t \sim \mathcal{P}oisson(\mu_t)}
#'
#' \deqn{\mu_t = x_t ' \beta_m,\;\; m = 1, \ldots, M}
#'
#'
#' Where \eqn{M} is an upper bound on the number of states and
#' \eqn{\beta_m} are parameters when a state is
#' \eqn{m} at \eqn{t}.
#'
#' The transition probabilities between states are assumed to follow a
#' heirarchical Dirichlet process:
#'
#' \deqn{\pi_m \sim \mathcal{D}irichlet(\alpha\delta_1, \ldots,
#' \alpha\delta_j + \kappa, \ldots, \alpha\delta_M)}
#'
#' \deqn{\delta \sim \mathcal{D}irichlet(\gamma/M, \ldots, \gamma/M)}
#'
#'  The \eqn{\kappa} value here is the sticky parameter that
#'  encourages self-transitions. The sampler follows Fox et al (2011)
#'  and parameterizes these priors with \eqn{\alpha + \kappa} and
#'  \eqn{\theta = \kappa/(\alpha + \kappa)}, with the latter
#'  representing the degree of self-transition bias. Gamma priors are
#'  assumed for \eqn{(\alpha + \kappa)} and \eqn{\gamma}.
#'
#' We assume Gaussian distribution for prior of \eqn{\beta}:
#'
#' \deqn{\beta_m \sim \mathcal{N}(b_0,B_0^{-1}),\;\; m = 1, \ldots, M}
#'
#'
#' The model is simulated via blocked Gibbs conditonal on the states.
#' The \eqn{\beta} being simulated via the auxiliary mixture sampling
#' method of Fuerhwirth-Schanetter et al. (2009). The states are
#' updated as in Fox et al (2011), supplemental materials.
#'
#' @param formula Model formula.
#'
#' @param data Data frame.
#'
#' @param K The number of regimes under consideration. This should be
#'   larger than the hypothesized number of regimes in the data. Note
#'   that the sampler will likely visit fewer than \code{K} regimes.
#'
#' @param burnin The number of burn-in iterations for the sampler.
#'
#' @param mcmc The number of Metropolis iterations for the sampler.
#'
#' @param thin The thinning interval used in the simulation.  The number of
#' mcmc iterations must be divisible by this value.
#'
#' @param verbose A switch which determines whether or not the progress of the
#' sampler is printed to the screen.  If \code{verbose} is greater than 0 the
#' iteration number, the current beta vector, and the Metropolis acceptance
#' rate are printed to the screen every \code{verbose}th iteration.
#'
#' @param seed The seed for the random number generator.  If NA, the Mersenne
#' Twister generator is used with default seed 12345; if an integer is passed
#' it is used to seed the Mersenne twister.  The user can also pass a list of
#' length two to use the L'Ecuyer random number generator, which is suitable
#' for parallel computation.  The first element of the list is the L'Ecuyer
#' seed, which is a vector of length six or NA (if NA a default seed of
#' \code{rep(12345,6)} is used).  The second element of list is a positive
#' substream number. See the MCMCpack specification for more details.
#'
#'
#' @param b0 The prior mean of \eqn{\beta}.  This can either be a scalar
#' or a column vector with dimension equal to the number of betas. If this
#' takes a scalar value, then that value will serve as the prior mean for all
#' of the betas.
#'
#' @param B0 The prior precision of \eqn{\beta}.  This can either be a
#' scalar or a square matrix with dimensions equal to the number of betas.  If
#' this takes a scalar value, then that value times an identity matrix serves
#' as the prior precision of beta. Default value of 0 is equivalent to an
#' improper uniform prior for beta.
#'
#' @param beta.start The starting value for the \eqn{\beta} vector.  This
#' can either be a scalar or a column vector with dimension equal to the number
#' of betas. If this takes a scalar value, then that value will serve as the
#' starting value for all of the betas.  The default value of NA will use the
#' maximum likelihood estimate of \eqn{\beta} as the starting value
#'   for all regimes.
#'
#'
#' @param a.theta,b.theta Paramaters for the Beta prior on
#'   \eqn{\theta}, which captures the strength of the self-transition
#'   bias.
#'
#' @param a.alpha,b.alpha Shape and scale parameters for the Gamma
#'   distribution on \eqn{\alpha + \kappa}.
#'
#' @param a.gamma,b.gamma Shape and scale parameters for the Gamma
#'   distribution on \eqn{\gamma}.
#'
#' @param theta.start,ak.start,gamma.start Scalar starting values for the
#'   \eqn{\theta}, \eqn{\alpha + \kappa}, and \eqn{\gamma} parameters.
#'
#' @param P.start Initial transition matrix between regimes. Should be
#'   a \code{K} by \code{K} matrix. If not provided, the default value
#'   will be place \code{theta.start} along the diagonal and the rest
#'   of the mass even distributed within rows.
#'
#' @param ... further arguments to be passed.
#'
#' @return An mcmc object that contains the posterior sample.  This object can
#' be summarized by functions provided by the coda package.
#'
#' @export
#'
#' @seealso \code{\link{MCMCpoissonChange}}, \code{\link{HDPHMMnegbin}}
#'
#' @references Andrew D. Martin, Kevin M. Quinn, and Jong Hee Park. 2011.
#' ``MCMCpack: Markov Chain Monte Carlo in R.'', \emph{Journal of Statistical
#' Software}. 42(9): 1-21.  \doi{10.18637/jss.v042.i09}.
#'
#' Daniel Pemstein, Kevin M. Quinn, and Andrew D. Martin.  2007.  \emph{Scythe
#' Statistical Library 1.0.} \url{http://scythe.lsa.umich.edu}.
#'
#' Sylvia Fruehwirth-Schnatter, Rudolf Fruehwirth, Leonhard Held, and
#'     Havard Rue. 2009. ``Improved auxiliary mixture sampling for
#'     hierarchical models of non-Gaussian data'', \emph{Statistics
#'     and Computing} 19(4): 479-492.
#'     <doi:10.1007/s11222-008-9109-4>
#'
#' Matthew Blackwell. 2017. ``Game Changers: Detecting Shifts in
#'   Overdispersed Count Data,'' \emph{Political Analysis}
#'   26(2), 230-239. <doi:10.1017/pan.2017.42>
#'
#' Emily B. Fox, Erik B. Sudderth, Michael I. Jordan, and Alan S.
#'   Willsky. 2011.. ``A sticky HDP-HMM with application to speaker
#'   diarization.'' \emph{The Annals of Applied Statistics}, 5(2A),
#'   1020-1056. <doi:10.1214/10-AOAS395>
#'
#' @keywords models
#'
#' @examples
#'
#'  \dontrun{
#'    n <- 150
#'    reg <- 3
#'    true.s <- gl(reg, n/reg, n)
#'    b1.true <- c(1, -2, 2)
#'    x1 <- runif(n, 0, 2)
#'    mu <- exp(1 + x1 * b1.true[true.s])
#'    y <- rpois(n, mu)
#'
#'    posterior <- HDPHMMpoisson(y ~ x1, K = 10, verbose = 1000,
#'                           a.theta = 100, b.theta = 1,
#'                           b0 = rep(0, 2), B0 = (1/9) * diag(2),
#'                           seed = list(NA, 2),
#'                           theta.start = 0.95, gamma.start = 10,
#'                           ak.start = 10)
#'
#'    plotHDPChangepoint(posterior, ylab="Density", start=1)
#'    }
#'

"HDPHMMpoisson"<-
  function(formula, data = parent.frame(), K = 10,
           b0 = 0, B0 = 1,
           a.alpha = 1, b.alpha = 0.1, a.gamma = 1, b.gamma = 0.1,
           a.theta = 50, b.theta = 5,
           burnin = 1000, mcmc = 1000, thin = 1, verbose = 0,
           seed = NA, beta.start = NA, P.start = NA,
           gamma.start = 0.5, theta.start = 0.98, ak.start = 100, ...) {

    ## form response and model matrices
    holder <- parse.formula(formula, data)
    y <- holder[[1]]
    X <- holder[[2]]
    xnames <- holder[[3]]
    J <- ncol(X)
    n <- length(y)
    n.arrival<-  y + 1
    NT      <-  max(n.arrival)
    tot.comp <-  n + sum(y)
    ns      <- K

    ## check iteration parameters
    check.mcmc.parameters(burnin, mcmc, thin)
    totiter <- mcmc + burnin
    cl <- match.call()
    nstore <- mcmc/thin

    ## seeds
    seeds <- form.seeds(seed)
    lecuyer <- seeds[[1]]
    seed.array <- seeds[[2]]
    lecuyer.stream <- seeds[[3]]
    if(!any(is.na(seed)) & (length(seed) == 1)) set.seed(seed)


    mvn.prior <- form.mvn.prior(b0, B0, J)
    b0 <- mvn.prior[[1]]
    B0 <- mvn.prior[[2]]

    Pstart <- check.hdp.P(P.start, ns, n, theta.start)

    betastart  <- beta.change.start(beta.start, ns, J, formula, family=poisson, data)
    ## new taus/
    taustart <- tau.negbin.initial(y)
    component1start  <-  round(runif(tot.comp, 1, 10))

    ## call C++ code to draw sample
    posterior <- .C("cHDPHMMpoisson",
                    betaout = as.double(rep(0.0, nstore*ns*J)),
                    Pout = as.double(rep(0.0, nstore*ns*ns)),
                    psout = as.double(rep(0.0, n*ns)),
                    sout = as.double(rep(0.0, nstore*n)),
                    tau1out = as.double(rep(0.0, nstore*n)),
                    tau2out = as.double(rep(0.0, nstore*n)),
                    comp1out = as.integer(rep(0, nstore*n)),
                    comp2out = as.integer(rep(0, nstore*n)),
                    sr1out = as.double(rep(0, nstore*n)),
                    sr2out = as.double(rep(0, nstore*n)),
                    mr1out = as.double(rep(0, nstore*n)),
                    mr2out = as.double(rep(0, nstore*n)),
                    gammaout = as.double(rep(0, nstore)),
                    akout = as.double(rep(0, nstore)),
                    thetaout = as.double(rep(0, nstore)),
                    Ydata = as.double(y),
                    Yrow = as.integer(nrow(y)),
                    Ycol = as.integer(ncol(y)),
                    Xdata = as.double(X),
                    Xrow = as.integer(nrow(X)),
                    Xcol = as.integer(ncol(X)),
                    K = as.integer(K),
                    burnin = as.integer(burnin),
                    mcmc = as.integer(mcmc),
                    thin = as.integer(thin),
                    verbose = as.integer(verbose),
                    betastart = as.double(betastart),
                    Pstart = as.double(Pstart),
                    tau1start = as.double(taustart$tau1),
                    tau2start = as.double(taustart$tau2),
                    component1start = as.double(component1start),
                    gammastart = as.double(gamma.start),
                    akstart = as.double(ak.start),
                    thetastart = as.double(theta.start),
                    a_alpha = as.double(a.alpha),
                    b_alpha = as.double(b.alpha),
                    a_gamma = as.double(a.gamma),
                    b_gamma = as.double(b.gamma),
                    a_theta = as.double(a.theta),
                    b_theta = as.double(b.theta),
                    lecuyer = as.integer(lecuyer),
                    seedarray = as.integer(seed.array),
                    lecuyerstream = as.integer(lecuyer.stream),
                    b0data = as.double(b0),
                    B0data = as.double(B0),
                    PACKAGE="MCMCpack")



    ## pull together matrix and build MCMC object to return
    beta.holder <- matrix(posterior$betaout, nstore, )
    P.holder    <- matrix(posterior$Pout, nstore, )
    s.holder    <- matrix(posterior$sout, nstore, )
    tau1.holder <- matrix(posterior$tau1out, nstore, )
    tau2.holder <- matrix(posterior$tau2out, nstore, )
    comp1.holder <- matrix(posterior$comp1out, nstore, )
    comp2.holder <- matrix(posterior$comp2out, nstore, )
    sr1.holder <- matrix(posterior$sr1out, nstore, )
    sr2.holder <- matrix(posterior$sr2out, nstore, )
    mr1.holder <- matrix(posterior$mr1out, nstore, )
    mr2.holder <- matrix(posterior$mr2out, nstore, )

    nsts <- apply(s.holder, 1, function(x) length(unique(x)))
    mode.mod <- as.numeric(names(which.max(table(nsts))))
    pr.chpt <- rowMeans(rbind(0, diff(t(s.holder)) != 0))
    output <- mcmc(data=beta.holder, start=burnin+1, end=burnin + mcmc, thin=thin)
      varnames(output)  <- sapply(c(1:ns), function(i) { paste(xnames,
    "_regime", i, sep = "")})
    attr(output, "title") <- "HDPHMMpoisson Posterior Sample"
    attr(output, "formula") <- formula
    attr(output, "y")       <- y
    attr(output, "X")       <- X
    attr(output, "K")       <- K
    attr(output, "call")    <- cl
    attr(output, "pr.chpt") <- pr.chpt
    attr(output, "s.store") <- s.holder
    attr(output, "P.store") <- P.holder
    ## attr(output, "tau1.store") <- tau1.holder
    ## attr(output, "tau2.store") <- tau2.holder
    ## attr(output, "comp1.store") <- comp1.holder
    ## attr(output, "comp2.store") <- comp2.holder
    ## attr(output, "sr1.store") <- sr1.holder
    ## attr(output, "sr2.store") <- sr2.holder
    ## attr(output, "mr1.store") <- mr1.holder
    ## attr(output, "mr2.store") <- mr2.holder
    attr(output, "num.regimes") <- nsts
    attr(output, "gamma.store") <- posterior$gammaout
    attr(output, "theta.store") <- posterior$thetaout
    attr(output, "ak.store") <- posterior$akout

    return(output)
  }