R/RcppExports.R

Defines functions getPoly_withpackage getPoly_withoutpackage get_all_combins aSECF_crossval_cpp aSECF_unbiased_cpp_prep aSECF_cpp_prep SECF_crossval_cpp SECF_unbiased_cpp SECF_cpp CF_crossval_cpp CF_unbiased_cpp CF_cpp Phi_fn_cpp nearPD K0_fn medianTune squareNorm

Documented in K0_fn medianTune nearPD squareNorm

# Generated by using Rcpp::compileAttributes() -> do not edit by hand
# Generator token: 10BE3573-1514-4C36-9D1C-5A225CD40393

#' Squared norm matrix calculation
#' 
#' This function gets the matrix of square norms which is needed for all kernels.
#' Calculating this can help to save time if you are also interested in calculating the median heuristic, handling multiple tuning parameters
#' or trying other kernels.
#'
#' @param samples An \eqn{N} by \eqn{d} matrix of samples from the target
#' @param nystrom_inds The (optional) sample indices to be used in the Nystrom approximation (for when using aSECF).
#'
#' @return An \eqn{N} by \eqn{N} matrix of squared norms between samples (or \eqn{N} by \eqn{m} where \eqn{m} is the length of \code{nystrom_inds}).
#'
#' @author Leah F. South
#' @seealso See \code{\link{medianTune}} and \code{\link{K0_fn}} for functions which use this.
squareNorm <- function(samples, nystrom_inds = NULL) {
    .Call(`_ZVCV_squareNorm`, samples, nystrom_inds)
}

#' Median heuristic
#' 
#' This function calculates the median heuristic for use in e.g. the Gaussian, Matern and rational quadratic kernels.
#'
#' @param samples An \eqn{N} by \eqn{d} matrix of samples from the target
#' @param Z (optional) An NxN matrix of square norms, which can be calculated
#' using \code{\link{squareNorm}}, as long as the \code{nystrom_inds} are \code{NULL}.
#'
#' @return The median heuristic, which can then be used as the length-scale parameter in the Gaussian, Matern and rational quadratic kernels
#'
#' @references
#' Garreau, D., Jitkrittum, W. and Kanagawa, M. (2017). Large sample analysis of the median heuristic.  \url{https://arxiv.org/abs/1707.07269}
#'
#' @author Leah F. South
#' @seealso See \code{\link{medianTune}} and \code{\link{K0_fn}} for functions which use this.
medianTune <- function(samples, Z = NULL) {
    .Call(`_ZVCV_medianTune`, samples, Z)
}

#' Kernel matrix calculation
#' 
#' This function calculates the full \eqn{K_0} matrix, which is a first or second order Stein operator applied to
#' a standard kernel. 
#' The output of this function can be used as an argument to \code{\link{CF}}, \code{\link{CF_crossval}},
#' \code{\link{SECF}}, \code{\link{SECF_crossval}}, \code{\link{aSECF}} and \code{\link{aSECF_crossval}}.
#' The kernel matrix is automatically computed in all of the above methods, but it is faster to calculate
#' in advance when using more than one of the above functions and when using any of the crossval functions.
#' 
#' @param samples An \eqn{N} by \eqn{d} matrix of samples from the target
#' @param derivatives	An \eqn{N} by \eqn{d} matrix of derivatives of the log target with respect to the parameters
#' @param sigma			The tuning parameters of the specified kernel. This involves a single length-scale parameter in "gaussian" and "RQ", a length-scale and a smoothness parameter in "matern" and two parameters in "product" and "prodsim". See below for further details.
#' @param steinOrder	This is the order of the Stein operator. The default is \code{1} in the control functionals paper (Oates et al, 2017) and \code{2} in the semi-exact control functionals paper (South et al, 2020).  The following values are currently available: \code{1} for all kernels and \code{2} for "gaussian", "matern" and "RQ". See below for further details.
#' @param kernel_function		Choose between "gaussian", "matern", "RQ", "product" or "prodsim". See below for further details.
#' @param Z (optional) An \eqn{N} by \eqn{N} (or \eqn{N} by \eqn{m} where \eqn{m} is the length of \code{nystrom_inds}). This can be calculated using \code{\link{squareNorm}}.
#' @param nystrom_inds (optional) The sample indices to be used in the Nystrom approximation (for when using aSECF).
#'
#' @return An \eqn{N} by \eqn{N} kernel matrix (or \eqn{N} by \eqn{m} where \eqn{m} is the length of \code{nystrom_inds}).
#'
#' @section On the choice of \eqn{\sigma}, the kernel and the Stein order:
#' The kernel in Stein-based kernel methods is \eqn{L_x L_y k(x,y)} where \eqn{L_x} is a first or second order Stein operator in \eqn{x} and \eqn{k(x,y)} is some generic kernel to be specified.
#'
#' The Stein operators for distribution \eqn{p(x)} are defined as:
#' \itemize{
#' \item \strong{\code{steinOrder=1}}: \eqn{L_x g(x) = \nabla_x^T g(x) + \nabla_x \log p(x)^T g(x)} (see e.g. Oates el al (2017))
#' \item \strong{\code{steinOrder=2}}: \eqn{L_x g(x) = \Delta_x g(x) + \nabla_x log p(x)^T \nabla_x g(x)} (see e.g. South el al (2020))
#' }
#' Here \eqn{\nabla_x} is the first order derivative wrt \eqn{x} and \eqn{\Delta_x = \nabla_x^T \nabla_x} is the Laplacian operator.
#'
#' The generic kernels which are implemented in this package are listed below.  Note that the input parameter \strong{\code{sigma}} defines the kernel parameters \eqn{\sigma}. 
#' \itemize{
#' \item \strong{\code{"gaussian"}}: A Gaussian kernel,
#' \deqn{k(x,y) = exp(-z(x,y)/\sigma^2)}
#' \item \strong{{\code{"matern"}}}: A Matern kernel with \eqn{\sigma = (\lambda,\nu)},
#' \deqn{k(x,y) = bc^{\nu}z(x,y)^{\nu/2}K_{\nu}(c z(x,y)^{0.5})} where \eqn{b=2^{1-\nu}(\Gamma(\nu))^{-1}}, \eqn{c=(2\nu)^{0.5}\lambda^{-1}} and \eqn{K_{\nu}(x)} is the modified Bessel function of the second kind. Note that \eqn{\lambda} is the length-scale parameter and \eqn{\nu} is the smoothness parameter (which defaults to 2.5 for \eqn{steinOrder=1} and 4.5 for \eqn{steinOrder=2}).
#' \item \strong{\code{"RQ"}}: A rational quadratic kernel,
#' \deqn{k(x,y) = (1+\sigma^{-2}z(x,y))^{-1}}
#' \item \strong{\code{"product"}}: The product kernel that appears in Oates et al (2017) with \eqn{\sigma = (a,b)}
#' \deqn{k(x,y) = (1+a z(x) + a z(y))^{-1} exp(-0.5 b^{-2} z(x,y)) }
#' \item \strong{\code{"prodsim"}}: A slightly different product kernel with \eqn{\sigma = (a,b)} (see e.g. \url{https://www.imperial.ac.uk/inference-group/projects/monte-carlo-methods/control-functionals/}),
#' \deqn{k(x,y) = (1+a z(x))^{-1}(1 + a z(y))^{-1} exp(-0.5 b^{-2} z(x,y)) }
#' }
#' In the above equations, \eqn{z(x) = \sum_j x[j]^2} and \eqn{z(x,y) = \sum_j (x[j] - y[j])^2}. For the last two kernels, the code only has implementations for \code{steinOrder}=\code{1}. Each combination of \code{steinOrder} and \code{kernel_function} above is currently hard-coded but it may be possible to extend this to other kernels in future versions using autodiff. The calculations for the first three kernels above are detailed in South et al (2020).
#'
#' @references
#' Oates, C. J., Girolami, M. & Chopin, N. (2017). Control functionals for Monte Carlo integration. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 79(3), 695-718.
#'
#' South, L. F., Karvonen, T., Nemeth, C., Girolami, M. and Oates, C. J. (2020). Semi-Exact Control Functionals From Sard's Method.  \url{https://arxiv.org/abs/2002.00033}
#'
#' @author Leah F. South
K0_fn <- function(samples, derivatives, sigma, steinOrder, kernel_function, Z = NULL, nystrom_inds = NULL) {
    .Call(`_ZVCV_K0_fn`, samples, derivatives, sigma, steinOrder, kernel_function, Z, nystrom_inds)
}

#' Nearest symmetric positive definite matrix
#' 
#' This function finds the nearest symmetric positive definite matrix to the given matrix.
#' It is used throughout the package to handle numerical issues in matrix inverses
#' and cholesky decompositions.
#'
#' @param K0 A square matrix
#'
#' @return The closest symmetric positive definite matrix to K0.
#'
#' @references
#' Higham, N. J. (1988). Computing a nearest symmetric positive semidefinite matrix. Linear Algebra and its Applications, 103, 103-118.
#'
#' D'Errico, J. (2013). nearestSPD Matlab function. \url{https://uk.mathworks.com/matlabcentral/fileexchange/42885-nearestspd}.
#'
#' @author Adapted from Matlab code by John D'Errico
nearPD <- function(K0) {
    .Call(`_ZVCV_nearPD`, K0)
}

Phi_fn_cpp <- function(samples, derivatives, getX, polyorder = NULL, apriori = NULL) {
    .Call(`_ZVCV_Phi_fn_cpp`, samples, derivatives, getX, polyorder, apriori)
}

CF_cpp <- function(integrands, samples, derivatives, steinOrder = NULL, kernel_function = NULL, sigma = NULL, K0 = NULL, one_in_denom = FALSE, diagnostics = FALSE) {
    .Call(`_ZVCV_CF_cpp`, integrands, samples, derivatives, steinOrder, kernel_function, sigma, K0, one_in_denom, diagnostics)
}

CF_unbiased_cpp <- function(integrands, samples, derivatives, est_inds, steinOrder = NULL, kernel_function = NULL, sigma = NULL, K0 = NULL, one_in_denom = FALSE, diagnostics = FALSE) {
    .Call(`_ZVCV_CF_unbiased_cpp`, integrands, samples, derivatives, est_inds, steinOrder, kernel_function, sigma, K0, one_in_denom, diagnostics)
}

CF_crossval_cpp <- function(integrands, samples, derivatives, steinOrder = NULL, kernel_function = NULL, sigma = NULL, K0 = NULL, folds = NULL, est_inds = NULL, input_weights = NULL, one_in_denom = FALSE, diagnostics = FALSE) {
    .Call(`_ZVCV_CF_crossval_cpp`, integrands, samples, derivatives, steinOrder, kernel_function, sigma, K0, folds, est_inds, input_weights, one_in_denom, diagnostics)
}

SECF_cpp <- function(integrands, samples, derivatives, getX, polyorder = NULL, steinOrder = NULL, kernel_function = NULL, sigma = NULL, K0 = NULL, apriori = NULL, diagnostics = FALSE) {
    .Call(`_ZVCV_SECF_cpp`, integrands, samples, derivatives, getX, polyorder, steinOrder, kernel_function, sigma, K0, apriori, diagnostics)
}

SECF_unbiased_cpp <- function(integrands, samples, derivatives, est_inds, getX, polyorder = NULL, steinOrder = NULL, kernel_function = NULL, sigma = NULL, K0 = NULL, apriori = NULL, diagnostics = FALSE) {
    .Call(`_ZVCV_SECF_unbiased_cpp`, integrands, samples, derivatives, est_inds, getX, polyorder, steinOrder, kernel_function, sigma, K0, apriori, diagnostics)
}

SECF_crossval_cpp <- function(integrands, samples, derivatives, getX, polyorder = NULL, steinOrder = NULL, kernel_function = NULL, sigma = NULL, K0 = NULL, apriori = NULL, folds = NULL, est_inds = NULL, diagnostics = FALSE) {
    .Call(`_ZVCV_SECF_crossval_cpp`, integrands, samples, derivatives, getX, polyorder, steinOrder, kernel_function, sigma, K0, apriori, folds, est_inds, diagnostics)
}

aSECF_cpp_prep <- function(integrands, samples, derivatives, getX, polyorder = NULL, steinOrder = NULL, kernel_function = NULL, sigma = NULL, K0 = NULL, apriori = NULL, nystrom_inds = NULL, conjugate_gradient = TRUE) {
    .Call(`_ZVCV_aSECF_cpp_prep`, integrands, samples, derivatives, getX, polyorder, steinOrder, kernel_function, sigma, K0, apriori, nystrom_inds, conjugate_gradient)
}

aSECF_unbiased_cpp_prep <- function(integrands, samples, derivatives, est_inds, getX, aSECF_mse_linsolve, polyorder = NULL, steinOrder = NULL, kernel_function = NULL, sigma = NULL, K0 = NULL, apriori = NULL, nystrom_inds = NULL, conjugate_gradient = TRUE, reltol = 0.01, diagnostics = FALSE) {
    .Call(`_ZVCV_aSECF_unbiased_cpp_prep`, integrands, samples, derivatives, est_inds, getX, aSECF_mse_linsolve, polyorder, steinOrder, kernel_function, sigma, K0, apriori, nystrom_inds, conjugate_gradient, reltol, diagnostics)
}

aSECF_crossval_cpp <- function(integrands, samples, derivatives, getX, aSECF_mse_linsolve, num_nystrom, polyorder = NULL, steinOrder = NULL, kernel_function = NULL, sigma = NULL, apriori = NULL, folds = NULL, conjugate_gradient = TRUE, reltol = 0.01, est_inds = NULL) {
    .Call(`_ZVCV_aSECF_crossval_cpp`, integrands, samples, derivatives, getX, aSECF_mse_linsolve, num_nystrom, polyorder, steinOrder, kernel_function, sigma, apriori, folds, conjugate_gradient, reltol, est_inds)
}

get_all_combins <- function(mymat, polyorder) {
    .Call(`_ZVCV_get_all_combins`, mymat, polyorder)
}

getPoly_withoutpackage <- function(samples, derivatives, combinations) {
    .Call(`_ZVCV_getPoly_withoutpackage`, samples, derivatives, combinations)
}

getPoly_withpackage <- function(samples, derivatives, combinations) {
    .Call(`_ZVCV_getPoly_withpackage`, samples, derivatives, combinations)
}

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ZVCV documentation built on June 30, 2021, 5:07 p.m.