R/fit-rcor-ipm.R

In gRc: Inference in Graphical Gaussian Models with Edge and Vertex Symmetries

##
## 2021: FIt RCOR models; indeholder både udgave hvor c-kode kaldes og
## udgave med ren R kode; sidstnævnte er dog kommenteret ud.
##

## IPM for RCOR models
##
## Fit model where K=ACA. Hence logL is of the form
## logL = |K| - tr(KS) = |K| - tr(ACAS)
## 1. Start with current estimate of C, e.g. C=I
## 2. For known C maximize logL over paramters in A.
##    Is done by iteratively solving system of 2nd order equations using refitA
## 3. For known A, write tr(ACAS)=tr(CASA)=tr(CQ), where Q=ASA
##    Is done by regarding Q=ASA as "data matrix" and then estimating elements
##    C using IPM only on off-diagonals of C
##

## R-based
rcorIPM_r <- function(object, K0, control=object$control, trace=object$trace){
  S   <- dataRep(object, "S")
  n   <- dataRep(object, "n")
  VCC <- intRep(object,  "vccI")
  V   <- NULL

  logL0       <- prevlogL <- ellK(K0, S, n - 1)
  maxit       <- control$maxouter
  logLeps     <- control$logLeps * abs(logL0)

  logL.vec    <- rep(NA, maxit)
  converged   <- FALSE

  ## Temporary model object with new controls
  ctrl        <- object$control
  ctrl$vccfit <- FALSE
  ctrl$vcov   <- NULL
  o2          <- object
  o2$control  <- ctrl

  ##C.curr    <- diag(1, nrow(S));     ## Initial C
  C.curr    <- cov2cor(K0)             ##print(C.curr)
  A         <- refitA_old(S, C.curr, VCC); ## First A estimate

  itcount <- 1
  while(!converged){
    Q.curr        <- A * t((A * S)) ## Short for diag(A) %*% S %*% diag(A)
    o2$dataRep$S  <- Q.curr

    C.curr  <- rconIPM(o2, K0=C.curr, control=o2$control, trace=trace - 1, engine="r")$K
    K.curr  <- A * t((A * C.curr)) ## Short for diag(A) %*% C.curr %*% diag(A)
    A       <- refitA_old(S, C.curr, VCC, Astart=A)
    logL    <- ellK(K.curr, S, n - 1);
    dlogL   <- logL - prevlogL

    if (trace>=3)
      cat("...rcorIPM_r iteration", itcount, "logL:", logL, "dlogL:", dlogL, "\n")

    logL.vec[itcount]  <- logL
    if ((logL - prevlogL) < logLeps || itcount>=maxit)
      converged <- TRUE
    else {
      prevlogL <- logL;
      itcount  <- itcount + 1
    }
  }

  coef <- K2theta(object, K.curr, scale='original')
  vn   <- unlist(lapply(getcc(object), names))
  names(coef) <- vn

  if (!is.null(control$vcov)){
    J  <- getScore(object, K=K.curr)$J
    dimnames(J) <- list(vn, vn)
  } else {
    J <- NULL
  }

  dimnames(K.curr) <- dimnames(S)
  ans <- list(K=K.curr, logL=logL, coef=coef, J=J, logL.vec=logL.vec[1:itcount])
  return(ans)
}


refitA_old <- function(S, K, NSi, Astart=NULL, itmax=100){

  cstart <- Astart
  d <- nrow(S)
  if (is.null(cstart))
    cstart <- rep(1, d)
  cprev <- cstart
  it   <- 0

  all <- unique(unlist(NSi))
  all <- all[order(all)]
  repeat{
    it <- it + 1
    for (i in 1:length(NSi)){
      cns   <- as.numeric(NSi[[i]])

      compl <- setdiff(all,cns)
      Ai <- sum(S[cns, cns] * K[cns, cns])
      Bi <- sum(S[compl, cns] * K[compl, cns] * cstart[compl])
      Ci <- length(cns)
      Di <- (Bi^2 + 4 * Ai * Ci)
      xi <- (-Bi + sqrt(Di)) / (2 * Ai)
      cstart[cns] <- xi
      ##cat("Ai:", Ai, "Bi:", Bi, "Ci:", Ci, "\n")
    }
    if ((sum( (cprev - cstart)^2) < 1e-9) | it >= itmax){
      ##cat("Iterations:",it,"\n\n")
      break
    }
    cprev <- cstart
  }
  attr(cstart,"iterations") <- it
  return(cstart)
}





## rcorIPM_c <- function(object, K0, control=object$control, trace=object$trace){

##   S     <- object$dataRep$S
##   n     <- object$dataRep$n
##   VCC   <- object$intRep$vccI
##   glist <- object$intRep$eccI

##   logL0       <- prevlogL <- ellK(K0,S,n-1)

##   maxit       <- control$maxouter
##   #cat("maxouter:", maxit,"\n")
##   logLeps     <- control$logLeps * abs(logL0)
##   #cat("logLeps:", logLeps, "\n")
##   logL.vec    <- rep(NA, maxit)
##   converged   <- FALSE

##   ctrl      <- control
##   deltaeps  = ctrl$deltaeps
##   maxouter  = ctrl$maxouter
##   maxinner  = ctrl$maxinner
##   nobs      = n

##   convergedINT = 1


##   C.curr    <- cov2cor(K0)             ## print(C.curr)
##   A         <- refitA(S, C.curr, VCC);   ## First A estimate

##                                         #cat("maxouter:", maxouter,"\n")
##   itcount <- 1
##   while(!converged){
##     Q.curr        <- A * t((A*S)) ## Short for diag(A) %*% S %*% diag(A)

##     ##cat("rcor - call C\n")
##     ansC <- .Call("rconipm", S=Q.curr, nobs=nobs-1, C.curr, Glist=glist,
##                   maxouter=maxouter, maxinner=maxinner,
##                   logLeps=logLeps, deltaeps=deltaeps,
##                   converged=convergedINT, debug=trace,
##                   PACKAGE="gRc")

##     C.curr<- ansC[[1]]

##     K.curr  <- A * t((A*C.curr)) ## Short for diag(A) %*% C.curr %*% diag(A)

##     logL    <- ellK(K.curr,S,n-1);
##     dlogL   <- logL - prevlogL

##     if (trace>=2)
##       cat("..rcorIPM_c iteration (offdiag) ", itcount, "logL:", logL, "dlogL:", dlogL, "\n")

##     A       <- refitA(S, C.curr, VCC, Astart=A)
##     ##     KKKK  <- A * t((A*C.curr)) ## Short for diag(A) %*% C.curr %*% diag(A)
##     ##     logLLLL    <- ellK(KKKK,S,n-1);
##     ##     if (trace>=2)
##     ##       cat("..rcorIPM_c iteration (diag)    ", itcount, "logL:", logLLLL, "dlogL:", dlogL, "\n")

##     logL.vec[itcount]  <- logL

##     if (dlogL < logLeps || itcount>=maxit)
##       converged <- TRUE
##     else {
##       prevlogL <- logL;
##       itcount  <- itcount + 1
##     }
##   }

##   coef <- K2theta(object,K.curr, scale='original')
##   vn   <- unlist(lapply(getcc(object),names))
##   names(coef) <- vn

##   if (!is.null(control$vcov)){
##     J  <- getScore(object,K=K.curr)$J
##     dimnames(J) <- list(vn, vn)
##   } else {
##     J <- NULL
##   }

##   dimnames(K.curr) <- dimnames(S)
##   ans <- list(K=K.curr, logL=logL, coef=coef, J=J, logL.vec=logL.vec[1:itcount])
##   return(ans)
## }


## refitA <- function(S, K, vccI, Astart=NULL, itmax=100){

##   d <- nrow(S)
##   if (is.null(Astart))
##     Astart <- rep(1,d)
##   Aprev <- Astart
##   iii   <- 0

##   all <- unique(unlist(vccI))
##   all <- all[order(all)]

##   gset <- vccI
##   cset <- vccI

##   for (i in 1:length(vccI)){
##     gset[[i]] <- as.numeric(vccI[[i]])
##     cset[[i]] <- setdiffPrim(all, gset[[i]])
##   }

##   repeat{
##     iii <- iii + 1
##     for (i in 1:length(vccI)){
##       cns   <- gset[[i]]
##       compl <- cset[[i]]
##       Ai <- sum(S[cns,cns] * K[cns,cns])
##       Bi <- sum(S[compl,cns] * K[compl,cns] *Astart[compl])
##       Ci <- length(cns)
##       Di <- (Bi^2 + 4*Ai*Ci)
##       xi <- (-Bi + sqrt(Di))/(2*Ai)
##       Astart[cns] <- xi
##       ##cat("Ai:", Ai, "Bi:", Bi, "Ci:", Ci, "\n")
##     }
##     if ((max( (Aprev-Astart)^2) < 1e-4) | iii>=itmax){
##       ##cat("Iterations:",iii,"\n\n")
##       break
##     }
##     Aprev <- Astart
##   }
##   attr(Astart,"iterations") <- iii
##   return(Astart)
## }

























































# rcorFitIterative <- function(m,control=rcox.control()){

#   if (control$trace>=3)
#     cat("...rcorFitIterative\n")

#   tstart <- proc.time()
#   conv   <- control$logLepsilon
#   itmax  <- control$maxit
#   rconModel     <- m$call
#   method <- rconModel$method

#   VCC       <- c(m$stdrep$VCCU, m$stdrep$VCCR)
#   nam       <- m$varnames
#   n         <- m$n
#   S         <- m$S
#   C.curr    <- diag(1, nrow(S));  #print("C.curr (Start)"); print(C.curr)
#   ll        <- d.ll <- NULL
#   prev.logL <- iii<- 0
#   a         <- rescaleC(S,C.curr,VCC); #print("a"); print(a)

#   controlNew                <- control
#   controlNew$VCCU           <- controlNew$VCCR <- FALSE
#   controlNew$representation <- 'stdrep'
#   controlNew$method         <- 'user'

#   rconModel$type    <- 'rcon'
#   rconModel$method  <- 'user'
#   rconModel$data    <- NULL
#   rconModel$n       <- n
#   rconModel$control <- controlNew
#   rconModel$fit     <- TRUE
#   ##print(rconModel)

#   repeat{
#     iii <- iii + 1

#     S.curr           <- diag(a) %*% S %*% diag(a)
#     dimnames(S.curr) <- dimnames(S)
#     ##print("S.curr"); print(S.curr)

#     ## Estimate rho
#     rconModel$Kstart <- C.curr
#     rconModel$S      <- S.curr
#     rconModelnew     <- eval(rconModel)
#     C.curr           <- rconModelnew$fit$K;  ##print("C.curr"); print(C.curr)
#     ## Calculate K
#     K.curr    <- diag(a) %*% C.curr %*% diag(a)

#     ## Estimate a
#     a         <- rescaleC(S, C.curr, VCC)

#     ## Monitoring convergence
#     curr.logL <- ellK(K.curr, S, n)
#     ll        <- c(ll, curr.logL)
#     diff.logL <- curr.logL-prev.logL
#     prev.logL <- curr.logL
#     d.ll      <- c(d.ll, diff.logL)

#     if (control$trace>=3)
#       cat ("...rcorFit (iteration)! logL:", curr.logL, "\n");

#     if ((abs(diff.logL)/abs(prev.logL) < conv) || iii>=itmax){
#       break
#     }
#   }
#   dimnames(K.curr) <- dimnames(C.curr)
#   usedTime <- (proc.time()-tstart)[3]
#   value <- list(K=K.curr, logL=curr.logL, logLvec=ll, time=usedTime)

#   if (control$trace>=3)
#     cat ("...rcorFit done! logL:", curr.logL, "\n");
#   return(value)
# }



# rescaleC <- function(S,K,NSi,cstart=NULL,itmax=100){
#   #print(S); print(K); print(NSi)

#   d <- nrow(S)
#   if (is.null(cstart))
#     cstart <- rep(1,d)
#   cprev <- cstart
#   iii   <- 0

#   all <- unique(unlist(NSi))
#   all <- all[order(all)]
#   repeat{
#     iii <- iii + 1
#     for (i in 1:length(NSi)){
#       cns   <- NSi[[i]]
#       compl <- setdiff(all,cns)
#       Ai <- sum(S[cns,cns] * K[cns,cns])
#       Bi <- sum(S[compl,cns] * K[compl,cns] *cstart[compl])
#       Ci <- length(cns)
#       Di <- (Bi^2 + 4*Ai*Ci)
#       xi <- (-Bi + sqrt(Di))/(2*Ai)
#       cstart[cns] <- xi
#       ##cat("Ai:", Ai, "Bi:", Bi, "Ci:", Ci, "\n")
#     }
#     if ((sum( (cprev-cstart)^2) < 1e-9) | iii>=itmax){
#       #cat("Iterations:",iii,"\n\n")
#       break
#     }
#     cprev <- cstart
#   }
#   attr(cstart,"iterations") <- iii
#   return(cstart)
# }