R/orglm.R

Defines functions orglm.fit

Documented in orglm.fit

########################################################################################
orglm.fit <- function (x, y, weights = rep(1, nobs), start = NULL, etastart = NULL, mustart = NULL, offset = rep(0, nobs), family = gaussian(), control = list(), intercept = TRUE, constr, rhs, nec){

  ###################
  orr <- function(x, y, constr, rhs, nec){
    unc <- lm.fit(x, y)
    tBeta <- as.vector(coefficients(unc))
    invW <- t(x) %*% x
    orsolve <- function(tBeta, invW, Constr, RHS, NEC) {
      Dmat <- 2 * invW
      dvec <- 2 * tBeta %*% invW
      Amat <- t(Constr)
      solve.QP(Dmat, dvec, Amat, bvec = RHS, meq = NEC)
    }
    orBeta <- tBeta
    val <- 0
    for (i in 1:control$maxit) {
      sqp <- orsolve(orBeta, invW, constr, rhs, nec)
      orBeta <- sqp$solution
      if (abs(sqp$value - val) <= control$epsilon) 
        break
      else val <- sqp$value
    }
    return(list(coefficients=orBeta))
  }
  
  ###############
  control <- do.call("glm.control", control)
  x <- as.matrix(x)
  if (is.vector(constr)) constr <- matrix(constr, nrow=1)
  if (ncol(constr) != ncol(x)) stop(paste("constr has not correct dimensions.\nNumber of columns (",ncol(constr),") should equal the number of parameters: ", ncol(x), sep=""))
  if (length(rhs) != nrow(constr)) stop(paste("rhs has a different number of elements than there are numbers of rows in constr (",length(rhs), " != ", nrow(constr), ")", sep=""))
  if (nec < 0) stop("nec needs to be positive")
  if (nec > length(rhs)) stop(paste("nec is larger than the number of constraints. (",nec," > ",length(rhs),")", sep=""))
  xnames <- dimnames(x)[[2L]]
  ynames <- if (is.matrix(y)) rownames(y) else names(y)
  conv <- FALSE
  nobs <- NROW(y)
  nvars <- ncol(x)
  EMPTY <- nvars == 0
  if (is.null(weights)) weights <- rep.int(1, nobs)
  if (is.null(offset)) offset <- rep.int(0, nobs)
  variance <- family$variance
  linkinv <- family$linkinv
  if (!is.function(variance) || !is.function(linkinv)) stop("'family' argument seems not to be a valid family object", call. = FALSE)
  dev.resids <- family$dev.resids
  aic <- family$aic
  mu.eta <- family$mu.eta
  unless.null <- function(x, if.null) if (is.null(x)) if.null  else x
  valideta <- unless.null(family$valideta, function(eta) TRUE)
  validmu <- unless.null(family$validmu, function(mu) TRUE)
  if (is.null(mustart)) {
    eval(family$initialize)
  } else {
    mukeep <- mustart
    eval(family$initialize)
    mustart <- mukeep
  }
  if (EMPTY) {
    eta <- rep.int(0, nobs) + offset
    if (!valideta(eta)) stop("invalid linear predictor values in empty model", call. = FALSE)
    mu <- linkinv(eta)
    if (!validmu(mu)) stop("invalid fitted means in empty model", call. = FALSE)
    dev <- sum(dev.resids(y, mu, weights))
    w <- ((weights * mu.eta(eta)^2)/variance(mu))^0.5
    residuals <- (y - mu)/mu.eta(eta)
    good <- rep(TRUE, length(residuals))
    boundary <- conv <- TRUE
    coef <- numeric()
    iter <- 0L
  } else {
    coefold <- NULL
    eta <- if (!is.null(etastart)) etastart else if (!is.null(start)) if (length(start) != nvars) stop(gettextf("length of 'start' should equal %d and correspond to initial coefs for %s", nvars, paste(deparse(xnames), collapse = ", ")), domain = NA) else {
      coefold <- start
      offset + as.vector(if (NCOL(x) == 1L) x * start else x %*% start)
    } else family$linkfun(mustart)
    mu <- linkinv(eta)
    if (!(validmu(mu) && valideta(eta))) stop("cannot find valid starting values: please specify some", call. = FALSE)
    devold <- sum(dev.resids(y, mu, weights))
    boundary <- conv <- FALSE
    
    #################################################
    for (iter in 1L:control$maxit) {
      good <- weights > 0
      varmu <- variance(mu)[good]
      if (any(is.na(varmu))) stop("NAs in V(mu)")
      if (any(varmu == 0)) stop("0s in V(mu)")
      mu.eta.val <- mu.eta(eta)
      if (any(is.na(mu.eta.val[good]))) stop("NAs in d(mu)/d(eta)")
      good <- (weights > 0) & (mu.eta.val != 0)
      if (all(!good)) {
        conv <- FALSE
        warning("no observations informative at iteration ", iter)
        break
      }
      z <- (eta - offset)[good] + (y - mu)[good]/mu.eta.val[good]
      w <- sqrt((weights[good] * mu.eta.val[good]^2)/variance(mu)[good])
      ngoodobs <- as.integer(nobs - sum(!good))      
      fit <- orr(x[good, , drop = FALSE] * w, z * w, constr, rhs, nec)      
      if (any(!is.finite(fit$coefficients))) {
        conv <- FALSE
        warning(gettextf("non-finite coefficients at iteration %d", iter), domain = NA)
        break
      }
      #if (nobs < fit$rank) stop(gettextf("X matrix has rank %d, but only %d observations", fit$rank, nobs), domain = NA)
      #start[fit$pivot] <- fit$coefficients
      start <- fit$coefficients
      eta <- drop(x %*% start)
      mu <- linkinv(eta <- eta + offset)
      dev <- sum(dev.resids(y, mu, weights))
      if (control$trace) cat("Deviance =", dev, "Iterations -", iter, "\n")
      boundary <- FALSE
      if (!is.finite(dev)) {
        if (is.null(coefold)) stop("no valid set of coefficients has been found: please supply starting values", call. = FALSE)
        warning("step size truncated due to divergence", call. = FALSE)
        ii <- 1
        while (!is.finite(dev)) {
          if (ii > control$maxit) stop("inner loop 1; cannot correct step size", call. = FALSE)
          ii <- ii + 1
          start <- (start + coefold)/2
          eta <- drop(x %*% start)
          mu <- linkinv(eta <- eta + offset)
          dev <- sum(dev.resids(y, mu, weights))
        }
        boundary <- TRUE
        if (control$trace) cat("Step halved: new deviance =", dev, "\n")
      }
      if (!(valideta(eta) && validmu(mu))) {
        if (is.null(coefold)) stop("no valid set of coefficients has been found: please supply starting values", call. = FALSE)
        warning("step size truncated: out of bounds", call. = FALSE)
        ii <- 1
        while (!(valideta(eta) && validmu(mu))){
          if (ii > control$maxit) stop("inner loop 2; cannot correct step size", call. = FALSE)
          ii <- ii + 1
          start <- (start + coefold)/2
          eta <- drop(x %*% start)
          mu <- linkinv(eta <- eta + offset)
        }
        boundary <- TRUE
        dev <- sum(dev.resids(y, mu, weights))
        if (control$trace) cat("Step halved: new deviance =", dev, "\n")
      }
      if (abs(dev - devold)/(0.1 + abs(dev)) < control$epsilon) {
        conv <- TRUE
        coef <- start
        break
      } else {
        devold <- dev
        coef <- coefold <- start
      }
    }

    ##############################
    if (!conv) warning("orglm.fit: algorithm did not converge", call. = FALSE)
    if (boundary) warning("orglm.fit: algorithm stopped at boundary value", call. = FALSE)
    eps <- 10 * .Machine$double.eps
    if (family$family == "binomial") {
      if (any(mu > 1 - eps) || any(mu < eps)) warning("orglm.fit: fitted probabilities numerically 0 or 1 occurred", call. = FALSE)
    }
    if (family$family == "poisson") {
      if (any(mu < eps)) warning("orglm.fit: fitted rates numerically 0 occurred", call. = FALSE)
    }
    #if (fit$rank < nvars) coef[fit$pivot][seq.int(fit$rank + 1, nvars)] <- NA
    xxnames <- xnames#[fit$pivot]
    residuals <- (y - mu)/mu.eta(eta)
    #fit$qr <- as.matrix(qr(x[good, , drop = FALSE] * w)$qr)
    nr <- min(sum(good), nvars)
    #if (nr < nvars) {
    #  Rmat <- diag(nvars)
    #  Rmat[1L:nr, 1L:nvars] <- fit$qr[1L:nr, 1L:nvars]
    #} else Rmat <- fit$qr[1L:nvars, 1L:nvars]
    #Rmat <- as.matrix(Rmat)
    #Rmat[row(Rmat) > col(Rmat)] <- 0
    names(coef) <- xnames
    #colnames(fit$qr) <- xxnames
    #dimnames(Rmat) <- list(xxnames, xxnames)
  }
  names(residuals) <- ynames
  names(mu) <- ynames
  names(eta) <- ynames
  wt <- rep.int(0, nobs)
  wt[good] <- w^2
  names(wt) <- ynames
  names(weights) <- ynames
  names(y) <- ynames
  #if (!EMPTY) names(fit$effects) <- c(xxnames[seq_len(fit$rank)], rep.int("", sum(good) - fit$rank))
  wtdmu <- if (intercept) sum(weights * y)/sum(weights) else linkinv(offset)
  nulldev <- sum(dev.resids(y, wtdmu, weights))
  n.ok <- nobs - sum(weights == 0)
  nulldf <- n.ok - as.integer(intercept)
  fit$rank <- rank <- if (EMPTY) 0 else qr(x)$rank
  resdf <- n.ok - rank
  #aic.model <- aic(y, n, mu, weights, dev) + 2 * rank
  fit <- list(coefficients = coef, residuals = residuals, fitted.values = mu, rank=rank, family = family, linear.predictors = eta, deviance = dev, null.deviance = nulldev, iter = iter, weights = wt, prior.weights = weights, df.residual = resdf, df.null = nulldf, y = y, X=x, converged = conv, boundary = boundary, aic=NA, constr=constr, rhs=rhs, nec=nec)
  class(fit) <- c("orglm", "glm", "lm")
  return(fit)
}

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mcprofile documentation built on May 29, 2017, 10:59 a.m.