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#' A Reference Class which contains parameters of a TMoE model.
#'
#' ParamTMoE contains all the parameters of a TMoE model.
#'
#' @field X Numeric vector of length \emph{n} representing the covariates/inputs
#' \eqn{x_{1},\dots,x_{n}}.
#' @field Y Numeric vector of length \emph{n} representing the observed
#' response/output \eqn{y_{1},\dots,y_{n}}.
#' @field n Numeric. Length of the response/output vector `Y`.
#' @field K The number of experts.
#' @field p The order of the polynomial regression for the experts.
#' @field q The order of the logistic regression for the gating network.
#' @field alpha Parameters of the gating network. \eqn{\boldsymbol{\alpha} =
#' (\boldsymbol{\alpha}_{1},\dots,\boldsymbol{\alpha}_{K-1})}{\alpha =
#' (\alpha_{1},\dots,\alpha_{K-1})} is a matrix of dimension \eqn{(q + 1, K -
#' 1)}, with `q` the order of the logistic regression for the gating network.
#' `q` is fixed to 1 by default.
#' @field beta Polynomial regressions coefficients for each expert.
#' \eqn{\boldsymbol{\beta} =
#' (\boldsymbol{\beta}_{1},\dots,\boldsymbol{\beta}_{K})}{\beta =
#' (\beta_{1},\dots,\beta_{K})} is a matrix of dimension \eqn{(p + 1, K)},
#' with `p` the order of the polynomial regression. `p` is fixed to 3 by
#' default.
#' @field sigma2 The variances for the `K` mixture components (matrix of size
#' \eqn{(1, K)}).
#' @field nu The degree of freedom for the Student distribution for each
#' experts (matrix of size \eqn{(1, K)}).
#' @field df The degree of freedom of the TMoE model representing the
#' complexity of the model.
#' @export
ParamTMoE <- setRefClass(
"ParamTMoE",
fields = list(
X = "numeric",
Y = "numeric",
n = "numeric",
phiBeta = "list",
phiAlpha = "list",
K = "numeric", # Number of regimes
p = "numeric", # Dimension of beta (order of polynomial regression)
q = "numeric", # Dimension of w (order of logistic regression)
df = "numeric", # Degree of freedom
alpha = "matrix",
beta = "matrix",
sigma2 = "matrix",
nu = "matrix"
),
methods = list(
initialize = function(X = numeric(), Y = numeric(1), K = 1, p = 3, q = 1) {
X <<- X
Y <<- Y
n <<- length(Y)
phiBeta <<- designmatrix(x = X, p = p)
phiAlpha <<- designmatrix(x = X, p = q)
K <<- K
p <<- p
q <<- q
df <<- (q + 1) * (K - 1) + (p + 1) * K + K + K
alpha <<- matrix(0, q + 1, K - 1)
beta <<- matrix(NA, p + 1, K)
sigma2 <<- matrix(NA, 1, K)
nu <<- matrix(NA, ncol = K)
},
initParam = function(segmental = FALSE) {
"Method to initialize parameters \\code{alpha}, \\code{beta} and
\\code{sigma2}.
If \\code{segmental = TRUE} then \\code{alpha}, \\code{beta} and
\\code{sigma2} are initialized by clustering the response \\code{Y}
uniformly into \\code{K} contiguous segments. Otherwise, \\code{alpha},
\\code{beta} and \\code{sigma2} are initialized by clustering randomly
the response \\code{Y} into \\code{K} segments."
# Initialize the regression parameters (coefficents and variances):
if (!segmental) {
klas <- sample(1:K, n, replace = TRUE)
for (k in 1:K) {
Xk <- phiBeta$XBeta[klas == k,]
yk <- Y[klas == k]
beta[, k] <<- solve(t(Xk) %*% Xk) %*% t(Xk) %*% yk
sigma2[k] <<- sum((yk - Xk %*% beta[, k]) ^ 2) / length(yk)
}
} else {# Segmental : segment uniformly the data and estimate the parameters
nk <- round(n / K) - 1
klas <- rep.int(0, n)
for (k in 1:K) {
i <- (k - 1) * nk + 1
j <- (k * nk)
yk <- matrix(Y[i:j])
Xk <- phiBeta$XBeta[i:j, ]
beta[, k] <<- solve(t(Xk) %*% Xk, tol = 0) %*% (t(Xk) %*% yk)
muk <- Xk %*% beta[, k, drop = FALSE]
sigma2[k] <<- t(yk - muk) %*% (yk - muk) / length(yk)
klas[i:j] <- k
}
}
# Intialize the softmax parameters
Z <- matrix(0, nrow = n, ncol = K)
Z[klas %*% ones(1, K) == ones(n, 1) %*% seq(K)] <- 1
tau <- Z
res <- IRLS(phiAlpha$XBeta, tau, ones(nrow(tau), 1), alpha)
alpha <<- res$W
# Intitialization of the degrees of freedom
nu <<- 50 * rand(1, K)
},
MStep = function(statTMoE, verbose_IRLS) {
"Method which implements the M-step of the EM algorithm to learn the
parameters of the TMoE model based on statistics provided by the object
\\code{statTMoE} of class \\link{StatTMoE} (which contains the E-step)."
res_irls <- IRLS(phiAlpha$XBeta, statTMoE$tik, ones(nrow(statTMoE$tik), 1), alpha, verbose_IRLS)
statTMoE$piik <- res_irls$piik
reg_irls <- res_irls$reg_irls
alpha <<- res_irls$W
for (k in 1:K) {
# Update the regression coefficients
Xbeta <- phiBeta$XBeta * (matrix(sqrt(statTMoE$tik[, k] * statTMoE$Wik[, k])) %*% ones(1, p + 1))
yk <- Y * sqrt(statTMoE$tik[, k] * statTMoE$Wik[, k])
beta[, k] <<- solve((t(Xbeta) %*% Xbeta)) %*% (t(Xbeta) %*% yk)
# Update the variances sigma2k
sigma2[k] <<- sum(statTMoE$tik[, k] * statTMoE$Wik[, k] * ((Y - phiBeta$XBeta %*% beta[, k]) ^ 2)) / sum(statTMoE$tik[, k])
# If ECM (use an additional E-Step with the updated betak and sigma2k
dik <- (Y - phiBeta$XBeta %*% beta[, k]) / sqrt(sigma2[k])
# Update the degrees of freedom
try(nu[k] <<- pracma::fzero(f <- function(nuk) {
return(suppressWarnings(
-psigamma(nuk / 2) + log(nuk / 2) + 1 + (1 / sum(statTMoE$tik[, k])) * sum(statTMoE$tik[, k] * (log(statTMoE$Wik[, k]) - statTMoE$Wik[, k]))
+ psigamma((nuk[k] + 1) / 2) - log((nuk[k] + 1) / 2)
))
}, nu[k])$x, silent = TRUE)
}
return(reg_irls)
}
)
)
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