# R/emStMoE.R In meteorits: Mixture-of-Experts Modeling for Complex Non-Normal Distributions

#### Documented in emStMoE

#' emStMoE implements the ECM algorithm to fit a Skew-t Mixture of Experts
#' (StMoE).
#'
#' emStMoE implements the maximum-likelihood parameter estimation of a
#' Skew-t Mixture of Experts (StMoE) model by the Expectation Conditional
#' Maximization (ECM) algorithm.
#'
#' @details emStMoE function implements the ECM algorithm for the StMoE model.
#'   This function starts with an initialization of the parameters done by the
#'   method initParam of the class [ParamStMoE][ParamStMoE], then it
#'   alternates between the E-Step (method of the class [StatStMoE][StatStMoE])
#'   and the M-Step (method of the class [ParamStMoE][ParamStMoE]) until
#'   convergence (until the relative variation of log-likelihood between two
#'   steps of the ECM algorithm is less than the threshold parameter).
#'
#' @param X Numeric vector of length \emph{n} representing the covariates/inputs
#'   \eqn{x_{1},\dots,x_{n}}.
#' @param Y Numeric vector of length \emph{n} representing the observed
#'   response/output \eqn{y_{1},\dots,y_{n}}.
#' @param K The number of experts.
#' @param p Optional. The order of the polynomial regression for the experts.
#' @param q Optional. The order of the logistic regression for the gating
#'   network.
#' @param n_tries Optional. Number of runs of the ECM algorithm. The solution
#'   providing the highest log-likelihood will be returned.
#' @param max_iter Optional. The maximum number of iterations for the ECM
#'   algorithm.
#' @param threshold Optional. A numeric value specifying the threshold for the
#'   relative difference of log-likelihood between two steps of the ECM as
#'   stopping criteria.
#' @param verbose Optional. A logical value indicating whether or not values of
#'   the log-likelihood should be printed during ECM iterations.
#' @param verbose_IRLS Optional. A logical value indicating whether or not
#'   values of the criterion optimized by IRLS should be printed at each step of
#'   the ECM algorithm.
#' @return ECM returns an object of class [ModelStMoE][ModelStMoE].
#' @seealso [ModelStMoE], [ParamStMoE], [StatStMoE]
#' @export
#'
#' @examples
#' data(tempanomalies)
#' x <- tempanomalies$Year #' y <- tempanomalies$AnnualAnomaly
#'
#' stmoe <- emStMoE(X = x, Y = y, K = 2, p = 1, threshold = 1e-4, verbose = TRUE)
#'
#' stmoe$summary() #' #' stmoe$plot()
emStMoE <- function(X, Y, K, p = 3, q = 1, n_tries = 1, max_iter = 1500, threshold = 1e-6, verbose = FALSE, verbose_IRLS = FALSE) {

top <- 0
try_EM <- 0
best_loglik <- -Inf

while (try_EM < n_tries) {
try_EM <- try_EM + 1

if (n_tries > 1 && verbose) {
message("EM try number: ", try_EM, "\n")
}

# Initialization
param <- ParamStMoE(X = X, Y = Y, K = K, p = p, q = q)
param$initParam(segmental = TRUE) iter <- 0 converge <- FALSE prev_loglik <- -Inf stat <- StatStMoE(paramStMoE = param) while (!converge && (iter <= max_iter)) { stat$EStep(param, calcTau = TRUE, calcE1 = TRUE, calcE2 = TRUE, calcE3 = FALSE)
reg_irls <- param$MStep(stat, calcAlpha = TRUE, calcBeta = TRUE, verbose_IRLS = verbose_IRLS) stat$EStep(param, calcTau = FALSE, calcE1 = TRUE, calcE2 = TRUE, calcE3 = FALSE)
param$MStep(stat , calcSigma2 = TRUE, verbose_IRLS = verbose_IRLS) stat$EStep(param, calcTau = FALSE, calcE1 = TRUE, calcE2 = TRUE, calcE3 = FALSE)
param$MStep(stat , calcLambda = TRUE, verbose_IRLS = verbose_IRLS) stat$EStep(param, calcTau = FALSE, calcE1 = TRUE, calcE2 = TRUE, calcE3 = TRUE)
param$MStep(stat , calcNu = TRUE, verbose_IRLS = verbose_IRLS) stat$computeLikelihood(reg_irls)

iter <- iter + 1
if (verbose) {
message("EM - StMoE: Iteration: ", iter, " | log-likelihood: "  , stat$loglik) } # if (prev_loglik - stat$loglik > 1e-5) {
#   if (verbose) {
#     warning("EM log-likelihood is decreasing from ", prev_loglik, "to ", stat$loglik, "!") # } # top <- top + 1 # if (top > 20) # break # } # Test of convergence converge <- abs((stat$loglik - prev_loglik) / prev_loglik) <= threshold

if (is.na(converge)) {
converge <- FALSE
} # Basically for the first iteration when prev_loglik is -Inf

prev_loglik <- stat$loglik stat$stored_loglik <- c(stat$stored_loglik, stat$loglik)
}# End of and EM loop

if (stat$loglik > best_loglik) { statSolution <- stat$copy()
paramSolution <- param$copy() best_loglik <- stat$loglik
}

if (n_tries > 1 && verbose) {
message("Max value of the log-likelihood: ", stat$loglik, "\n\n") } } # Computation of z_ik the hard partition of the data and the class labels klas statSolution$MAP()

if (n_tries > 1 && verbose) {
message("Max value of the log-likelihood: ", statSolution$loglik, "\n") } statSolution$computeStats(paramSolution)

return(ModelStMoE(param = paramSolution, stat = statSolution))

}


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meteorits documentation built on Jan. 11, 2020, 9:13 a.m.