buildMCEM: Builds an MCEM algorithm from a given NIMBLE model

In nimble: MCMC, Particle Filtering, and Programmable Hierarchical Modeling

Builds an MCEM algorithm from a given NIMBLE model

Description

Takes a NIMBLE model and builds an MCEM algorithm for it. The user must specify which latent nodes are to be integrated out in the E-Step. All other stochastic non-data nodes will be maximized over. If the nodes do not have positive density on the entire real line, then box constraints can be used to enforce this. The M-step is done by a nimble MCMC sampler. The E-step is done by a call to R's optim with method = 'L-BFGS-B' if the nodes are constrainted, or method = 'BFGS' if the nodes are unconstrained.

Usage

buildMCEM(
  model,
  latentNodes,
  burnIn = 500,
  mcmcControl = list(adaptInterval = 100),
  boxConstraints = list(),
  buffer = 10^-6,
  alpha = 0.25,
  beta = 0.25,
  gamma = 0.05,
  C = 0.001,
  numReps = 300,
  forceNoConstraints = FALSE,
  verbose = TRUE
)

Arguments

model	a nimble model
latentNodes	character vector of the names of the stochastic nodes to integrated out. Names can be expanded, but don't need to be. For example, if the model contains x[1], x[2] and x[3] then one could provide either latentNodes = c('x[1]', 'x[2]', 'x[3]') or latentNodes = 'x'.
burnIn	burn-in used for MCMC sampler in E step
mcmcControl	list passed to configureMCMC, which builds the MCMC sampler. See help(configureMCMC) for more details
boxConstraints	list of box constraints for the nodes that will be maximized over. Each constraint is a list in which the first element is a character vector of node names to which the constraint applies and the second element is a vector giving the lower and upper limits. Limits of -Inf or Inf are allowed. Any nodes that are not given constrains will have their constraints automatically determined by NIMBLE
buffer	A buffer amount for extending the boxConstraints. Many functions with boundary constraints will produce NaN or -Inf when parameters are on the boundary. This problem can be prevented by shrinking the boundary a small amount.
alpha	probability of a type one error - here, the probability of accepting a parameter estimate that does not increase the likelihood. Default is 0.25.
beta	probability of a type two error - here, the probability of rejecting a parameter estimate that does increase the likelihood. Default is 0.25.
gamma	probability of deciding that the algorithm has converged, that is, that the difference between two Q functions is less than C, when in fact it has not. Default is 0.05.
C	determines when the algorithm has converged - when C falls above a (1-gamma) confidence interval around the difference in Q functions from time point t-1 to time point t, we say the algorithm has converged. Default is 0.001.
numReps	number of bootstrap samples to use for asymptotic variance calculation.
forceNoConstraints	avoid any constraints even from parameter bounds implicit in the model structure (e.g., from dunif or dgamma distributions); setting this to TRUE might allow MCEM to run when the bounds of a parameter being maximized over depend on another parameter.
verbose	logical indicating whether to print additional logging information.

Details

buildMCEM calls the NIMBLE compiler to create the MCMC and objective function as nimbleFunctions. If the given model has already been used in compiling other nimbleFunctions, it is possible you will need to create a new copy of the model for buildMCEM to use. Uses an ascent-based MCEM algorithm, which includes rules for automatically increasing the number of MC samples as iterations increase, and for determining when convergence has been reached. Constraints for parameter values can be provided. If constraints are not provided, they will be automatically determined by NIMBLE. Initial values for the parameters are taken to be the values in the model at the time buildMCEM is called, unless the values in the compiled model are changed before running the MCEM.

Value

an R list with two elements:

• run A function that runs the MCEM algorithm. This function takes the arguments listed in run Arguments below.

• estimateCov An function that estimates the asymptotic covariance of the parameters. The covariance is estimated using the method of Louis (1982). This function takes the arguments listed in estimateCov Arguments below.

run Arguments

• initM starting number of iterations for the algorithm.

estimateCov Arguments

• MLEs named vector of MLE values. Must have a named MLE value for each stochastic, non-data, non-latent node. If the run() method has alread been called, MLEs do not need to be provided.

• useExistingSamples logical argument. If TRUE and the run() method has previously been called, the covariance estimation will use MCMC samples from the last step of the MCEM algorithm. Otherwise, an MCMC algorithm will be run for 10,000 iterations, and those samples will be used. Defaults to FALSE.

Author(s)

Clifford Anderson-Bergman and Nicholas Michaud

References

Caffo, Brian S., Wolfgang Jank, and Galin L. Jones (2005). Ascent-based Monte Carlo expectation-maximization. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 67(2), 235-251.

Louis, Thomas A (1982). Finding the Observed Information Matrix When Using the EM Algorithm. Journal of the Royal Statistical Society. Series B (Statistical Methodology), 44(2), 226-233.

Examples

## Not run: 
pumpCode <- nimbleCode({ 
 for (i in 1:N){
     theta[i] ~ dgamma(alpha,beta);
     lambda[i] <- theta[i]*t[i];
     x[i] ~ dpois(lambda[i])
 }
 alpha ~ dexp(1.0);
 beta ~ dgamma(0.1,1.0);
})

pumpConsts <- list(N = 10,
              t = c(94.3, 15.7, 62.9, 126, 5.24,
                31.4, 1.05, 1.05, 2.1, 10.5))

pumpData <- list(x = c(5, 1, 5, 14, 3, 19, 1, 1, 4, 22))

pumpInits <- list(alpha = 1, beta = 1,
             theta = rep(0.1, pumpConsts$N))
pumpModel <- nimbleModel(code = pumpCode, name = 'pump', constants = pumpConsts,
                  data = pumpData, inits = pumpInits)

# Want to maximize alpha and beta (both which must be positive) and integrate over theta
box = list( list(c('alpha','beta'), c(0, Inf)))

pumpMCEM <- buildMCEM(model = pumpModel, latentNodes = 'theta[1:10]',
                       boxConstraints = box)
MLEs <- pumpMCEM$run(initM = 1000)
cov <- pumpMCEM$estimateCov()

## End(Not run)
# Could also use latentNodes = 'theta' and buildMCEM() would figure out this means 'theta[1:10]'

nimble documentation built on July 9, 2023, 5:24 p.m.