Nothing
## ****************************************************************************
## This file contains stuff related to the S3 class "Kriging".
## As an S3 class, it has no formal definition.
## ****************************************************************************
#' Shortcut to provide functions to the S3 class "Kriging"
#' @param nk A pointer to a C++ object of class "Kriging"
#' @return An object of class "Kriging" with methods to access and manipulate the data
classKriging <- function(nk) {
class(nk) <- "Kriging"
# This will allow to call methods (like in Python/Matlab/Octave) using `k$m(...)` as well as R-style `m(k, ...)`.
for (f in c('as.km','as.list','copy','fit','save',
'covMat','leaveOneOut','leaveOneOutFun','leaveOneOutVec',
'logLikelihood','logLikelihoodFun','logMargPost','logMargPostFun',
'predict','print','show','simulate','update', 'update_simulate')) {
eval(parse(text=paste0(
"nk$", f, " <- function(...) ", f, "(nk,...)"
)))
}
# This will allow to access kriging data/props using `k$d()`
for (d in c('kernel','optim','objective','X','centerX','scaleX','y','centerY','scaleY','regmodel','F','T','M','z','beta','is_beta_estim','theta','is_theta_estim','sigma2','is_sigma2_estim')) {
eval(parse(text=paste0(
"nk$", d, " <- function() kriging_", d, "(nk)"
)))
}
nk
}
#' Create an object with S3 class \code{"Kriging"} using
#' the \pkg{libKriging} library.
#'
#' The hyper-parameters (variance and vector of correlation ranges)
#' are estimated thanks to the optimization of a criterion given by
#' \code{objective}, using the method given in \code{optim}.
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param y Numeric vector of response values.
#' @param X Numeric matrix of input design.
#' @param kernel Character defining the covariance model:
#' \code{"exp"}, \code{"gauss"}, \code{"matern3_2"}, \code{"matern5_2"}.
#' @param regmodel Universal Kriging linear trend: \code{"constant"},
#' \code{"linear"}, \code{"interactive"}, \code{"quadratic"}.
#' @param normalize Logical. If \code{TRUE} both the input matrix
#' \code{X} and the response \code{y} in normalized to take
#' values in the interval \eqn{[0, 1]}.
#' @param optim Character giving the Optimization method used to fit
#' hyper-parameters. Possible values are: \code{"BFGS"},
#' \code{"Newton"} and \code{"none"}, the later simply keeping
#' the values given in \code{parameters}. The method
#' \code{"BFGS"} uses the gradient of the objective
#' (note that \code{"BGFS10"} means 10 multi-start of BFGS). The method
#' \code{"Newton"} uses both the gradient and the Hessian of the
#' objective.
#' @param objective Character giving the objective function to
#' optimize. Possible values are: \code{"LL"} for the
#' Log-Likelihood, \code{"LOO"} for the Leave-One-Out sum of
#' squares and \code{"LMP"} for the Log-Marginal Posterior.
#' @param parameters Initial values for the hyper-parameters. When
#' provided this must be named list with elements \code{"sigma2"}
#' and \code{"theta"} containing the initial value(s) for the
#' variance and for the range parameters. If \code{theta} is a
#' matrix with more than one row, each row is used as a starting
#' point for optimization.
#'
#' @return An object with S3 class \code{"Kriging"}. Should be used
#' with its \code{predict}, \code{simulate}, \code{update}
#' methods.
#'
#' @export
#' @useDynLib rlibkriging, .registration = TRUE
#' @importFrom Rcpp sourceCpp
#' @importFrom utils methods
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#' ## fit and print
#' k <- Kriging(y, X, kernel = "matern3_2")
#' print(k)
#'
#' x <- as.matrix(seq(from = 0, to = 1, length.out = 101))
#' p <- predict(k, x = x, return_stdev = TRUE, return_cov = FALSE)
#'
#' plot(f)
#' points(X, y)
#' lines(x, p$mean, col = "blue")
#' polygon(c(x, rev(x)), c(p$mean - 2 * p$stdev, rev(p$mean + 2 * p$stdev)),
#' border = NA, col = rgb(0, 0, 1, 0.2))
#'
#' s <- simulate(k, nsim = 10, seed = 123, x = x)
#'
#' matlines(x, s, col = rgb(0, 0, 1, 0.2), type = "l", lty = 1)
Kriging <- function(y=NULL, X=NULL, kernel=NULL,
regmodel = c("constant", "linear", "interactive", "none"),
normalize = FALSE,
optim = c("BFGS", "Newton", "none"),
objective = c("LL", "LOO", "LMP"),
parameters = NULL) {
regmodel <- match.arg(regmodel)
objective <- match.arg(objective)
if (is.character(optim)) optim <- optim[1] #optim <- match.arg(optim) because we can use BFGS10 for 10 (multistart) BFGS
if (is.character(y) && is.null(X) && is.null(kernel)) # just first arg for kernel, without naming
nk <- new_Kriging(kernel = y)
else if (is.null(y) && is.null(X) && !is.null(kernel))
nk <- new_Kriging(kernel = kernel)
else
nk <- new_KrigingFit(y = y, X = X, kernel = kernel,
regmodel = regmodel,
normalize = normalize,
optim = optim,
objective = objective,
parameters = parameters)
return(classKriging(nk))
}
#' Coerce a \code{Kriging} Object into a List
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param x An object with class \code{"Kriging"}.
#' @param ... Ignored
#'
#' @return A list with its elements copying the content of the
#' \code{Kriging} object fields: \code{kernel}, \code{optim},
#' \code{objective}, \code{theta} (vector of ranges),
#' \code{sigma2} (variance), \code{X}, \code{centerX},
#' \code{scaleX}, \code{y}, \code{centerY}, \code{scaleY},
#' \code{regmodel}, \code{F}, \code{T}, \code{M}, \code{z},
#' \code{beta}.
#'
#' @export
#' @method as.list Kriging
#' @aliases as.list,Kriging,Kriging-method
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x ) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, kernel = "matern3_2")
#'
#' l <- as.list(k)
#' cat(paste0(names(l), " =" , l, collapse = "\n"))
as.list.Kriging <- function(x, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
kriging_model(x)
}
#' Coerce a \code{Kriging} object into the \code{"km"} class of the
#' \pkg{DiceKriging} package.
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param x An object with S3 class \code{"Kriging"}.
#' @param .call Force the \code{call} slot to be filled in the
#' returned \code{km} object.
#' @param ... Not used.
#'
#' @return An object of having the S4 class \code{"KM"} which extends
#' the \code{"km"} class of the \pkg{DiceKriging} package and
#' contains an extra \code{Kriging} slot.
#'
#' @importFrom methods new
#' @importFrom stats model.matrix
#' @export
#' @method as.km Kriging
#' @aliases as.km,Kriging,Kriging-method
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, "matern3_2")
#' print(k)
#'
#' k_km <- as.km(k)
#' print(k_km)
as.km.Kriging <- function(x, .call = NULL, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
## loadDiceKriging()
## if (! "DiceKriging" %in% installed.packages())
## stop("DiceKriging must be installed to use its wrapper from libKriging.")
if (!requireNamespace("DiceKriging", quietly = TRUE))
stop("Package \"DiceKriging\" not found")
model <- new("KM")
model@Kriging <- x
if (is.null(.call))
model@call <- match.call()
else
model@call <- .call
m <- kriging_model(x)
data <- data.frame(m$X)
model@trend.formula <- regmodel2formula(m$regmodel)
model@trend.coef <- as.numeric(m$beta)
model@X <- m$X
model@y <- m$y
model@d <- ncol(m$X)
model@n <- nrow(m$X)
model@F <- m$F
colnames(model@F) <- colnames(model.matrix(model@trend.formula,data))
model@p <- ncol(m$F)
model@noise.flag <- FALSE
model@noise.var <- 0
if (m$is_sigma2_estim)
model@case <- "LLconcentration_beta_sigma2"
else
model@case <- "LLconcentration_beta"
isTrend = !m$is_beta_estim
isCov = !m$is_theta_estim
isVar = !m$is_sigma2_estim
if (isCov) {
known.covparam <- "All"
} else {
known.covparam <- "None"
}
model@param.estim <- NA
model@method <- m$objective
model@optim.method <- m$optim
model@penalty <- list()
model@lower <- 0
model@upper <- Inf
model@control <- list()
model@gr <- FALSE
model@T <- t(m$T) * sqrt(m$sigma2)
model@z <- as.numeric(m$z) / sqrt(m$sigma2)
model@M <- m$M / sqrt(m$sigma2)
covStruct <- new("covTensorProduct", d = model@d, name = m$kernel,
sd2 = m$sigma2, var.names = names(data),
nugget = 0, nugget.flag = FALSE, nugget.estim = FALSE,
known.covparam = known.covparam)
if (isTrend && isCov && isVar) {
model@known.param <- "All"
} else if ((isTrend) && ((!isCov) || (!isVar))) {
model@known.param <- "Trend"
} else if ((!isTrend) && isCov && isVar) {
model@known.param <- "CovAndVar"
} else { # In the other cases: All parameters are estimated (at this stage)
model@known.param <- "None"
}
covStruct@range.names <- "theta"
covStruct@paramset.n <- as.integer(1)
covStruct@param.n <- as.integer(model@d)
covStruct@range.n <- as.integer(model@d)
covStruct@range.val <- as.numeric(m$theta)
model@covariance <- covStruct
return(model)
}
#' Print the content of a \code{Kriging} object.
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param x A (S3) \code{Kriging} Object.
#' @param ... Ignored.
#'
#' @return String of printed object.
#'
#' @export
#' @method print Kriging
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, "matern3_2")
#'
#' print(k)
#' ## same thing
#' k
print.Kriging <- function(x, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
p = kriging_summary(x)
cat(p)
invisible(p)
}
#' Fit \code{Kriging} object on given data.
#'
#' The hyper-parameters (variance and vector of correlation ranges)
#' are estimated thanks to the optimization of a criterion given by
#' \code{objective}, using the method given in \code{optim}.
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object S3 Kriging object.
#' @param y Numeric vector of response values.
#' @param X Numeric matrix of input design.
#' @param regmodel Universal Kriging linear trend: \code{"constant"},
#' \code{"linear"}, \code{"interactive"}, \code{"quadratic"}.
#' @param normalize Logical. If \code{TRUE} both the input matrix
#' \code{X} and the response \code{y} in normalized to take
#' values in the interval \eqn{[0, 1]}.
#' @param optim Character giving the Optimization method used to fit
#' hyper-parameters. Possible values are: \code{"BFGS"},
#' \code{"Newton"} and \code{"none"}, the later simply keeping
#' the values given in \code{parameters}. The method
#' \code{"BFGS"} uses the gradient of the objective (note that \code{"BGFS10"} means 10 multi-start of BFGS). The method
#' \code{"Newton"} uses both the gradient and the Hessian of the
#' objective.
#' @param objective Character giving the objective function to
#' optimize. Possible values are: \code{"LL"} for the
#' Log-Likelihood, \code{"LOO"} for the Leave-One-Out sum of
#' squares and \code{"LMP"} for the Log-Marginal Posterior.
#' @param parameters Initial values for the hyper-parameters. When
#' provided this must be named list with elements \code{"sigma2"}
#' and \code{"theta"} containing the initial value(s) for the
#' variance and for the range parameters. If \code{theta} is a
#' matrix with more than one row, each row is used as a starting
#' point for optimization.
#' @param ... Ignored.
#'
#' @return No return value. Kriging object argument is modified.
#'
#' @method fit Kriging
#' @export
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' plot(f)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#' points(X, y, col = "blue", pch = 16)
#'
#' k <- Kriging("matern3_2")
#' print(k)
#'
#' fit(k,y,X)
#' print(k)
fit.Kriging <- function(object, y, X,
regmodel = c("constant", "linear", "interactive", "none"),
normalize = FALSE,
optim = c("BFGS", "Newton", "none"),
objective = c("LL", "LOO", "LMP"),
parameters = NULL, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
regmodel <- match.arg(regmodel)
objective <- match.arg(objective)
if (is.character(optim)) optim <- optim[1] #optim <- match.arg(optim) because we can use BFGS10 for 10 (multistart) BFGS
kriging_fit(object, y, X,
regmodel,
normalize,
optim ,
objective,
parameters)
invisible(NULL)
}
#' Predict from a \code{Kriging} object.
#'
#' Given "new" input points, the method compute the expectation,
#' variance and (optionnally) the covariance of the corresponding
#' stochastic process, conditional on the values at the input points
#' used when fitting the model.
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object S3 Kriging object.
#' @param x Input points where the prediction must be computed.
#' @param return_stdev \code{Logical}. If \code{TRUE} the standard deviation
#' is returned.
#' @param return_cov \code{Logical}. If \code{TRUE} the covariance matrix of
#' the predictions is returned.
#' @param return_deriv \code{Logical}. If \code{TRUE} the derivatives of mean and sd
#' of the predictions are returned.
#' @param ... Ignored.
#'
#' @return A list containing the element \code{mean} and possibly
#' \code{stdev} and \code{cov}.
#'
#' @note The names of the formal arguments differ from those of the
#' \code{predict} methods for the S4 classes \code{"km"} and
#' \code{"KM"}. The formal \code{x} corresponds to
#' \code{newdata}, \code{stdev} corresponds to \code{se.compute}
#' and \code{cov} to \code{cov.compute}. These names are chosen
#' \pkg{Python} and \pkg{Octave} interfaces to \pkg{libKriging}.
#'
#' @method predict Kriging
#' @export
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' plot(f)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#' points(X, y, col = "blue", pch = 16)
#'
#' k <- Kriging(y, X, "matern3_2")
#'
#' x <-seq(from = 0, to = 1, length.out = 101)
#' p <- predict(k, x)
#'
#' lines(x, p$mean, col = "blue")
#' polygon(c(x, rev(x)), c(p$mean - 2 * p$stdev, rev(p$mean + 2 * p$stdev)),
#' border = NA, col = rgb(0, 0, 1, 0.2))
predict.Kriging <- function(object, x, return_stdev = TRUE, return_cov = FALSE, return_deriv = FALSE, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
k <- kriging_model(object)
## manage the data frame case. Ideally we should then warn
if (is.data.frame(x)) x = data.matrix(x)
if (!is.matrix(x)) x=matrix(x,ncol=ncol(k$X))
if (ncol(x) != ncol(k$X))
stop("Input x must have ", ncol(k$X), " columns (instead of ",
ncol(x), ")")
return(kriging_predict(object, x, return_stdev, return_cov, return_deriv))
}
#' Simulation from a \code{Kriging} model object.
#'
#' This method draws paths of the stochastic process at new input
#' points conditional on the values at the input points used in the
#' fit.
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object S3 Kriging object.
#' @param nsim Number of simulations to perform.
#' @param seed Random seed used.
#' @param x Points in model input space where to simulate.
#' @param will_update Set to TRUE if wish to use update_simulate(...) later.
#' @param ... Ignored.
#'
#' @return a matrix with \code{nrow(x)} rows and \code{nsim}
#' columns containing the simulated paths at the inputs points
#' given in \code{x}.
#'
#' @note The names of the formal arguments differ from those of the
#' \code{simulate} methods for the S4 classes \code{"km"} and
#' \code{"KM"}. The formal \code{x} corresponds to
#' \code{newdata}. These names are chosen \pkg{Python} and
#' \pkg{Octave} interfaces to \pkg{libKriging}.
#'
#'
#' @importFrom stats runif
#' @method simulate Kriging
#' @export
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' plot(f)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#' points(X, y, col = "blue")
#'
#' k <- Kriging(y, X, kernel = "matern3_2")
#'
#' x <- seq(from = 0, to = 1, length.out = 101)
#' s <- simulate(k, nsim = 3, x = x)
#'
#' lines(x, s[ , 1], col = "blue")
#' lines(x, s[ , 2], col = "blue")
#' lines(x, s[ , 3], col = "blue")
simulate.Kriging <- function(object, nsim = 1, seed = 123, x, will_update = FALSE, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
k <- kriging_model(object)
if (is.data.frame(x)) x = data.matrix(x)
if (!is.matrix(x)) x = matrix(x, ncol = ncol(k$X))
if (ncol(x) != ncol(k$X))
stop("Input x must have ", ncol(k$X), " columns (instead of ",
ncol(x),")")
## XXXY
if (is.null(seed)) seed <- floor(runif(1) * 99999)
return(kriging_simulate(object, nsim = nsim, seed = seed, X_n = x, will_update = will_update))
}
#' Update previous simulation of a \code{Kriging} model object.
#'
#' This method draws paths of the stochastic process conditional on the values at the input points used in the
#' fit, plus the new input points and their values given as argument (knonw as 'update' points).
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object S3 Kriging object.
#' @param y_u Numeric vector of new responses (output).
#' @param X_u Numeric matrix of new input points.
#' @param ... Ignored.
#'
#' @return a matrix with \code{nrow(x)} rows and \code{nsim}
#' columns containing the simulated paths at the inputs points
#' given in \code{x}.
#'
#' @method update_simulate Kriging
#' @export
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' plot(f)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#' points(X, y, col = "blue")
#'
#' k <- Kriging(y, X, kernel = "matern3_2")
#'
#' x <- seq(from = 0, to = 1, length.out = 101)
#' s <- k$simulate(nsim = 3, x = x, will_update = TRUE)
#'
#' lines(x, s[ , 1], col = "blue")
#' lines(x, s[ , 2], col = "blue")
#' lines(x, s[ , 3], col = "blue")
#'
#' X_u <- as.matrix(runif(3))
#' y_u <- f(X_u)
#' points(X_u, y_u, col = "red")
#'
#' su <- k$update_simulate(y_u, X_u)
#'
#' lines(x, su[ , 1], col = "blue", lty=2)
#' lines(x, su[ , 2], col = "blue", lty=2)
#' lines(x, su[ , 3], col = "blue", lty=2)
update_simulate.Kriging <- function(object, y_u, X_u, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
k <- kriging_model(object)
if (is.data.frame(X_u)) X_u = data.matrix(X_u)
if (!is.matrix(X_u)) X_u <- matrix(X_u, ncol = ncol(k$X))
if (is.data.frame(y_u)) y_u = data.matrix(y_u)
if (!is.matrix(y_u)) y_u <- matrix(y_u, ncol = ncol(k$y))
if (ncol(X_u) != ncol(k$X))
stop("Object 'X_u' must have ", ncol(k$X), " columns (instead of ",
ncol(X_u), ")")
if (nrow(y_u) != nrow(X_u))
stop("Objects 'X_u' and 'y_u' must have the same number of rows.")
## Modify 'object' in the parent environment
return(kriging_update_simulate(object, y_u, X_u))
}
#' Update a \code{Kriging} model object with new points
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object S3 Kriging object.
#' @param y_u Numeric vector of new responses (output).
#' @param X_u Numeric matrix of new input points.
#' @param refit Logical. If \code{TRUE} the model is refitted (default is FALSE).
#' @param ... Ignored.
#'
#' @return No return value. Kriging object argument is modified.
#'
#' @section Caution: The method \emph{does not return the updated
#' object}, but instead changes the content of
#' \code{object}. This behaviour is quite unusual in R and
#' differs from the behaviour of the methods
#' \code{\link[DiceKriging]{update.km}} in \pkg{DiceKriging} and
#' \code{\link{update,KM-method}}.
#'
#' @method update Kriging
#' @export
#'
#' @examples
#' f <- function(x) 1- 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x)*x^5 + 0.7)
#' plot(f)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#' points(X, y, col = "blue")
#'
#' k <- Kriging(y, X, "matern3_2")
#'
#' x <- seq(from = 0, to = 1, length.out = 101)
#' p <- predict(k, x)
#' lines(x, p$mean, col = "blue")
#' polygon(c(x, rev(x)), c(p$mean - 2 * p$stdev, rev(p$mean + 2 * p$stdev)),
#' border = NA, col = rgb(0, 0, 1, 0.2))
#'
#' X_u <- as.matrix(runif(3))
#' y_u <- f(X_u)
#' points(X_u, y_u, col = "red")
#'
#' ## change the content of the object 'k'
#' update(k, y_u, X_u)
#'
#' ## include design points to see interpolation
#' x <- sort(c(X,X_u,seq(from = 0, to = 1, length.out = 101)))
#' p2 <- predict(k, x)
#' lines(x, p2$mean, col = "red")
#' polygon(c(x, rev(x)), c(p2$mean - 2 * p2$stdev, rev(p2$mean + 2 * p2$stdev)),
#' border = NA, col = rgb(1, 0, 0, 0.2))
update.Kriging <- function(object, y_u, X_u, refit=TRUE,...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
k <- kriging_model(object)
if (is.data.frame(X_u)) X_u = data.matrix(X_u)
if (!is.matrix(X_u)) X_u <- matrix(X_u, ncol = ncol(k$X))
if (is.data.frame(y_u)) y_u = data.matrix(y_u)
if (!is.matrix(y_u)) y_u <- matrix(y_u, ncol = ncol(k$y))
if (ncol(X_u) != ncol(k$X))
stop("Object 'X_u' must have ", ncol(k$X), " columns (instead of ",
ncol(X_u), ")")
if (nrow(y_u) != nrow(X_u))
stop("Objects 'X_u' and 'y_u' must have the same number of rows.")
## Modify 'object' in the parent environment
kriging_update(object, y_u, X_u, refit)
invisible(NULL)
}
#' Save a Kriging Model to a file storage
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object An S3 Kriging object.
#' @param filename File name to save in.
#' @param ... Not used.
#'
#' @return The loaded Kriging object.
#'
#' @method save Kriging
#' @export
#' @aliases save,Kriging,Kriging-method
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, kernel = "matern3_2", objective="LMP")
#' print(k)
#'
#' outfile = tempfile("k.json")
#' save(k,outfile)
save.Kriging <- function(object, filename, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
if (!is.character(filename))
stop("'filename' must be a string")
kriging_save(object, filename)
invisible(NULL)
}
#' Load a Kriging Model from a file storage
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param filename File name to load from.
#' @param ... Not used.
#'
#' @return The loaded Kriging object.
#'
#' @export
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, kernel = "matern3_2", objective="LMP")
#' print(k)
#'
#' outfile = tempfile("k.json")
#' save(k,outfile)
#'
#' print(load.Kriging(outfile))
load.Kriging <- function(filename, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
if (!is.character(filename))
stop("'filename' must be a string")
return(classKriging( kriging_load(filename)))
}
#' Compute Covariance Matrix of Kriging Model
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object An S3 Kriging object.
#' @param x1 Numeric matrix of input points.
#' @param x2 Numeric matrix of input points.
#' @param ... Not used.
#'
#' @return A matrix of the covariance matrix of the Kriging model.
#'
#' @method covMat Kriging
#' @export
#' @aliases covMat,Kriging,Kriging-method
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, kernel = "gauss")
#'
#' x1 = runif(10)
#' x2 = runif(10)
#'
#' covMat(k, x1, x2)
covMat.Kriging <- function(object, x1, x2, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
k <- kriging_model(object)
if (is.data.frame(x1)) x1 = data.matrix(x1)
if (is.data.frame(x2)) x2 = data.matrix(x2)
if (!is.matrix(x1)) x1 = matrix(x1, ncol = ncol(k$X))
if (!is.matrix(x2)) x2 = matrix(x2, ncol = ncol(k$X))
if (ncol(x1) != ncol(k$X))
stop("Input x1 must have ", ncol(k$X), " columns (instead of ",
ncol(x1), ")")
if (ncol(x2) != ncol(k$X))
stop("Input x2 must have ", ncol(k$X), " columns (instead of ",
ncol(x2), ")")
return(kriging_covMat(object, x1, x2))
}
#' Compute Log-Likelihood of Kriging Model
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object An S3 Kriging object.
#' @param theta A numeric vector of (positive) range parameters at
#' which the log-likelihood will be evaluated.
#' @param return_grad Logical. Should the function return the gradient?
#' @param return_hess Logical. Should the function return Hessian?
#' @param bench Logical. Should the function display benchmarking output?
#' @param ... Not used.
#'
#' @return The log-Likelihood computed for given
#' \eqn{\boldsymbol{theta}}{\theta}.
#'
#' @method logLikelihoodFun Kriging
#' @export
#' @aliases logLikelihoodFun,Kriging,Kriging-method
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, kernel = "matern3_2")
#' print(k)
#'
#' ll <- function(theta) logLikelihoodFun(k, theta)$logLikelihood
#'
#' t <- seq(from = 0.001, to = 2, length.out = 101)
#' plot(t, ll(t), type = 'l')
#' abline(v = k$theta(), col = "blue")
logLikelihoodFun.Kriging <- function(object, theta,
return_grad = FALSE, return_hess = FALSE, bench=FALSE, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
k <- kriging_model(object)
if (is.data.frame(theta)) theta = data.matrix(theta)
if (!is.matrix(theta)) theta <- matrix(theta, ncol = ncol(k$X))
if (ncol(theta) != ncol(k$X))
stop("Input theta must have ", ncol(k$X), " columns (instead of ",
ncol(theta),")")
out <- list(logLikelihood = matrix(NA, nrow = nrow(theta)),
logLikelihoodGrad = matrix(NA,nrow=nrow(theta),
ncol = ncol(theta)),
logLikelihoodHess = array(NA, dim = c(nrow(theta), ncol(theta),
ncol(theta))))
for (i in 1:nrow(theta)) {
ll <- kriging_logLikelihoodFun(object, theta[i, ],
return_grad = isTRUE(return_grad), return_hess = isTRUE(return_hess), bench = isTRUE(bench))
out$logLikelihood[i] <- ll$logLikelihood
if (isTRUE(return_grad)) out$logLikelihoodGrad[i, ] <- ll$logLikelihoodGrad
if (isTRUE(return_hess)) out$logLikelihoodHess[i, , ] <- ll$logLikelihoodHess
}
if (!isTRUE(return_grad)) out$logLikelihoodGrad <- NULL
if (!isTRUE(return_hess)) out$logLikelihoodHess <- NULL
return(out)
}
#' Get Log-Likelihood of Kriging Model
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object An S3 Kriging object.
#' @param ... Not used.
#'
#' @return The log-Likelihood computed for fitted
#' \eqn{\boldsymbol{theta}}{\theta}.
#'
#' @method logLikelihood Kriging
#' @export
#' @aliases logLikelihood,Kriging,Kriging-method
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, kernel = "matern3_2", objective="LL")
#' print(k)
#'
#' logLikelihood(k)
logLikelihood.Kriging <- function(object, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
return(kriging_logLikelihood(object))
}
#' Compute Leave-One-Out (LOO) error for an object with S3 class
#' \code{"Kriging"} representing a kriging model.
#'
#' The returned value is the sum of squares \eqn{\sum_{i=1}^n [y_i -
#' \hat{y}_{i,(-i)}]^2} where \eqn{\hat{y}_{i,(-i)}} is the
#' prediction of \eqn{y_i}{y[i]} based on the the observations \eqn{y_j}{y[j]}
#' with \eqn{j \neq i}{j != i}.
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object A \code{Kriging} object.
#' @param theta A numeric vector of range parameters at which the LOO
#' will be evaluated.
#'
#' @param return_grad Logical. Should the gradient (w.r.t. \code{theta}) be
#' returned?
#' @param bench Logical. Should the function display benchmarking output
#' @param ... Not used.
#'
#' @return The leave-One-Out value computed for the given vector
#' \eqn{\boldsymbol{\theta}}{\theta} of correlation ranges.
#'
#' @method leaveOneOutFun Kriging
#' @export
#' @aliases leaveOneOutFun,Kriging,Kriging-method
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, kernel = "matern3_2", objective = "LOO", optim="BFGS")
#' print(k)
#'
#' loo <- function(theta) leaveOneOutFun(k, theta)$leaveOneOut
#' t <- seq(from = 0.001, to = 2, length.out = 101)
#' plot(t, loo(t), type = "l")
#' abline(v = k$theta(), col = "blue")
leaveOneOutFun.Kriging <- function(object, theta, return_grad = FALSE, bench=FALSE, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
k <- kriging_model(object)
if (is.data.frame(theta)) theta = data.matrix(theta)
if (!is.matrix(theta)) theta <- matrix(theta,ncol=ncol(k$X))
if (ncol(theta) != ncol(k$X))
stop("Input theta must have ", ncol(k$X), " columns (instead of ",
ncol(theta),")")
out <- list(leaveOneOut = matrix(NA, nrow = nrow(theta)),
leaveOneOutGrad = matrix(NA, nrow = nrow(theta),
ncol = ncol(theta)))
for (i in 1:nrow(theta)) {
loo <- kriging_leaveOneOutFun(object,theta[i,], isTRUE(return_grad), bench = isTRUE(bench))
out$leaveOneOut[i] <- loo$leaveOneOut
if (isTRUE(return_grad)) out$leaveOneOutGrad[i, ] <- loo$leaveOneOutGrad
}
if (!isTRUE(return_grad)) out$leaveOneOutGrad <- NULL
return(out)
}
#' Compute Leave-One-Out (LOO) vector error for an object with S3 class
#' \code{"Kriging"} representing a kriging model.
#'
#' The returned value is the mean and stdev of \eqn{\hat{y}_{i,(-i)}}, the
#' prediction of \eqn{y_i}{y[i]} based on the the observations \eqn{y_j}{y[j]}
#' with \eqn{j \neq i}{j != i}.
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object A \code{Kriging} object.
#' @param theta A numeric vector of range parameters at which the LOO
#' will be evaluated.
#' @param ... Not used.
#'
#' @return The leave-One-Out vector computed for the given vector
#' \eqn{\boldsymbol{\theta}}{\theta} of correlation ranges.
#'
#' @method leaveOneOutVec Kriging
#' @export
#' @aliases leaveOneOutVec,Kriging,Kriging-method
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(c(0.0, 0.25, 0.5, 0.75, 1.0))
#' y <- f(X)
#'
#' k <- Kriging(y, X, kernel = "matern3_2")
#' print(k)
#'
#' x <- as.matrix(seq(0, 1, , 101))
#' p <- predict(k, x, TRUE, FALSE)
#'
#' plot(f)
#' points(X, y)
#' lines(x, p$mean, col = 'blue')
#' polygon(c(x, rev(x)), c(p$mean - 2 * p$stdev, rev(p$mean + 2 * p$stdev)),
#' border = NA, col = rgb(0, 0, 1, 0.2))
#'
#' # Compute leave-one-out (no range re-estimate) on 2nd point
#' X_no2 = X[-2,,drop=FALSE]
#' y_no2 = f(X_no2)
#' k_no2 = Kriging(y_no2, X_no2, "matern3_2", optim = "none", parameters = list(theta = k$theta()))
#' print(k_no2)
#'
#' p_no2 <- predict(k_no2, x, TRUE, FALSE)
#' lines(x, p_no2$mean, col = 'red')
#' polygon(c(x, rev(x)), c(p_no2$mean - 2 * p_no2$stdev, rev(p_no2$mean + 2 * p_no2$stdev)),
#' border = NA, col = rgb(1, 0, 0, 0.2))
#'
#' # Use leaveOneOutVec to get the same
#' loov = k$leaveOneOutVec(matrix(k$theta()))
#' points(X[2],loov$mean[2],col='red')
#' lines(rep(X[2],2),loov$mean[2]+2*c(-loov$stdev[2],loov$stdev[2]),col='red')
leaveOneOutVec.Kriging <- function(object, theta, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
k <- kriging_model(object)
if (!is.array(theta))
stop("Input theta must be 1-dimensional")
if (length(theta) != ncol(k$X))
stop("Input theta must have ", ncol(k$X), " values (instead of ",
length(theta),")")
return( kriging_leaveOneOutVec(object,theta) )
}
#' Get leaveOneOut of Kriging Model
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object An S3 Kriging object.
#' @param ... Not used.
#'
#' @return The leaveOneOut computed for fitted
#' \eqn{\boldsymbol{theta}}{\theta}.
#'
#' @method leaveOneOut Kriging
#' @export
#' @aliases leaveOneOut,Kriging,Kriging-method
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, kernel = "matern3_2", objective="LOO")
#' print(k)
#'
#' leaveOneOut(k)
leaveOneOut.Kriging <- function(object, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
return(kriging_leaveOneOut(object))
}
#' Compute the log-marginal posterior of a kriging model, using the
#' prior XXXY.
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object S3 Kriging object.
#' @param theta Numeric vector of correlation range parameters at
#' which the function is to be evaluated.
#' @param return_grad Logical. Should the function return the gradient
#' (w.r.t theta)?
#' @param bench Logical. Should the function display benchmarking output?
#' @param ... Not used.
#'
#' @return The value of the log-marginal posterior computed for the
#' given vector theta.
#'
#' @method logMargPostFun Kriging
#' @export
#' @aliases logMargPostFun,Kriging,Kriging-method
#'
#' @references
#' XXXY A reference describing the model (prior, ...)
#'
#' @seealso \code{\link[RobustGaSP]{rgasp}} in the RobustGaSP package.
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, "matern3_2", objective="LMP")
#' print(k)
#'
#' lmp <- function(theta) logMargPostFun(k, theta)$logMargPost
#'
#' t <- seq(from = 0.01, to = 2, length.out = 101)
#' plot(t, lmp(t), type = "l")
#' abline(v = k$theta(), col = "blue")
logMargPostFun.Kriging <- function(object, theta, return_grad = FALSE, bench=FALSE, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
k <- kriging_model(object)
if (is.data.frame(theta)) theta = data.matrix(theta)
if (!is.matrix(theta)) theta <- matrix(theta,ncol=ncol(k$X))
if (ncol(theta) != ncol(k$X))
stop("Input theta must have ", ncol(k$X), " columns (instead of ",
ncol(theta), ")")
out <- list(logMargPost = matrix(NA, nrow = nrow(theta)),
logMargPostGrad = matrix(NA, nrow = nrow(theta),
ncol = ncol(theta)))
for (i in 1:nrow(theta)) {
lmp <- kriging_logMargPostFun(object, theta[i, ], return_grad = isTRUE(return_grad), bench = isTRUE(bench))
out$logMargPost[i] <- lmp$logMargPost
if (isTRUE(return_grad)) out$logMargPostGrad[i, ] <- lmp$logMargPostGrad
}
if (!isTRUE(return_grad)) out$logMargPostGrad <- NULL
return(out)
}
#' Get logMargPost of Kriging Model
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object An S3 Kriging object.
#' @param ... Not used.
#'
#' @return The logMargPost computed for fitted
#' \eqn{\boldsymbol{theta}}{\theta}.
#'
#' @method logMargPost Kriging
#' @export
#' @aliases logMargPost,Kriging,Kriging-method
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, kernel = "matern3_2", objective="LMP")
#' print(k)
#'
#' logMargPost(k)
logMargPost.Kriging <- function(object, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
return(kriging_logMargPost(object))
}
#' Duplicate a Kriging Model
#'
#' @author Yann Richet \email{yann.richet@irsn.fr}
#'
#' @param object An S3 Kriging object.
#' @param ... Not used.
#'
#' @return The copy of object.
#'
#' @method copy Kriging
#' @export
#' @aliases copy,Kriging,Kriging-method
#'
#' @examples
#' f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
#' set.seed(123)
#' X <- as.matrix(runif(10))
#' y <- f(X)
#'
#' k <- Kriging(y, X, kernel = "matern3_2", objective="LMP")
#' print(k)
#'
#' print(copy(k))
copy.Kriging <- function(object, ...) {
if (length(L <- list(...)) > 0) warnOnDots(L)
return(classKriging(kriging_copy(object)))
}
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