R/stan_glm.fit.R

Defines functions .sample_indices .rename_aux summarize_glm_prior make_b_nms unpad_reTrms.array unpad_reTrms.default unpad_reTrms pad_reTrms fake_y_for_prior_PD validate_glm_outcome_support stan_family_number supported_glm_links stan_glm.fit

Documented in stan_glm.fit

# Part of the rstanarm package for estimating model parameters
# Copyright (C) 2013, 2014, 2015, 2016, 2017 Trustees of Columbia University
# 
# This program is free software; you can redistribute it and/or
# modify it under the terms of the GNU General Public License
# as published by the Free Software Foundation; either version 3
# of the License, or (at your option) any later version.
# 
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
# 
# You should have received a copy of the GNU General Public License
# along with this program; if not, write to the Free Software
# Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA  02110-1301, USA.

#' @rdname stan_glm
#' @export
#' @template args-prior_smooth
#' @param prior_ops Deprecated. See \link{rstanarm-deprecated} for details.
#' @param group A list, possibly of length zero (the default), but otherwise
#'   having the structure of that produced by \code{\link[lme4]{mkReTrms}} to
#'   indicate the group-specific part of the model. In addition, this list must
#'   have elements for the \code{regularization}, \code{concentration} 
#'   \code{shape}, and \code{scale} components of a \code{\link{decov}}
#'   prior for the covariance matrices among the group-specific coefficients.
#' @param importance_resampling Logical scalar indicating whether to use 
#'   importance resampling when approximating the posterior distribution with
#'   a multivariate normal around the posterior mode, which only applies
#'   when \code{algorithm} is \code{"optimizing"} but defaults to \code{TRUE}
#'   in that case
#' @param keep_every Positive integer, which defaults to 1, but can be higher
#'   in order to "thin" the importance sampling realizations. Applies only
#'   when \code{importance_resampling=TRUE}.
#' @importFrom lme4 mkVarCorr
#' @importFrom loo psis
stan_glm.fit <- 
  function(x, y, 
           weights = rep(1, NROW(y)), 
           offset = rep(0, NROW(y)), 
           family = gaussian(),
           ...,
           prior = normal(),
           prior_intercept = normal(),
           prior_aux = exponential(),
           prior_smooth = exponential(autoscale = FALSE),
           prior_ops = NULL,
           group = list(),
           prior_PD = FALSE, 
           algorithm = c("sampling", "optimizing", "meanfield", "fullrank"), 
           mean_PPD = algorithm != "optimizing",
           adapt_delta = NULL, 
           QR = FALSE, 
           sparse = FALSE,
           importance_resampling = algorithm != "sampling",
           keep_every = algorithm != "sampling") {
  
  # prior_ops deprecated but make sure it still works until 
  # removed in future release
  if (!is.null(prior_ops)) {
    tmp <- .support_deprecated_prior_options(prior, prior_intercept, 
                                             prior_aux, prior_ops)
    prior <- tmp[["prior"]]
    prior_intercept <- tmp[["prior_intercept"]]
    prior_aux <- tmp[["prior_aux"]]
    prior_ops <- NULL
  }
  
  algorithm <- match.arg(algorithm)
  family <- validate_family(family)
  supported_families <- c("binomial", "gaussian", "Gamma", "inverse.gaussian",
                          "poisson", "neg_binomial_2", "Beta regression")
  fam <- which(pmatch(supported_families, family$family, nomatch = 0L) == 1L)
  if (!length(fam)) {
    supported_families_err <- supported_families
    supported_families_err[supported_families_err == "Beta regression"] <- "mgcv::betar"
    stop("'family' must be one of ", paste(supported_families_err, collapse = ", "))
  }
  
  supported_links <- supported_glm_links(supported_families[fam])
  link <- which(supported_links == family$link)
  if (!length(link)) 
    stop("'link' must be one of ", paste(supported_links, collapse = ", "))
  
  if (binom_y_prop(y, family, weights)) {
    stop("To specify 'y' as proportion of successes and 'weights' as ",
         "number of trials please use stan_glm rather than calling ",
         "stan_glm.fit directly.", call. = FALSE)
  }
  
  y <- validate_glm_outcome_support(y, family)
  trials <- NULL
  if (is.binomial(family$family) && NCOL(y) == 2L) {
    trials <- as.integer(y[, 1L] + y[, 2L])
    y <- as.integer(y[, 1L])
    if (length(y == 1)) {
      y <- array(y)
      trials <- array(trials)
    }
  }

  # useless assignments to pass R CMD check
  has_intercept <- 
    prior_df <- prior_df_for_intercept <- prior_df_for_aux <- prior_df_for_smooth <-
    prior_dist <- prior_dist_for_intercept <- prior_dist_for_aux <- prior_dist_for_smooth <-
    prior_mean <- prior_mean_for_intercept <- prior_mean_for_aux <- prior_mean_for_smooth <-
    prior_scale <- prior_scale_for_intercept <- prior_scale_for_aux <- prior_scale_for_smooth <-
    prior_autoscale <- prior_autoscale_for_intercept <- prior_autoscale_for_aux <- 
    prior_autoscale_for_smooth <- global_prior_scale <- global_prior_df <- slab_df <- 
    slab_scale <- NULL
  
  if (is.list(x)) {
    x_stuff <- center_x(x[[1]], sparse)
    smooth_map <- unlist(lapply(1:(length(x) - 1L), FUN = function(j) {
      rep(j, NCOL(x[[j + 1L]]))
    }))
    S <- do.call(cbind, x[-1L])
  }
  else {
    x_stuff <- center_x(x, sparse)
    S <- matrix(NA_real_, nrow = nrow(x), ncol = 0L)
    smooth_map <- integer()
  }
  for (i in names(x_stuff)) # xtemp, xbar, has_intercept
    assign(i, x_stuff[[i]])
  nvars <- ncol(xtemp)

  ok_dists <- nlist("normal", student_t = "t", "cauchy", "hs", "hs_plus", 
                    "laplace", "lasso", "product_normal")
  ok_intercept_dists <- ok_dists[1:3]
  ok_aux_dists <- c(ok_dists[1:3], exponential = "exponential")
  
  # prior distributions
  prior_stuff <- handle_glm_prior(
    prior,
    nvars,
    link = family$link,
    default_scale = 2.5,
    ok_dists = ok_dists
  )
  # prior_{dist, mean, scale, df, dist_name, autoscale}, 
  # global_prior_df, global_prior_scale, slab_df, slab_scale
  for (i in names(prior_stuff))
    assign(i, prior_stuff[[i]])
  
  prior_intercept_stuff <- handle_glm_prior(
    prior_intercept,
    nvars = 1,
    default_scale = 10,
    link = family$link,
    ok_dists = ok_intercept_dists
  )
  # prior_{dist, mean, scale, df, dist_name, autoscale}_for_intercept
  names(prior_intercept_stuff) <- paste0(names(prior_intercept_stuff), "_for_intercept")
  for (i in names(prior_intercept_stuff))
    assign(i, prior_intercept_stuff[[i]])
  
  prior_aux_stuff <-
    handle_glm_prior(
      prior_aux,
      nvars = 1,
      default_scale = 1,
      link = NULL, # don't need to adjust scale based on logit vs probit
      ok_dists = ok_aux_dists
    )
  # prior_{dist, mean, scale, df, dist_name, autoscale}_for_aux
  names(prior_aux_stuff) <- paste0(names(prior_aux_stuff), "_for_aux")
  if (is.null(prior_aux)) {
    if (prior_PD)
      stop("'prior_aux' cannot be NULL if 'prior_PD' is TRUE.")
    prior_aux_stuff$prior_scale_for_aux <- Inf
  }
  for (i in names(prior_aux_stuff)) 
    assign(i, prior_aux_stuff[[i]])
  
  if (ncol(S) > 0) {   # prior_{dist, mean, scale, df, dist_name, autoscale}_for_smooth
    prior_smooth_stuff <-
      handle_glm_prior(
        prior_smooth,
        nvars = max(smooth_map),
        default_scale = 1,
        link = NULL,
        ok_dists = ok_aux_dists
      )
    
    names(prior_smooth_stuff) <- paste0(names(prior_smooth_stuff), "_for_smooth")
    if (is.null(prior_smooth)) {
      if (prior_PD)
        stop("'prior_smooth' cannot be NULL if 'prior_PD' is TRUE")
      prior_smooth_stuff$prior_scale_for_smooth <- Inf
    }
    for (i in names(prior_smooth_stuff))
      assign(i, prior_smooth_stuff[[i]])
    
    prior_scale_for_smooth <- array(prior_scale_for_smooth)
  } else {
    prior_dist_for_smooth <- 0L
    prior_mean_for_smooth <- array(NA_real_, dim = 0)
    prior_scale_for_smooth <- array(NA_real_, dim = 0)
    prior_df_for_smooth <- array(NA_real_, dim = 0)
  }
  
  famname <- supported_families[fam]
  is_bernoulli <- is.binomial(famname) && all(y %in% 0:1) && is.null(trials)
  is_nb <- is.nb(famname)
  is_gaussian <- is.gaussian(famname)
  is_gamma <- is.gamma(famname)
  is_ig <- is.ig(famname)
  is_beta <- is.beta(famname)
  is_continuous <- is_gaussian || is_gamma || is_ig || is_beta
  
  # require intercept for certain family and link combinations
  if (!has_intercept) {
    linkname <- supported_links[link]
    needs_intercept <- !is_gaussian && linkname == "identity" ||
      is_gamma && linkname == "inverse" ||
      is.binomial(famname) && linkname == "log"
    if (needs_intercept)
      stop("To use this combination of family and link ", 
           "the model must have an intercept.")
  }
  
  # allow prior_PD even if no y variable
  if (is.null(y)) {
    if (!prior_PD) {
      stop("Outcome variable must be specified if 'prior_PD' is not TRUE.")
    } else {
      y <- fake_y_for_prior_PD(N = NROW(x), family = family)
      if (is_gaussian && 
          (prior_autoscale || prior_autoscale_for_intercept || prior_autoscale_for_aux)) {
        message("'y' not specified, will assume sd(y)=1 when calculating scaled prior(s). ")
      }
    }
  }
  
  
  if (is_gaussian) {
    ss <- sd(y)
    if (prior_dist > 0L && prior_autoscale) 
      prior_scale <- ss * prior_scale
    if (prior_dist_for_intercept > 0L && prior_autoscale_for_intercept) 
      prior_scale_for_intercept <-  ss * prior_scale_for_intercept
    if (prior_dist_for_aux > 0L && prior_autoscale_for_aux)
      prior_scale_for_aux <- ss * prior_scale_for_aux
  }
  if (!QR && prior_dist > 0L && prior_autoscale) {
    min_prior_scale <- 1e-12
    prior_scale <- pmax(min_prior_scale, prior_scale / 
                          apply(xtemp, 2L, FUN = function(x) {
                            num.categories <- length(unique(x))
                            x.scale <- 1
                            if (num.categories == 2) {
                              x.scale <- diff(range(x))
                            } else if (num.categories > 2) {
                              x.scale <- sd(x)
                            }
                            return(x.scale)
                          }))
  }
  prior_scale <- 
    as.array(pmin(.Machine$double.xmax, prior_scale))
  prior_scale_for_intercept <- 
    min(.Machine$double.xmax, prior_scale_for_intercept)
  
  if (QR) {
    if (ncol(xtemp) <= 1)
      stop("'QR' can only be specified when there are multiple predictors.")
    if (sparse)
      stop("'QR' and 'sparse' cannot both be TRUE.")
    cn <- colnames(xtemp)
    decomposition <- qr(xtemp)
    Q <- qr.Q(decomposition)
    if (prior_autoscale) scale_factor <- sqrt(nrow(xtemp) - 1L)
    else scale_factor <- diag(qr.R(decomposition))[ncol(xtemp)]
    R_inv <- qr.solve(decomposition, Q) * scale_factor
    xtemp <- Q * scale_factor
    colnames(xtemp) <- cn
    xbar <- c(xbar %*% R_inv)
  }
  
  if (length(weights) > 0 && all(weights == 1)) weights <- double()
  if (length(offset)  > 0 && all(offset  == 0)) offset  <- double()
  
  # create entries in the data block of the .stan file
  standata <- nlist(
    N = nrow(xtemp),
    K = ncol(xtemp),
    xbar = as.array(xbar),
    dense_X = !sparse,
    family = stan_family_number(famname), 
    link,
    has_weights = length(weights) > 0,
    has_offset = length(offset) > 0,
    has_intercept,
    prior_PD,
    compute_mean_PPD = mean_PPD,
    prior_dist,
    prior_mean,
    prior_scale,
    prior_df,
    prior_dist_for_intercept,
    prior_scale_for_intercept = c(prior_scale_for_intercept),
    prior_mean_for_intercept = c(prior_mean_for_intercept),
    prior_df_for_intercept = c(prior_df_for_intercept), 
    global_prior_df, global_prior_scale, slab_df, slab_scale, # for hs priors
    z_dim = 0,  # betareg data
    link_phi = 0,
    betareg_z = array(0, dim = c(nrow(xtemp), 0)),
    has_intercept_z = 0,
    zbar = array(0, dim = c(0)),
    prior_dist_z = 0, prior_mean_z = integer(), prior_scale_z = integer(), 
    prior_df_z = integer(), global_prior_scale_z = 0, global_prior_df_z = 0,
    prior_dist_for_intercept_z = 0, prior_mean_for_intercept_z = 0,
    prior_scale_for_intercept_z = 0, prior_df_for_intercept_z = 0,
    prior_df_for_intercept = c(prior_df_for_intercept),
    prior_dist_for_aux = prior_dist_for_aux,
    prior_dist_for_smooth, prior_mean_for_smooth, prior_scale_for_smooth, prior_df_for_smooth,
    slab_df_z = 0, slab_scale_z = 0,
    num_normals = if(prior_dist == 7) as.integer(prior_df) else integer(0),
    num_normals_z = integer(0),
    clogit = 0L, J = 0L, strata = integer()
    # mean,df,scale for aux added below depending on family
  )

  # make a copy of user specification before modifying 'group' (used for keeping
  # track of priors)
  user_covariance <- if (!length(group)) NULL else group[["decov"]]
  
  if (length(group) && length(group$flist)) {
    if (length(group$strata)) {
      standata$clogit <- TRUE
      standata$J <- nlevels(group$strata)
      standata$strata <- c(as.integer(group$strata)[y == 1],
                           as.integer(group$strata)[y == 0])
    }
    check_reTrms(group)
    decov <- group$decov
    if (is.null(group$SSfun)) {
      standata$SSfun <- 0L
      standata$input <- double()
      standata$Dose <- double()
    } else {
      standata$SSfun <- group$SSfun
      standata$input <- group$input
      if (group$SSfun == 5) standata$Dose <- group$Dose
      else standata$Dose <- double()
    }
    Z <- t(group$Zt)
    group <-
      pad_reTrms(Ztlist = group$Ztlist,
                 cnms = group$cnms,
                 flist = group$flist)
    Z <- group$Z
    p <- sapply(group$cnms, FUN = length)
    l <- sapply(attr(group$flist, "assign"), function(i) 
      nlevels(group$flist[[i]]))
    t <- length(l)
    b_nms <- make_b_nms(group)
    g_nms <- unlist(lapply(1:t, FUN = function(i) {
      paste(group$cnms[[i]], names(group$cnms)[i], sep = "|")
    }))
    standata$t <- t
    standata$p <- as.array(p)
    standata$l <- as.array(l)
    standata$q <- ncol(Z)
    standata$len_theta_L <- sum(choose(p, 2), p)
    if (is_bernoulli) {
      parts0 <- extract_sparse_parts(Z[y == 0, , drop = FALSE])
      parts1 <- extract_sparse_parts(Z[y == 1, , drop = FALSE])
      standata$num_non_zero <- c(length(parts0$w), length(parts1$w))
      standata$w0 <- as.array(parts0$w)
      standata$w1 <- as.array(parts1$w)
      standata$v0 <- as.array(parts0$v - 1L)
      standata$v1 <- as.array(parts1$v - 1L)
      standata$u0 <- as.array(parts0$u - 1L)
      standata$u1 <- as.array(parts1$u - 1L)
    } else {
      parts <- extract_sparse_parts(Z)
      standata$num_non_zero <- length(parts$w)
      standata$w <- parts$w
      standata$v <- parts$v - 1L
      standata$u <- parts$u - 1L
    }
    standata$shape <- as.array(maybe_broadcast(decov$shape, t))
    standata$scale <- as.array(maybe_broadcast(decov$scale, t))
    standata$len_concentration <- sum(p[p > 1])
    standata$concentration <- 
      as.array(maybe_broadcast(decov$concentration, sum(p[p > 1])))
    standata$len_regularization <- sum(p > 1)
    standata$regularization <- 
      as.array(maybe_broadcast(decov$regularization, sum(p > 1)))
    standata$special_case <- all(sapply(group$cnms, FUN = function(x) {
      length(x) == 1 && x == "(Intercept)"
    }))
  } else { # not multilevel
    if (length(group)) {
      standata$clogit <- TRUE
      standata$J <- nlevels(group$strata)
      standata$strata <- c(as.integer(group$strata)[y == 1],
                           as.integer(group$strata)[y == 0])
    }
    standata$t <- 0L
    standata$p <- integer(0)
    standata$l <- integer(0)
    standata$q <- 0L
    standata$len_theta_L <- 0L
    if (is_bernoulli) {
      standata$num_non_zero <- rep(0L, 2)
      standata$w0 <- standata$w1 <- double(0)
      standata$v0 <- standata$v1 <- integer(0)
      standata$u0 <- standata$u1 <- integer(0)
    } else {
      standata$num_non_zero <- 0L
      standata$w <- double(0)
      standata$v <- integer(0)
      standata$u <- integer(0)
    }
    standata$special_case <- 0L
    standata$shape <- standata$scale <- standata$concentration <-
      standata$regularization <- rep(0, 0)
    standata$len_concentration <- 0L
    standata$len_regularization <- 0L
    standata$SSfun <- 0L
    standata$input <- double()
    standata$Dose <- double()
  }
  
  if (!is_bernoulli) {
    if (sparse) {
      parts <- extract_sparse_parts(xtemp)
      standata$nnz_X <- length(parts$w)
      standata$w_X <- parts$w
      standata$v_X <- parts$v - 1L
      standata$u_X <- parts$u - 1L
      standata$X <- array(0, dim = c(0L, dim(xtemp)))
    } else {
      standata$X <- array(xtemp, dim = c(1L, dim(xtemp)))
      standata$nnz_X <- 0L
      standata$w_X <- double(0)
      standata$v_X <- integer(0)
      standata$u_X <- integer(0)
    }
    standata$y <- y
    standata$weights <- weights
    standata$offset_ <- offset
    standata$K_smooth <- ncol(S)
    standata$S <- S
    standata$smooth_map <- smooth_map
  }

  # call stan() to draw from posterior distribution
  if (is_continuous) {
    standata$ub_y <- Inf
    standata$lb_y <- if (is_gaussian) -Inf else 0
    standata$prior_scale_for_aux <- prior_scale_for_aux %ORifINF% 0
    standata$prior_df_for_aux <- c(prior_df_for_aux)
    standata$prior_mean_for_aux <- c(prior_mean_for_aux)
    standata$len_y <- length(y)
    stanfit <- stanmodels$continuous
  } else if (is.binomial(famname)) {
    standata$prior_scale_for_aux <- 
      if (!length(group) || prior_scale_for_aux == Inf) 
        0 else prior_scale_for_aux
    standata$prior_mean_for_aux <- 0
    standata$prior_df_for_aux <- 0
    if (is_bernoulli) {
      y0 <- y == 0
      y1 <- y == 1
      standata$N <- c(sum(y0), sum(y1))
      if (sparse) {
        standata$X0 <- array(0, dim = c(0L, sum(y0), ncol(xtemp)))
        standata$X1 <- array(0, dim = c(0L, sum(y1), ncol(xtemp)))
        parts0 <- extract_sparse_parts(xtemp[y0, , drop = FALSE])
        standata$nnz_X0 <- length(parts0$w)
        standata$w_X0 = parts0$w
        standata$v_X0 = parts0$v - 1L
        standata$u_X0 = parts0$u - 1L
        parts1 <- extract_sparse_parts(xtemp[y1, , drop = FALSE])
        standata$nnz_X1 <- length(parts1$w)
        standata$w_X1 = parts1$w
        standata$v_X1 = parts1$v - 1L
        standata$u_X1 = parts1$u - 1L
      } else {
        standata$X0 <- array(xtemp[y0, , drop = FALSE], dim = c(1, sum(y0), ncol(xtemp)))
        standata$X1 <- array(xtemp[y1, , drop = FALSE], dim = c(1, sum(y1), ncol(xtemp)))
        standata$nnz_X0 = 0L 
        standata$w_X0 = double(0)
        standata$v_X0 = integer(0)
        standata$u_X0 = integer(0)
        standata$nnz_X1 = 0L 
        standata$w_X1 = double(0)
        standata$v_X1 = integer(0)
        standata$u_X1 = integer(0)
      }
      if (length(weights)) { 
        # nocov start
        # this code is unused because weights are interpreted as number of 
        # trials for binomial glms
        standata$weights0 <- weights[y0]
        standata$weights1 <- weights[y1]
        # nocov end
      } else {
        standata$weights0 <- double(0)
        standata$weights1 <- double(0)
      }
      if (length(offset)) {
        # nocov start
        standata$offset0 <- offset[y0]
        standata$offset1 <- offset[y1]
        # nocov end
      } else {
        standata$offset0 <- double(0)
        standata$offset1 <- double(0)
      }
      standata$K_smooth <- ncol(S)
      standata$S0 <- S[y0, , drop = FALSE]
      standata$S1 <- S[y1, , drop = FALSE]
      standata$smooth_map <- smooth_map
      stanfit <- stanmodels$bernoulli
    } else {
      standata$trials <- trials
      stanfit <- stanmodels$binomial
    }
  } else if (is.poisson(famname)) {
    standata$prior_scale_for_aux <- prior_scale_for_aux %ORifINF% 0
    standata$prior_mean_for_aux <- 0
    standata$prior_df_for_aux <- 0
    stanfit <- stanmodels$count
  } else if (is_nb) {
    standata$prior_scale_for_aux <- prior_scale_for_aux %ORifINF% 0
    standata$prior_df_for_aux <- c(prior_df_for_aux)
    standata$prior_mean_for_aux <- c(prior_mean_for_aux)
    stanfit <- stanmodels$count
  } else if (is_gamma) {
    # nothing
  } else { # nocov start
    # family already checked above
    stop(paste(famname, "is not supported."))
  } # nocov end
  
  prior_info <- summarize_glm_prior(
    user_prior = prior_stuff,
    user_prior_intercept = prior_intercept_stuff,
    user_prior_aux = prior_aux_stuff,
    user_prior_covariance = user_covariance,
    has_intercept = has_intercept,
    has_predictors = nvars > 0,
    adjusted_prior_scale = prior_scale,
    adjusted_prior_intercept_scale = prior_scale_for_intercept,
    adjusted_prior_aux_scale = prior_scale_for_aux,
    family = family
  )
  
  pars <- c(if (has_intercept) "alpha", 
            "beta",
            if (ncol(S)) "beta_smooth",
            if (length(group)) "b",
            if (is_continuous | is_nb) "aux",
            if (ncol(S)) "smooth_sd",
            if (standata$len_theta_L) "theta_L",
            if (mean_PPD && !standata$clogit) "mean_PPD")
  if (algorithm == "optimizing") {
    optimizing_args <- list(...)
    if (is.null(optimizing_args$draws)) optimizing_args$draws <- 1000L
    optimizing_args$object <- stanfit
    optimizing_args$data <- standata
    optimizing_args$constrained <- TRUE
    optimizing_args$importance_resampling <- importance_resampling
    if (is.null(optimizing_args$tol_rel_grad)) 
      optimizing_args$tol_rel_grad <- 10000L
    out <- do.call(optimizing, args = optimizing_args)
    check_stanfit(out)
    if (optimizing_args$draws == 0) {
      out$theta_tilde <- out$par
      dim(out$theta_tilde) <- c(1,length(out$par))
    }
    new_names <- names(out$par)
    mark <- grepl("^beta\\[[[:digit:]]+\\]$", new_names)
    if (QR) {
      out$par[mark] <- R_inv %*% out$par[mark]
      out$theta_tilde[,mark] <- out$theta_tilde[, mark] %*% t(R_inv)
    }
    new_names[mark] <- colnames(xtemp)
    if (ncol(S)) {
      mark <- grepl("^beta_smooth\\[[[:digit:]]+\\]$", new_names)
      new_names[mark] <- colnames(S)
    }
    new_names[new_names == "alpha[1]"] <- "(Intercept)"
    new_names[grepl("aux(\\[1\\])?$", new_names)] <- 
      if (is_gaussian) "sigma" else
        if (is_gamma) "shape" else
          if (is_ig) "lambda" else 
            if (is_nb) "reciprocal_dispersion" else
              if (is_beta) "(phi)" else NA
    names(out$par) <- new_names
    colnames(out$theta_tilde) <- new_names
    if (optimizing_args$draws > 0 && importance_resampling) {
        ## begin: psis diagnostics and importance resampling
        lr <- out$log_p-out$log_g
        lr[lr==-Inf] <- -800
        p <- suppressWarnings(psis(lr, r_eff = 1))
        p$log_weights <- p$log_weights-log_sum_exp(p$log_weights)
        theta_pareto_k <- suppressWarnings(apply(out$theta_tilde, 2L, function(col) {
          if (all(is.finite(col))) 
            psis(log1p(col ^ 2) / 2 + lr, r_eff = 1)$diagnostics$pareto_k 
          else NaN
          }))
        ## todo: change fixed threshold to an option
        if (p$diagnostics$pareto_k > 1) {
          warning("Pareto k diagnostic value is ", 
                  round(p$diagnostics$pareto_k, digits = 2),
                  ". Resampling is disabled. ", 
                  "Decreasing tol_rel_grad may help if optimization has terminated prematurely. ", 
                  "Otherwise consider using sampling.", call. = FALSE, immediate. = TRUE)
          importance_resampling <- FALSE
        } else if (p$diagnostics$pareto_k > 0.7) { 
          warning("Pareto k diagnostic value is ", 
                  round(p$diagnostics$pareto_k, digits = 2), 
                  ". Resampling is unreliable. ",
                  "Increasing the number of draws or decreasing tol_rel_grad may help.", 
                  call. = FALSE, immediate. = TRUE)
        }
        out$psis <- nlist(pareto_k = p$diagnostics$pareto_k, 
                          n_eff = p$diagnostics$n_eff / keep_every)
    } else {
      theta_pareto_k <- rep(NaN,length(new_names))
      importance_resampling <- FALSE
    }
    ## importance_resampling
    if (importance_resampling) {  
      ir_idx <- .sample_indices(exp(p$log_weights), 
                                n_draws = ceiling(optimizing_args$draws / keep_every))
      out$theta_tilde <- out$theta_tilde[ir_idx,]
      out$ir_idx <- ir_idx
      ## SIR mcse and n_eff
      w_sir <- as.numeric(table(ir_idx)) / length(ir_idx)
      mcse <- apply(out$theta_tilde[!duplicated(ir_idx),], 2L, function(col) {
        if (all(is.finite(col))) sqrt(sum(w_sir^2*(col-mean(col))^2)) else NaN
      })
      n_eff <- round(apply(out$theta_tilde[!duplicated(ir_idx),], 2L, var)/ (mcse ^ 2), digits = 0)
    } else {
      out$ir_idx <- NULL
      mcse <- rep(NaN, length(theta_pareto_k))
      n_eff <- rep(NaN, length(theta_pareto_k))
    }
    out$diagnostics <- cbind(mcse, theta_pareto_k, n_eff)
    colnames(out$diagnostics) <- c("mcse", "khat", "n_eff")
    ## end: psis diagnostics and SIR
    out$stanfit <- suppressMessages(sampling(stanfit, data = standata, 
                                             chains = 0))
    return(structure(out, prior.info = prior_info))
    
  } else {
    if (algorithm == "sampling") {
      sampling_args <- set_sampling_args(
        object = stanfit, 
        prior = prior, 
        user_dots = list(...), 
        user_adapt_delta = adapt_delta, 
        data = standata, 
        pars = pars, 
        show_messages = FALSE)
      stanfit <- do.call(rstan::sampling, sampling_args)
    } else {
      # meanfield or fullrank vb
      vb_args <- list(...)
      if (is.null(vb_args$output_samples)) vb_args$output_samples <- 1000L
      if (is.null(vb_args$tol_rel_obj)) vb_args$tol_rel_obj <- 1e-4
      if (is.null(vb_args$keep_every)) vb_args$keep_every <- keep_every
      vb_args$object <- stanfit
      vb_args$data <- standata
      vb_args$pars <- pars
      vb_args$algorithm <- algorithm
      vb_args$importance_resampling <- importance_resampling
      stanfit <- do.call(vb, args = vb_args)
      if (!QR) 
        recommend_QR_for_vb()
    }
    check <- try(check_stanfit(stanfit))
    if (!isTRUE(check)) return(standata)
    if (QR) {
      thetas <- extract(stanfit, pars = "beta", inc_warmup = TRUE, 
                        permuted = FALSE)
      betas <- apply(thetas, 1:2, FUN = function(theta) R_inv %*% theta)
      end <- tail(dim(betas), 1L)
      for (chain in 1:end) for (param in 1:nrow(betas)) {
        stanfit@sim$samples[[chain]][[has_intercept + param]] <-
          if (ncol(xtemp) > 1) betas[param, , chain] else betas[param, chain]
      }
    }
    if (standata$len_theta_L) {
      thetas <- extract(stanfit, pars = "theta_L", inc_warmup = TRUE, 
                        permuted = FALSE)
      cnms <- group$cnms
      nc <- sapply(cnms, FUN = length)
      nms <- names(cnms)
      Sigma <- apply(thetas, 1:2, FUN = function(theta) {
        Sigma <- mkVarCorr(sc = 1, cnms, nc, theta, nms)
        unlist(sapply(Sigma, simplify = FALSE, 
                      FUN = function(x) x[lower.tri(x, TRUE)]))
      })
      l <- length(dim(Sigma))
      end <- tail(dim(Sigma), 1L)
      shift <- grep("^theta_L", names(stanfit@sim$samples[[1]]))[1] - 1L
      if (l == 3) for (chain in 1:end) for (param in 1:nrow(Sigma)) {
        stanfit@sim$samples[[chain]][[shift + param]] <- Sigma[param, , chain] 
      }
      else for (chain in 1:end) {
        stanfit@sim$samples[[chain]][[shift + 1]] <- Sigma[, chain]
      }
      Sigma_nms <- lapply(cnms, FUN = function(grp) {
        nm <- outer(grp, grp, FUN = paste, sep = ",")
        nm[lower.tri(nm, diag = TRUE)]
      })
      for (j in seq_along(Sigma_nms)) {
        Sigma_nms[[j]] <- paste0(nms[j], ":", Sigma_nms[[j]])
      }
      Sigma_nms <- unlist(Sigma_nms)
    }
    new_names <- c(if (has_intercept) "(Intercept)", 
                   colnames(xtemp),
                   if (ncol(S)) colnames(S),
                   if (length(group) && length(group$flist)) c(paste0("b[", b_nms, "]")),
                   if (is_gaussian) "sigma", 
                   if (is_gamma) "shape", 
                   if (is_ig) "lambda",
                   if (is_nb) "reciprocal_dispersion",
                   if (is_beta) "(phi)",
                   if (ncol(S)) paste0("smooth_sd[", names(x)[-1], "]"),
                   if (standata$len_theta_L) paste0("Sigma[", Sigma_nms, "]"),
                   if (mean_PPD && !standata$clogit) "mean_PPD", 
                   "log-posterior")
    stanfit@sim$fnames_oi <- new_names
    return(structure(stanfit, prior.info = prior_info))
  }
}



# internal ----------------------------------------------------------------

# @param famname string naming the family
# @return character vector of supported link functions for the family
supported_glm_links <- function(famname) {
  switch(
    famname,
    binomial = c("logit", "probit", "cauchit", "log", "cloglog"),
    gaussian = c("identity", "log", "inverse"),
    Gamma = c("identity", "log", "inverse"),
    inverse.gaussian = c("identity", "log", "inverse", "1/mu^2"),
    "neg_binomial_2" = , # intentional
    poisson = c("log", "identity", "sqrt"),
    "Beta regression" = c("logit", "probit", "cloglog", "cauchit"),
    stop("unsupported family")
  )
}

# Family number to pass to Stan
# @param famname string naming the family
# @return an integer family code
stan_family_number <- function(famname) {
  switch(
    famname,
    "gaussian" = 1L,
    "Gamma" = 2L,
    "inverse.gaussian" = 3L,
    "beta" = 4L,
    "Beta regression" = 4L,
    "binomial" = 5L,
    "poisson" = 6L,
    "neg_binomial_2" = 7L,
    stop("Family not valid.")
  )
}



# Verify that outcome values match support implied by family object
#
# @param y outcome variable
# @param family family object
# @return y (possibly slightly modified) unless an error is thrown
#
validate_glm_outcome_support <- function(y, family) {
  if (is.null(y)) {
    return(y)
  }
  
  .is_count <- function(x) {
    all(x >= 0) && all(abs(x - round(x)) < .Machine$double.eps^0.5)
  }
  
  fam <- family$family
  
  if (!is.binomial(fam)) {
    # make sure y has ok dimensions (matrix only allowed for binomial models)
    if (length(dim(y)) > 1) {
      if (NCOL(y) == 1) {
        y <- y[, 1]
      } else {
        stop("Except for binomial models the outcome variable ",
             "should not have multiple columns.", 
             call. = FALSE)
      }
    }
    
    # check that values match support for non-binomial models
    if (is.gaussian(fam)) {
      return(y)
    } else if (is.gamma(fam) && any(y <= 0)) {
      stop("All outcome values must be positive for gamma models.", 
           call. = FALSE)
    } else if (is.ig(fam) && any(y <= 0)) {
      stop("All outcome values must be positive for inverse-Gaussian models.", 
           call. = FALSE)
    } else if (is.poisson(fam) && !.is_count(y)) {
      stop("All outcome values must be counts for Poisson models",
           call. = FALSE)
    } else if (is.nb(fam) && !.is_count(y)) {
      stop("All outcome values must be counts for negative binomial models",
           call. = FALSE)
    }
  } else { # binomial models
    if (NCOL(y) == 1L) {
      if (is.numeric(y) || is.logical(y)) 
        y <- as.integer(y)
      if (is.factor(y)) 
        y <- fac2bin(y)
      if (!all(y %in% c(0L, 1L))) 
        stop("All outcome values must be 0 or 1 for Bernoulli models.", 
             call. = FALSE)
    } else if (isTRUE(NCOL(y) == 2L)) {
      if (!.is_count(y))
        stop("All outcome values must be counts for binomial models.",
             call. = FALSE)
    } else {
      stop("For binomial models the outcome should be a vector or ",
           "a matrix with 2 columns.", 
           call. = FALSE)
    }
  }
  
  return(y)
}

# Generate fake y variable to use if prior_PD and no y is specified
# @param N number of observations
# @param family family object
fake_y_for_prior_PD <- function(N, family) {
  fam <- family$family
  if (is.gaussian(fam)) {
    # if prior autoscaling is on then the value of sd(y) matters
    # generate a fake y so that sd(y) is 1
    fake_y <- as.vector(scale(rnorm(N)))
  } else if (is.binomial(fam) || is.poisson(fam) || is.nb(fam)) {
    # valid for all discrete cases
    fake_y <- rep_len(c(0, 1), N)
  } else {
    # valid for gamma, inverse gaussian, beta 
    fake_y <- runif(N)
  }
  return(fake_y)
}



# Add extra level _NEW_ to each group
# 
# @param Ztlist ranef indicator matrices
# @param cnms group$cnms
# @param flist group$flist
pad_reTrms <- function(Ztlist, cnms, flist) {
  stopifnot(is.list(Ztlist))
  l <- sapply(attr(flist, "assign"), function(i) nlevels(flist[[i]]))
  p <- sapply(cnms, FUN = length)
  n <- ncol(Ztlist[[1]])
  for (i in attr(flist, "assign")) {
    levels(flist[[i]]) <- c(gsub(" ", "_", levels(flist[[i]])), 
                            paste0("_NEW_", names(flist)[i]))
  }
  for (i in 1:length(p)) {
    Ztlist[[i]] <- rbind(Ztlist[[i]], Matrix(0, nrow = p[i], ncol = n, sparse = TRUE))
  }
  Z <- t(do.call(rbind, args = Ztlist))
  return(nlist(Z, cnms, flist))
}

# Drop the extra reTrms from a matrix x
#
# @param x A matrix or array (e.g. the posterior sample or matrix of summary
#   stats)
# @param columns Do the columns (TRUE) or rows (FALSE) correspond to the 
#   variables?
unpad_reTrms <- function(x, ...) UseMethod("unpad_reTrms")
unpad_reTrms.default <- function(x, ...) {
  if (is.matrix(x) || is.array(x))
    return(unpad_reTrms.array(x, ...))
  keep <- !grepl("_NEW_", names(x), fixed = TRUE)
  x[keep]
}

unpad_reTrms.array <- function(x, columns = TRUE, ...) {
  ndim <- length(dim(x))
  if (ndim > 3)
    stop("'x' should be a matrix or 3-D array")
  
  nms <- if (columns) 
    last_dimnames(x) else rownames(x)
  keep <- !grepl("_NEW_", nms, fixed = TRUE)
  if (length(dim(x)) == 2) {
    x_keep <- if (columns) 
      x[, keep, drop = FALSE] else x[keep, , drop = FALSE]
  } else {
    x_keep <- if (columns) 
      x[, , keep, drop = FALSE] else x[keep, , , drop = FALSE]
  }
  return(x_keep)
}

make_b_nms <- function(group, m = NULL, stub = "Long") {
  group_nms <- names(group$cnms)
  b_nms <- character()
  m_stub <- if (!is.null(m)) get_m_stub(m, stub = stub) else NULL
  for (i in seq_along(group$cnms)) {
    nm <- group_nms[i]
    nms_i <- paste(group$cnms[[i]], nm)
    levels(group$flist[[nm]]) <- gsub(" ", "_", levels(group$flist[[nm]]))
    if (length(nms_i) == 1) {
      b_nms <- c(b_nms, paste0(m_stub, nms_i, ":", levels(group$flist[[nm]])))
    } else {
      b_nms <- c(b_nms, c(t(sapply(paste0(m_stub, nms_i), paste0, ":", 
                                   levels(group$flist[[nm]])))))
    }
  }
  return(b_nms)  
}


# Create "prior.info" attribute needed for prior_summary()
#
# @param user_* The user's prior, prior_intercept, prior_covariance, and 
#   prior_aux specifications. For prior and prior_intercept these should be
#   passed in after broadcasting the df/location/scale arguments if necessary.
# @param has_intercept T/F, does model have an intercept?
# @param has_predictors T/F, does model have predictors?
# @param adjusted_prior_*_scale adjusted scales computed if using autoscaled priors
# @param family Family object.
# @return A named list with components 'prior', 'prior_intercept', and possibly 
#   'prior_covariance' and 'prior_aux' each of which itself is a list
#   containing the needed values for prior_summary.
summarize_glm_prior <-
  function(user_prior,
           user_prior_intercept,
           user_prior_aux,
           user_prior_covariance,
           has_intercept, 
           has_predictors,
           adjusted_prior_scale,
           adjusted_prior_intercept_scale, 
           adjusted_prior_aux_scale,
           family) {
    rescaled_coef <-
      user_prior$prior_autoscale && 
      has_predictors &&
      !is.na(user_prior$prior_dist_name) &&
      !all(user_prior$prior_scale == adjusted_prior_scale)
    rescaled_int <-
      user_prior_intercept$prior_autoscale_for_intercept &&
      has_intercept &&
      !is.na(user_prior_intercept$prior_dist_name_for_intercept) &&
      (user_prior_intercept$prior_scale_for_intercept != adjusted_prior_intercept_scale)
    rescaled_aux <- user_prior_aux$prior_autoscale_for_aux &&
      !is.na(user_prior_aux$prior_dist_name_for_aux) &&
      (user_prior_aux$prior_scale_for_aux != adjusted_prior_aux_scale)
    
    if (has_predictors && user_prior$prior_dist_name %in% "t") {
      if (all(user_prior$prior_df == 1)) {
        user_prior$prior_dist_name <- "cauchy"
      } else {
        user_prior$prior_dist_name <- "student_t"
      }
    }
    if (has_intercept &&
        user_prior_intercept$prior_dist_name_for_intercept %in% "t") {
      if (all(user_prior_intercept$prior_df_for_intercept == 1)) {
        user_prior_intercept$prior_dist_name_for_intercept <- "cauchy"
      } else {
        user_prior_intercept$prior_dist_name_for_intercept <- "student_t"
      }
    }
    if (user_prior_aux$prior_dist_name_for_aux %in% "t") {
      if (all(user_prior_aux$prior_df_for_aux == 1)) {
        user_prior_aux$prior_dist_name_for_aux <- "cauchy"
      } else {
        user_prior_aux$prior_dist_name_for_aux <- "student_t"
      }
    }
    prior_list <- list(
      prior = 
        if (!has_predictors) NULL else with(user_prior, list(
          dist = prior_dist_name,
          location = prior_mean,
          scale = prior_scale,
          adjusted_scale = if (rescaled_coef)
            adjusted_prior_scale else NULL,
          df = if (prior_dist_name %in% c
                   ("student_t", "hs", "hs_plus", "lasso", "product_normal"))
            prior_df else NULL
        )),
      prior_intercept = 
        if (!has_intercept) NULL else with(user_prior_intercept, list(
          dist = prior_dist_name_for_intercept,
          location = prior_mean_for_intercept,
          scale = prior_scale_for_intercept,
          adjusted_scale = if (rescaled_int)
            adjusted_prior_intercept_scale else NULL,
          df = if (prior_dist_name_for_intercept %in% "student_t")
            prior_df_for_intercept else NULL
        ))
    )
    if (length(user_prior_covariance))
      prior_list$prior_covariance <- user_prior_covariance
    
    aux_name <- .rename_aux(family)
    prior_list$prior_aux <- if (is.na(aux_name)) 
      NULL else with(user_prior_aux, list(
        dist = prior_dist_name_for_aux,
        location = if (!is.na(prior_dist_name_for_aux) && 
                       prior_dist_name_for_aux != "exponential")
          prior_mean_for_aux else NULL,
        scale = if (!is.na(prior_dist_name_for_aux) && 
                    prior_dist_name_for_aux != "exponential")
          prior_scale_for_aux else NULL,
        adjusted_scale = if (rescaled_aux)
          adjusted_prior_aux_scale else NULL,
        df = if (!is.na(prior_dist_name_for_aux) && 
                 prior_dist_name_for_aux %in% "student_t")
          prior_df_for_aux else NULL, 
        rate = if (!is.na(prior_dist_name_for_aux) && 
                   prior_dist_name_for_aux %in% "exponential")
          1 / prior_scale_for_aux else NULL,
        aux_name = aux_name
      ))
      
    return(prior_list)
  }

# rename aux parameter based on family
.rename_aux <- function(family) {
  fam <- family$family
  if (is.gaussian(fam)) "sigma" else
    if (is.gamma(fam)) "shape" else
      if (is.ig(fam)) "lambda" else 
        if (is.nb(fam)) "reciprocal_dispersion" else NA
}

.sample_indices <- function(wts, n_draws) {
  ## Stratified resampling
  ##   Kitagawa, G., Monte Carlo Filter and Smoother for Non-Gaussian
  ##   Nonlinear State Space Models, Journal of Computational and
  ##   Graphical Statistics, 5(1):1-25, 1996.
  K <- length(wts)
  w <- n_draws * wts # expected number of draws from each model
  idx <- rep(NA, n_draws)

  c <- 0
  j <- 0

  for (k in 1:K) {
    c <- c + w[k]
    if (c >= 1) {
      a <- floor(c)
      c <- c - a
      idx[j + 1:a] <- k
      j <- j + a
    }
    if (j < n_draws && c >= runif(1)) {
      c <- c - 1
      j <- j + 1
      idx[j] <- k
    }
  }
  return(idx)
}

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rstanarm documentation built on Feb. 11, 2020, 5:06 p.m.