R/lmSolver.R

In stR: Seasonal Trend Decomposition Using Regression

# Solves system || y - Xb || -> min against b.
# Environment env is used to pass some useful data
# (such as last solution and Cholesky decomposition)
# between different calls of lmSolver.
lmSolver <- function(X, y, type = "Matrix", method = "cholesky", env = NULL, iterControl = list(maxiter = 20, tol = 1E-6), trace = TRUE) {
  if (length(y) > nrow(X)) stop("y is too long in lmSolver...")
  y <- c(y, rep(0, nrow(X) - length(y)))
  if (type == "Matrix") {
    if (method == "cholesky") {
      result <- .solve.dgC.chol(t(X), y)
      return(result$coef)
    }
    if (method == "qr") {
      b <- solve(qr(X), y) # Not optimal
      return(b)
    }
    stop("Unknown method in lmSolver...")
  }
  if (type == "iterative") {
    if (method == "cg") {
      f <- function(z) crossprod(X, X %*% z)
      if (is.null(env) || is.null(env$L) || is.null(env$Lt) || is.null(env$P) || is.null(env$Pt)) {
        invm <- 1 / colSums(X^2)
        invf <- function(z) invm * z
      } else {
        invf <- function(z) solve(env$P, solve(env$Lt, solve(env$L, solve(env$Pt, z))))
      }
      Xty <- crossprod(X, y)
      if (is.null(env) || is.null(env$b0)) {
        b0 <- rep(0, length(Xty))
      } else {
        b0 <- env$b0
      }
      result <- olscg(FUN = f, y = Xty, b = b0, invFUN = invf, iterControl = iterControl, trace = trace)
      return(result$b)
    }
    if (method == "cg-chol") {
      if (is.null(env)) {
        stop("env variable is NULL.")
      }
      if (is.null(env$L) ||
        is.null(env$Lt) ||
        is.null(env$P) ||
        is.null(env$Pt)) {
        result <- .solve.dgC.chol(t(X), y)
        eL <- Matrix::expand(result$L)
        env$L <- eL$L
        env$Lt <- t(eL$L)
        env$P <- eL$P
        env$Pt <- t(eL$P)
        env$b0 <- result$coef
        return(result$coef)
      } else {
        f <- function(z) crossprod(X, X %*% z)
        invf <- function(z) solve(env$P, solve(env$Lt, solve(env$L, solve(env$Pt, z))))
        Xty <- crossprod(X, y)
        if (is.null(env$b0)) {
          b0 <- rep(0, length(Xty))
        } else {
          b0 <- env$b0
        }
        result <- olscg(FUN = f, y = Xty, b = b0, invFUN = invf, iterControl = iterControl, trace = trace)
        return(result$b)
      }
    }
    if (method == "lsmr-chol") {
      if (is.null(env)) {
        stop("env variable is NULL.")
      }
      if (is.null(env$L) ||
        is.null(env$Lt) ||
        is.null(env$P) ||
        is.null(env$Pt)) {
        result <- .solve.dgC.chol(t(X), y)
        eL <- Matrix::expand(result$L)
        env$L <- eL$L
        env$Lt <- t(eL$L)
        env$P <- eL$P
        env$Pt <- t(eL$P)
        env$b0 <- result$coef
        return(result$coef)
      } else {
        A <- function(x, k) {
          if (k == 1) {
            return(X %*% solve(env$P, solve(env$Lt, x)))
          } else {
            return(solve(env$L, solve(env$Pt, crossprod(X, x))))
          }
        }
        if (!is.null(env$b0)) {
          x0 <- env$b0
        } else {
          x0 <- 0
        }
        result <- lsmr(A = A, b = y - X %*% x0, atol = iterControl$tol, btol = iterControl$tol, itnlim = iterControl$maxiter)
        if (trace) {
          cat("\nIterations: ")
          cat(result$itn)
          cat("   ")
        }
        return(solve(env$P, solve(env$Lt, result$x)) + x0)
      }
    }
    if (method == "lsmr") {
      D <- sqrt(colSums(X^2))
      invD <- 1 / D
      A <- function(x, k) {
        if (k == 1) {
          return(X %*% (invD * x))
        } else {
          return(invD * crossprod(X, x))
        }
      }
      if (!is.null(env$b0)) {
        x0 <- env$b0
      } else {
        x0 <- rep(0, ncol(X))
      }
      result <- lsmr(A = A, b = y - X %*% x0, atol = iterControl$tol, btol = iterControl$tol, itnlim = iterControl$maxiter)
      if (trace) {
        cat("\nIterations: ")
        cat(result$itn)
        cat("   ")
      }
      output <- invD * result$x + x0
      if (!is.null(env)) {
        env$b0 <- output
      }
      return(output)
    }
    stop("Unknown method in lmSolver...")
  }
  stop("Unknown type in lmSolver...")
}