R/CGGP_fastcalcassist_fs.R
In CollinErickson/CGGP: Composite Grid Gaussian Processes
Defines functions
CGGP_internal_calcsigma2anddsigma2
CGGP_internal_calcsigma2
CGGP_internal_calcpwanddpw
CGGP_internal_calcpw
Documented in
CGGP_internal_calcpw
CGGP_internal_calcpwanddpw
#' Calculate predictive weights for CGGP
#'
#' Predictive weights are Sigma^(-1)*y in standard GP.
#' This calculation is much faster since we don't need to
#' solve the full system of equations.
#'
#' @param CGGP CGGP object
#' @param y Measured values for CGGP$design
#' @param theta Correlation parameters
#' @param return_lS Should lS be returned?
#'
#' @return Vector with predictive weights
#' @export
#'
#' @examples
#' cggp <- CGGPcreate(d=3, batchsize=100)
#' y <- apply(cggp$design, 1, function(x){x[1]+x[2]^2+rnorm(1,0,.01)})
#' CGGP_internal_calcpw(CGGP=cggp, y=y, theta=cggp$thetaMAP)
CGGP_internal_calcpw <- function(CGGP, y, theta, return_lS=FALSE) {
Q = max(CGGP$uo[1:CGGP$uoCOUNT,]) # Max value of all blocks
# Now going to store choleskys instead of inverses for stability
#CiS = list(matrix(1,1,1),Q*CGGP$d) # A list of matrices, Q for each dimension
cholS = list(matrix(1,1,1),Q*CGGP$d) # To store choleskys
lS = matrix(0, nrow = max(CGGP$uo[1:CGGP$uoCOUNT,]), ncol = CGGP$d) # Save log determinant of matrices
# Loop over each dimension
for (dimlcv in 1:CGGP$d) {
# Loop over each possible needed correlation matrix
for (levellcv in 1:max(CGGP$uo[1:CGGP$uoCOUNT,dimlcv])) {
Xbrn = CGGP$xb[1:CGGP$sizest[levellcv]]
Xbrn = Xbrn[order(Xbrn)]
Sstuff = CGGP$CorrMat(Xbrn, Xbrn , theta[(dimlcv-1)*CGGP$numpara+1:CGGP$numpara],return_dCdtheta = FALSE)
S = Sstuff
# When theta is large (> about 5), the matrix is essentially all 1's, can't be inverted
solvetry <- try({
cS = chol(S)
cholS[[(dimlcv-1)*Q+levellcv]]= cS+t(cS)-diag(diag(cS)) #store the symmetric version for C code
}, silent = TRUE)
if (inherits(solvetry, "try-error")) {return(Inf)}
lS[levellcv, dimlcv] = 2*sum(log(diag(cS)))
}
}
if(!is.matrix(y)){
pw = rep(0, length(y)) # Predictive weight for each measured point
# Loop over blocks selected
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
B = y[IS]
rcpp_kronDBS(unlist(cholS[gg+CGGP$uo[blocklcv,]]), B, CGGP$gridsizest[blocklcv,])
pw[IS] = pw[IS]+CGGP$w[blocklcv] * B
}
}
if (return_lS) {
return(list(pw=pw, lS=lS))
}else{
return(pw)
}
}else{
numout = dim(y)[2]
pw = matrix(0,nrow=dim(y)[1],ncol=numout) # Predictive weight for each measured point
# Loop over blocks selected
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
VVV1 = unlist(cholS[gg+CGGP$uo[blocklcv,]]);
VVV2 = CGGP$gridsizest[blocklcv,];
for(outdimlcv in 1:numout){
B = y[IS,outdimlcv]
rcpp_kronDBS(VVV1, B, VVV2)
pw[IS,outdimlcv] = pw[IS,outdimlcv]+CGGP$w[blocklcv] * B
}
}
}
if (return_lS) {
return(list(pw=pw, lS=lS))
}else{
return(pw)
}
}
}
#' Calculate derivative of pw
#'
#' @inheritParams CGGP_internal_calcpw
#' @param return_lS Should lS and dlS be returned?
#'
#' @return derivative matrix of pw with respect to logtheta
#' @export
#' @import Rcpp
#'
#' @examples
#' cggp <- CGGPcreate(d=3, batchsize=100)
#' y <- apply(cggp$design, 1, function(x){x[1]+x[2]^2+rnorm(1,0,.01)})
#' CGGP_internal_calcpwanddpw(CGGP=cggp, y=y, theta=cggp$thetaMAP)
CGGP_internal_calcpwanddpw <- function(CGGP, y, theta, return_lS=FALSE) {
Q = max(CGGP$uo[1:CGGP$uoCOUNT,]) # Max level of all blocks
cholS = list(matrix(1,1,1),Q*CGGP$d) # To store choleskys
dMatdtheta = list(matrix(1,1,1),Q*CGGP$d)
if(return_lS){
lS = matrix(0, nrow = max(CGGP$uo[1:CGGP$uoCOUNT,]), ncol = CGGP$d) # Save log determinant of matrices
dlS = matrix(0, nrow = max(CGGP$uo[1:CGGP$uoCOUNT,]), ncol = CGGP$numpara*CGGP$d)
}
# Loop over each dimension
for (dimlcv in 1:CGGP$d) {
# Loop over depth of each dim
for (levellcv in 1:max(CGGP$uo[1:CGGP$uoCOUNT,dimlcv])) {
Xbrn = CGGP$xb[1:CGGP$sizest[levellcv]]
Xbrn = Xbrn[order(Xbrn)]
nv = length(Xbrn);
Sstuff = CGGP$CorrMat(Xbrn, Xbrn , theta[(dimlcv-1)*CGGP$numpara+1:CGGP$numpara],return_dCdtheta = TRUE)
S = Sstuff$C
cS = chol(S)
cholS[[(dimlcv-1)*Q+levellcv]] = cS+t(cS)-diag(diag(cS)) #store the symmetric version for C code
dMatdtheta[[(dimlcv-1)*Q+levellcv]] = -backsolve(cS,backsolve(cS,Sstuff$dCdtheta, transpose = TRUE))
for(paralcv in 1:CGGP$numpara){
dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv] = t(dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv])
}
if(return_lS){
lS[levellcv, dimlcv] = 2*sum(log(diag(cS)))
for(paralcv in 1:CGGP$numpara){
if(nv > 1.5){
dlS[levellcv, CGGP$numpara*(dimlcv-1)+paralcv] = -sum(diag(dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv]))
} else {
dlS[levellcv, CGGP$numpara*(dimlcv-1)+paralcv] = -dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv]
}
}
}
}
}
pw = rep(0, length(y)) # predictive weights
dpw = matrix(0, nrow = CGGP$numpara*CGGP$d, ncol = length(y)) # derivative of predictive weights
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
B = CGGP$w[blocklcv]*y[IS]
dB = rcpp_gkronDBS(unlist(cholS[gg+CGGP$uo[blocklcv,]]),unlist(dMatdtheta[gg+CGGP$uo[blocklcv,]]), B, CGGP$gridsizest[blocklcv,])
dpw[,IS] = dpw[,IS] +dB
pw[IS] = pw[IS] + B
}
}
dpw =t(dpw)
out <- list(pw=pw,
dpw=dpw)
if (return_lS) {
out$lS <- lS
out$dlS <- dlS
}
out
}
CGGP_internal_calcsigma2 <- function(CGGP, y, theta, return_lS=FALSE) {
Q = max(CGGP$uo[1:CGGP$uoCOUNT,]) # Max level of all blocks
cholS = list(matrix(1,1,1),Q*CGGP$d) # To store choleskys
if(return_lS){
lS = matrix(0, nrow = max(CGGP$uo[1:CGGP$uoCOUNT,]), ncol = CGGP$d) # Save log determinant of matrices
}
# Loop over each dimension
for (dimlcv in 1:CGGP$d) {
# Loop over depth of each dim
for (levellcv in 1:max(CGGP$uo[1:CGGP$uoCOUNT,dimlcv])) {
Xbrn = CGGP$xb[1:CGGP$sizest[levellcv]]
Xbrn = Xbrn[order(Xbrn)]
nv = length(Xbrn);
Sstuff = CGGP$CorrMat(Xbrn, Xbrn , theta[(dimlcv-1)*CGGP$numpara+1:CGGP$numpara],return_dCdtheta = FALSE)
S = Sstuff
# cS = chol(S)
cS = try(chol(S))
if (inherits(cS, "try-error")) {
stop("Cholesky error in CGGP_internal_calcsigma2")
}
cholS[[(dimlcv-1)*Q+levellcv]] = cS+t(cS)-diag(diag(cS)) #store the symmetric version for C code
if(return_lS){
lS[levellcv, dimlcv] = 2*sum(log(diag(cS)))
}
}
}
if(is.matrix(y)){
numout = dim(y)[2]
sigma2 = rep(0,numout) # Predictive weight for each measured point
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
VVV1=unlist(cholS[gg+CGGP$uo[blocklcv,]])
VVV3=CGGP$gridsizest[blocklcv,]
for(outdimlcv in 1:numout){
B0 = y[IS,outdimlcv]
B = (CGGP$w[blocklcv]/dim(y)[1])*B0
rcpp_kronDBS(VVV1,B,VVV3)
sigma2[outdimlcv] = sigma2[outdimlcv] + t(B0)%*%B
}
}
}
out <- list(sigma2=sigma2)
if (return_lS) {
out$lS <- lS
}
}else{
sigma2 = 0 # Predictive weight for each measured point
dsigma2 = rep(0,nrow=CGGP$d) # Predictive weight for each measured point
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
B0 = y[IS]
B = (CGGP$w[blocklcv]/length(y))*B0
rcpp_kronDBS(unlist(cholS[gg+CGGP$uo[blocklcv,]]),B, CGGP$gridsizest[blocklcv,])
sigma2 = sigma2 + t(B0)%*%B
if (any(is.na(sigma2))) {warning("sigma2 is NA in CGGP_internal_calcsigma2")}
}
}
out <- list(sigma2=sigma2)
if (return_lS) {
out$lS <- lS
}
}
return(out)
}
CGGP_internal_calcsigma2anddsigma2 <- function(CGGP, y, theta, return_lS=FALSE) {
Q = max(CGGP$uo[1:CGGP$uoCOUNT,]) # Max level of all blocks
cholS = list(matrix(1,1,1),Q*CGGP$d) # To store choleskys
dMatdtheta = list(matrix(1,1,1),Q*CGGP$d)
if(return_lS){
lS = matrix(0, nrow = max(CGGP$uo[1:CGGP$uoCOUNT,]), ncol = CGGP$d) # Save log determinant of matrices
dlS = matrix(0, nrow = max(CGGP$uo[1:CGGP$uoCOUNT,]), ncol = CGGP$numpara*CGGP$d)
}
# Loop over each dimension
for (dimlcv in 1:CGGP$d) {
# Loop over depth of each dim
for (levellcv in 1:max(CGGP$uo[1:CGGP$uoCOUNT,dimlcv])) {
Xbrn = CGGP$xb[1:CGGP$sizest[levellcv]]
Xbrn = Xbrn[order(Xbrn)]
nv = length(Xbrn);
Sstuff = CGGP$CorrMat(Xbrn, Xbrn , theta[(dimlcv-1)*CGGP$numpara+1:CGGP$numpara],return_dCdtheta = TRUE)
S = Sstuff$C
cS = chol(S)
cholS[[(dimlcv-1)*Q+levellcv]] = cS+t(cS)-diag(diag(cS)) #store the symmetric version for C code
dMatdtheta[[(dimlcv-1)*Q+levellcv]] = -backsolve(cS,backsolve(cS,Sstuff$dCdtheta, transpose = TRUE))
for(paralcv in 1:CGGP$numpara){
dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv] = t(dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv])
}
if(return_lS){
lS[levellcv, dimlcv] = 2*sum(log(diag(cS)))
for(paralcv in 1:CGGP$numpara){
if(nv > 1.5){
dlS[levellcv, CGGP$numpara*(dimlcv-1)+paralcv] = -sum(diag(dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv]))
} else {
dlS[levellcv, CGGP$numpara*(dimlcv-1)+paralcv] = -dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv]
}
}
}
}
}
if(is.matrix(y)){
numout = dim(y)[2]
sigma2 = rep(0,numout) # Predictive weight for each measured point
dsigma2 = matrix(0,nrow=CGGP$numpara*CGGP$d,ncol=numout) # Predictive weight for each measured point
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
VVV1=unlist(cholS[gg+CGGP$uo[blocklcv,]])
VVV2=unlist(dMatdtheta[gg+CGGP$uo[blocklcv,]])
VVV3=CGGP$gridsizest[blocklcv,]
for(outdimlcv in 1:numout){
B0 = y[IS,outdimlcv]
B = (CGGP$w[blocklcv]/dim(y)[1])*B0
dB = rcpp_gkronDBS(VVV1,VVV2,B,VVV3)
dsigma2[,outdimlcv] = dsigma2[,outdimlcv] + as.vector(dB%*%B0)
sigma2[outdimlcv] = sigma2[outdimlcv] + sum(B0*B)
}
}
}
out <- list(sigma2=sigma2,
dsigma2=dsigma2)
if (return_lS) {
out$lS <- lS
out$dlS <- dlS
}
}else{
sigma2 = 0 # Predictive weight for each measured point
dsigma2 = rep(0,nrow=CGGP$d) # Predictive weight for each measured point
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
B0 = y[IS]
B = (CGGP$w[blocklcv]/length(y))*B0
dB = rcpp_gkronDBS(unlist(cholS[gg+CGGP$uo[blocklcv,]]),unlist(dMatdtheta[gg+CGGP$uo[blocklcv,]]), B, CGGP$gridsizest[blocklcv,])
dsigma2 = dsigma2 +t(B0)%*%t(dB)
sigma2 = sigma2 + t(B0)%*%B
}
}
out <- list(sigma2=sigma2,
dsigma2=dsigma2)
if (return_lS) {
out$lS <- lS
out$dlS <- dlS
}
}
out
}
CollinErickson/CGGP documentation built on Feb. 6, 2024, 2:24 a.m.
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Defines functions CGGP_internal_calcsigma2anddsigma2 CGGP_internal_calcsigma2 CGGP_internal_calcpwanddpw CGGP_internal_calcpw
Documented in CGGP_internal_calcpw CGGP_internal_calcpwanddpw
#' Calculate predictive weights for CGGP
#'
#' Predictive weights are Sigma^(-1)*y in standard GP.
#' This calculation is much faster since we don't need to
#' solve the full system of equations.
#'
#' @param CGGP CGGP object
#' @param y Measured values for CGGP$design
#' @param theta Correlation parameters
#' @param return_lS Should lS be returned?
#'
#' @return Vector with predictive weights
#' @export
#'
#' @examples
#' cggp <- CGGPcreate(d=3, batchsize=100)
#' y <- apply(cggp$design, 1, function(x){x[1]+x[2]^2+rnorm(1,0,.01)})
#' CGGP_internal_calcpw(CGGP=cggp, y=y, theta=cggp$thetaMAP)
CGGP_internal_calcpw <- function(CGGP, y, theta, return_lS=FALSE) {
Q = max(CGGP$uo[1:CGGP$uoCOUNT,]) # Max value of all blocks
# Now going to store choleskys instead of inverses for stability
#CiS = list(matrix(1,1,1),Q*CGGP$d) # A list of matrices, Q for each dimension
cholS = list(matrix(1,1,1),Q*CGGP$d) # To store choleskys
lS = matrix(0, nrow = max(CGGP$uo[1:CGGP$uoCOUNT,]), ncol = CGGP$d) # Save log determinant of matrices
# Loop over each dimension
for (dimlcv in 1:CGGP$d) {
# Loop over each possible needed correlation matrix
for (levellcv in 1:max(CGGP$uo[1:CGGP$uoCOUNT,dimlcv])) {
Xbrn = CGGP$xb[1:CGGP$sizest[levellcv]]
Xbrn = Xbrn[order(Xbrn)]
Sstuff = CGGP$CorrMat(Xbrn, Xbrn , theta[(dimlcv-1)*CGGP$numpara+1:CGGP$numpara],return_dCdtheta = FALSE)
S = Sstuff
# When theta is large (> about 5), the matrix is essentially all 1's, can't be inverted
solvetry <- try({
cS = chol(S)
cholS[[(dimlcv-1)*Q+levellcv]]= cS+t(cS)-diag(diag(cS)) #store the symmetric version for C code
}, silent = TRUE)
if (inherits(solvetry, "try-error")) {return(Inf)}
lS[levellcv, dimlcv] = 2*sum(log(diag(cS)))
}
}
if(!is.matrix(y)){
pw = rep(0, length(y)) # Predictive weight for each measured point
# Loop over blocks selected
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
B = y[IS]
rcpp_kronDBS(unlist(cholS[gg+CGGP$uo[blocklcv,]]), B, CGGP$gridsizest[blocklcv,])
pw[IS] = pw[IS]+CGGP$w[blocklcv] * B
}
}
if (return_lS) {
return(list(pw=pw, lS=lS))
}else{
return(pw)
}
}else{
numout = dim(y)[2]
pw = matrix(0,nrow=dim(y)[1],ncol=numout) # Predictive weight for each measured point
# Loop over blocks selected
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
VVV1 = unlist(cholS[gg+CGGP$uo[blocklcv,]]);
VVV2 = CGGP$gridsizest[blocklcv,];
for(outdimlcv in 1:numout){
B = y[IS,outdimlcv]
rcpp_kronDBS(VVV1, B, VVV2)
pw[IS,outdimlcv] = pw[IS,outdimlcv]+CGGP$w[blocklcv] * B
}
}
}
if (return_lS) {
return(list(pw=pw, lS=lS))
}else{
return(pw)
}
}
}
#' Calculate derivative of pw
#'
#' @inheritParams CGGP_internal_calcpw
#' @param return_lS Should lS and dlS be returned?
#'
#' @return derivative matrix of pw with respect to logtheta
#' @export
#' @import Rcpp
#'
#' @examples
#' cggp <- CGGPcreate(d=3, batchsize=100)
#' y <- apply(cggp$design, 1, function(x){x[1]+x[2]^2+rnorm(1,0,.01)})
#' CGGP_internal_calcpwanddpw(CGGP=cggp, y=y, theta=cggp$thetaMAP)
CGGP_internal_calcpwanddpw <- function(CGGP, y, theta, return_lS=FALSE) {
Q = max(CGGP$uo[1:CGGP$uoCOUNT,]) # Max level of all blocks
cholS = list(matrix(1,1,1),Q*CGGP$d) # To store choleskys
dMatdtheta = list(matrix(1,1,1),Q*CGGP$d)
if(return_lS){
lS = matrix(0, nrow = max(CGGP$uo[1:CGGP$uoCOUNT,]), ncol = CGGP$d) # Save log determinant of matrices
dlS = matrix(0, nrow = max(CGGP$uo[1:CGGP$uoCOUNT,]), ncol = CGGP$numpara*CGGP$d)
}
# Loop over each dimension
for (dimlcv in 1:CGGP$d) {
# Loop over depth of each dim
for (levellcv in 1:max(CGGP$uo[1:CGGP$uoCOUNT,dimlcv])) {
Xbrn = CGGP$xb[1:CGGP$sizest[levellcv]]
Xbrn = Xbrn[order(Xbrn)]
nv = length(Xbrn);
Sstuff = CGGP$CorrMat(Xbrn, Xbrn , theta[(dimlcv-1)*CGGP$numpara+1:CGGP$numpara],return_dCdtheta = TRUE)
S = Sstuff$C
cS = chol(S)
cholS[[(dimlcv-1)*Q+levellcv]] = cS+t(cS)-diag(diag(cS)) #store the symmetric version for C code
dMatdtheta[[(dimlcv-1)*Q+levellcv]] = -backsolve(cS,backsolve(cS,Sstuff$dCdtheta, transpose = TRUE))
for(paralcv in 1:CGGP$numpara){
dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv] = t(dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv])
}
if(return_lS){
lS[levellcv, dimlcv] = 2*sum(log(diag(cS)))
for(paralcv in 1:CGGP$numpara){
if(nv > 1.5){
dlS[levellcv, CGGP$numpara*(dimlcv-1)+paralcv] = -sum(diag(dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv]))
} else {
dlS[levellcv, CGGP$numpara*(dimlcv-1)+paralcv] = -dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv]
}
}
}
}
}
pw = rep(0, length(y)) # predictive weights
dpw = matrix(0, nrow = CGGP$numpara*CGGP$d, ncol = length(y)) # derivative of predictive weights
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
B = CGGP$w[blocklcv]*y[IS]
dB = rcpp_gkronDBS(unlist(cholS[gg+CGGP$uo[blocklcv,]]),unlist(dMatdtheta[gg+CGGP$uo[blocklcv,]]), B, CGGP$gridsizest[blocklcv,])
dpw[,IS] = dpw[,IS] +dB
pw[IS] = pw[IS] + B
}
}
dpw =t(dpw)
out <- list(pw=pw,
dpw=dpw)
if (return_lS) {
out$lS <- lS
out$dlS <- dlS
}
out
}
CGGP_internal_calcsigma2 <- function(CGGP, y, theta, return_lS=FALSE) {
Q = max(CGGP$uo[1:CGGP$uoCOUNT,]) # Max level of all blocks
cholS = list(matrix(1,1,1),Q*CGGP$d) # To store choleskys
if(return_lS){
lS = matrix(0, nrow = max(CGGP$uo[1:CGGP$uoCOUNT,]), ncol = CGGP$d) # Save log determinant of matrices
}
# Loop over each dimension
for (dimlcv in 1:CGGP$d) {
# Loop over depth of each dim
for (levellcv in 1:max(CGGP$uo[1:CGGP$uoCOUNT,dimlcv])) {
Xbrn = CGGP$xb[1:CGGP$sizest[levellcv]]
Xbrn = Xbrn[order(Xbrn)]
nv = length(Xbrn);
Sstuff = CGGP$CorrMat(Xbrn, Xbrn , theta[(dimlcv-1)*CGGP$numpara+1:CGGP$numpara],return_dCdtheta = FALSE)
S = Sstuff
# cS = chol(S)
cS = try(chol(S))
if (inherits(cS, "try-error")) {
stop("Cholesky error in CGGP_internal_calcsigma2")
}
cholS[[(dimlcv-1)*Q+levellcv]] = cS+t(cS)-diag(diag(cS)) #store the symmetric version for C code
if(return_lS){
lS[levellcv, dimlcv] = 2*sum(log(diag(cS)))
}
}
}
if(is.matrix(y)){
numout = dim(y)[2]
sigma2 = rep(0,numout) # Predictive weight for each measured point
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
VVV1=unlist(cholS[gg+CGGP$uo[blocklcv,]])
VVV3=CGGP$gridsizest[blocklcv,]
for(outdimlcv in 1:numout){
B0 = y[IS,outdimlcv]
B = (CGGP$w[blocklcv]/dim(y)[1])*B0
rcpp_kronDBS(VVV1,B,VVV3)
sigma2[outdimlcv] = sigma2[outdimlcv] + t(B0)%*%B
}
}
}
out <- list(sigma2=sigma2)
if (return_lS) {
out$lS <- lS
}
}else{
sigma2 = 0 # Predictive weight for each measured point
dsigma2 = rep(0,nrow=CGGP$d) # Predictive weight for each measured point
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
B0 = y[IS]
B = (CGGP$w[blocklcv]/length(y))*B0
rcpp_kronDBS(unlist(cholS[gg+CGGP$uo[blocklcv,]]),B, CGGP$gridsizest[blocklcv,])
sigma2 = sigma2 + t(B0)%*%B
if (any(is.na(sigma2))) {warning("sigma2 is NA in CGGP_internal_calcsigma2")}
}
}
out <- list(sigma2=sigma2)
if (return_lS) {
out$lS <- lS
}
}
return(out)
}
CGGP_internal_calcsigma2anddsigma2 <- function(CGGP, y, theta, return_lS=FALSE) {
Q = max(CGGP$uo[1:CGGP$uoCOUNT,]) # Max level of all blocks
cholS = list(matrix(1,1,1),Q*CGGP$d) # To store choleskys
dMatdtheta = list(matrix(1,1,1),Q*CGGP$d)
if(return_lS){
lS = matrix(0, nrow = max(CGGP$uo[1:CGGP$uoCOUNT,]), ncol = CGGP$d) # Save log determinant of matrices
dlS = matrix(0, nrow = max(CGGP$uo[1:CGGP$uoCOUNT,]), ncol = CGGP$numpara*CGGP$d)
}
# Loop over each dimension
for (dimlcv in 1:CGGP$d) {
# Loop over depth of each dim
for (levellcv in 1:max(CGGP$uo[1:CGGP$uoCOUNT,dimlcv])) {
Xbrn = CGGP$xb[1:CGGP$sizest[levellcv]]
Xbrn = Xbrn[order(Xbrn)]
nv = length(Xbrn);
Sstuff = CGGP$CorrMat(Xbrn, Xbrn , theta[(dimlcv-1)*CGGP$numpara+1:CGGP$numpara],return_dCdtheta = TRUE)
S = Sstuff$C
cS = chol(S)
cholS[[(dimlcv-1)*Q+levellcv]] = cS+t(cS)-diag(diag(cS)) #store the symmetric version for C code
dMatdtheta[[(dimlcv-1)*Q+levellcv]] = -backsolve(cS,backsolve(cS,Sstuff$dCdtheta, transpose = TRUE))
for(paralcv in 1:CGGP$numpara){
dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv] = t(dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv])
}
if(return_lS){
lS[levellcv, dimlcv] = 2*sum(log(diag(cS)))
for(paralcv in 1:CGGP$numpara){
if(nv > 1.5){
dlS[levellcv, CGGP$numpara*(dimlcv-1)+paralcv] = -sum(diag(dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv]))
} else {
dlS[levellcv, CGGP$numpara*(dimlcv-1)+paralcv] = -dMatdtheta[[(dimlcv-1)*Q+levellcv]][1:nv,nv*(paralcv-1)+1:nv]
}
}
}
}
}
if(is.matrix(y)){
numout = dim(y)[2]
sigma2 = rep(0,numout) # Predictive weight for each measured point
dsigma2 = matrix(0,nrow=CGGP$numpara*CGGP$d,ncol=numout) # Predictive weight for each measured point
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
VVV1=unlist(cholS[gg+CGGP$uo[blocklcv,]])
VVV2=unlist(dMatdtheta[gg+CGGP$uo[blocklcv,]])
VVV3=CGGP$gridsizest[blocklcv,]
for(outdimlcv in 1:numout){
B0 = y[IS,outdimlcv]
B = (CGGP$w[blocklcv]/dim(y)[1])*B0
dB = rcpp_gkronDBS(VVV1,VVV2,B,VVV3)
dsigma2[,outdimlcv] = dsigma2[,outdimlcv] + as.vector(dB%*%B0)
sigma2[outdimlcv] = sigma2[outdimlcv] + sum(B0*B)
}
}
}
out <- list(sigma2=sigma2,
dsigma2=dsigma2)
if (return_lS) {
out$lS <- lS
out$dlS <- dlS
}
}else{
sigma2 = 0 # Predictive weight for each measured point
dsigma2 = rep(0,nrow=CGGP$d) # Predictive weight for each measured point
gg = (1:CGGP$d-1)*Q
for (blocklcv in 1:CGGP$uoCOUNT) {
if(abs(CGGP$w[blocklcv])>0.5){
IS = CGGP$dit[blocklcv, 1:CGGP$gridsizet[blocklcv]];
B0 = y[IS]
B = (CGGP$w[blocklcv]/length(y))*B0
dB = rcpp_gkronDBS(unlist(cholS[gg+CGGP$uo[blocklcv,]]),unlist(dMatdtheta[gg+CGGP$uo[blocklcv,]]), B, CGGP$gridsizest[blocklcv,])
dsigma2 = dsigma2 +t(B0)%*%t(dB)
sigma2 = sigma2 + t(B0)%*%B
}
}
out <- list(sigma2=sigma2,
dsigma2=dsigma2)
if (return_lS) {
out$lS <- lS
out$dlS <- dlS
}
}
out
}
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