R/gpbal.R

In bvegetabile/paperOptBalGPPS: “Optimally Balanced Gaussian Process Propensity Scores for Estimating Treatment Effects”

gpbal_fixed <- function(y, cov_matrix,
                        tol=1e-2,
                        max_iters=20,
                        verbose = T,
                        ep_vers = 'parallel'){
  ##############################################################################
  # Expectation Propagation Algorithm from Rasmussen & Williams
  # - Algorithms: 3.5, 3.6
  ##############################################################################
  start_time <- Sys.time()
  if(verbose){
    message('Starting: Expectation Propagation for Gaussian Process Classification')
    message('Start Time: ', start_time)
  }

  # Data checking.  Finding the classes and the number of observations
  classes = sort(unique(y))
  n_obs = length(y)

  # Data checking to ensure correct dimensions
  if(n_obs != nrow(cov_matrix)){
    message(paste('Error: Vec y of length:', n_obs,
                  'not equal to CovMat dimension:', nrow(cov_matrix), ncol(cov_matrix)))
  }

  if(length(classes) != 2){
    message("Error: Algorithm requires two classes exactly")
    return()
  }

  if(classes[1] == 0 && classes[2] == 1){
    y[y==0] = -1
    classes = sort(unique(y))
  } else if (classes[1] != -1 || classes[2] != 1){
    message("Error: Requires class labels -1 and 1 for Expectation Propagation")
    message(paste('Classes found: ', toString(classes)))
    return()
  }

  # Converting target inputs to a column vector
  y = matrix(y, nrow=n_obs, ncol=1)

  #-----------------------------------------------------------------------------
  # Running the Expectation Propagation Algorthim using C++ vvvvvvvvvvvvvvvvvvvv
  #-----------------------------------------------------------------------------
  if(length(grep(ep_vers, 'parallel'))){
    results <- par_ep(y, cov_matrix, tol, max_iters, verbose)
  } else if(length(grep(ep_vers, 'sequential'))) {
    results <- seq_ep(y, cov_matrix, tol, max_iters, verbose)
  } else {
    message("Error: ep_vers not compatible")
  }
  #-----------------------------------------------------------------------------
  # Optimized C++ Code ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  #-----------------------------------------------------------------------------

  end_time <- Sys.time()
  dur_type <- 'mins'
  dur = difftime(end_time, start_time, units=dur_type)
  if(dur < 1){
    dur_type <- 'secs'
    dur = difftime(end_time, start_time, units=dur_type)
  }
  if(verbose){
    message('\nEnd Time: ', end_time)
    message('Duration: ', round(dur,3), paste(' ', dur_type, sep = ''))
    message('Approximate log Marginal Likelihood: ', round(results[['log_Z_ep']],3))
    message(paste('Number of Iterations:',results[['Number_Iters']]))
  }

  results[['ComputationTime']] = dur
  results[['ps']] <- pnorm(results$PosteriorMean)

  return(results)
}


gpbal <- function(X, y,
                  cov_function,
                  init_theta,
                  verbose = F,
                  balance_metric = 'mom_sq',
                  ep_vers = 'parallel',
                  wts_vers='ATE'){

  objective_function <- function(theta){
    ncov <- length(theta)
    cov_matrix <- cov_function(as.matrix(X), theta)
    ps_res <- gpbal_fixed(y, cov_matrix, verbose = F, tol = 1e-2, ep_vers=ep_vers)
    ps_est <- pnorm(ps_res$PosteriorMean)

    if(tolower(wts_vers) =='ate'){
      ps_wts <- ifelse(y==1, 1/ps_est, 1/(1-ps_est))
    } else if(tolower(wts_vers) == 'att') {
      ps_wts <- ifelse(y==1, 1, ps_est/(1-ps_est))
    } else {
      message('invalid weighting scheme')
      return(NULL)
    }

    if(balance_metric == 'mom_sq'){
      cb_bal <- .mom_sq_bal(data.frame(X), 1:ncol(X), y==1, ps_wts)
    } else if(balance_metric == 'mom'){
      cb_bal <- .mom_bal(data.frame(X), 1:ncol(X), y==1, ps_wts)
    } else if(balance_metric == 'ks'){
      cb_bal <- 0
      for(i in 1:ncol(X)){
        cb_bal <- cb_bal + .ks_avg_test(X[,i], y, ps_est, 500)
      }
    } else(
      return(NULL)
    )
    return(cb_bal)
  }


  start_time <- Sys.time()
  if(verbose){
    message(paste('Starting Optimization  @  ', start_time))
  }
  opt_theta <- minqa::bobyqa(par = init_theta,
                             fn = objective_function,
                             lower = rep(0, length(init_theta)))
  end_time <- Sys.time()
  if(verbose){

    message(paste('Finished Optimization  @  ', end_time))
    message(paste('Time Difference          :', round(difftime(end_time, start_time, units='secs'), 4)))

    message(paste('Optimal Covariate Balance:', opt_theta$fval))
  }

  opt_matrix <- cov_function(as.matrix(X), opt_theta$par)
  opt_ps <- gpbal_fixed(y, opt_matrix, verbose = F, tol = 1e-2, ep_vers=ep_vers)
  opt_ps$ComputationTime <- difftime(end_time, start_time, units='secs')
  opt_ps$thetas <- opt_theta$par
  return(opt_ps)
}