# Turn off asking for enter
library('devtools')
library('magrittr')
library('doParallel')
library('foreach')
library('doParallel')
load_all(".")
par(ask=FALSE)
set.seed(12345)
## Make sure we use all cores
registerDoParallel(cores = parallel::detectCores())
log <- R.utils::Arguments$getVerbose(-1, timestamp=TRUE)
## Generate a dataset we will use for testing.
training_set_size <- 1e5
initial_data_size <- 500#training_set_size / 2
test_set_size <- 100
## What is the maximum number of iterations the OSL can use while going over the data?
## Note that in this case we split the data in equal parts with this number of iterations
max_iterations <- 20
## Specify the intervention we'd like to test, and also specify when we want to
## test this interventsion
intervention <- list(variable = 'A', when = c(1), what = c(1))
tau <- 1
## B is the number of iterations we'll run before we hope to converge
B <- 100
# Initialize the simulator
#--------------------
## Generate observations for training
## These are used in the simulator / its scheme.
llW <- list(
list(stochMech = function(numberOfBlocks) {
rnorm(numberOfBlocks, 0, 10)
},
param=c(0, 0.5, -0.25, 0.1),
rgen=identity),
list(stochMech = function(numberOfBlocks) {
runif(numberOfBlocks, 0, 1)
},
param=c(0, 0.5, -0.25, 0.1),
rgen = identity),
list(stochMech = function(numberOfBlocks) {
runif(numberOfBlocks, 0, 1)
},
param=c(0, 0.5, -0.25, 0.1),
rgen = identity)
)
llA <- list(
stochMech=function(ww) {
rbinom(length(ww), 1, expit(ww))
},
param=c(-0.1, 0.1, 0.3, 0.7),
rgen=function(xx, delta=0.05){
probability <- delta+(1-2*delta)*expit(xx)
rbinom(length(xx), 1, probability)
}
)
llY <- list(rgen={function(AW){
aa <- AW[, "A"]
ww <- AW[, grep("[^A]", colnames(AW))]
mu <- aa*(0.9) + (1-aa)*(0.3) + rnorm(length(aa), 0, 0.01)
mu <- pmax(pmin(mu, 1),0)
}}
)
## Create a new simulator
sim <- Simulator.GAD$new(qw=llW, ga=llA, Qy=llY)
## Generate some fake data for testing and training
data.train <- sim$simulateWAY(training_set_size, verbose=log)
data.test <- sim$simulateWAY(test_set_size, verbose=log)
# Create the relevant variables
#------------------------------
## We'd like to use the following features in our estimation:
W <- RelevantVariable$new(family = 'gaussian', formula = W ~ Y_lag_1 + W2_lag_1 + A_lag_1 + W_lag_1 + Y_lag_2)
W2 <- RelevantVariable$new(family = 'gaussian', formula = W2 ~ W_lag_1)
W3 <- RelevantVariable$new(family = 'gaussian', formula = W3 ~ Y_lag_1)
A <- RelevantVariable$new(family = 'binomial', formula = A ~ W + Y_lag_1 + A_lag_1 + W_lag_1)
Y <- RelevantVariable$new(family = 'gaussian', formula = Y ~ A + W + Y_lag_1 + A_lag_1 + W_lag_1)
relevantVariables <- c(W, W2, W3, A, Y)
## Define a list of algorithms to use
algos <- list()
#algos <- append(algos, list(list(algorithm = "ML.XGBoost",
#params = list(nbins = c(5, 10, 15), online = TRUE))))
#algos <- append(algos, list(list(algorithm = "ML.NeuralNet",
#params = list(nbins = c(5), online = TRUE))))
algos <- append(algos, list(list(algorithm = "ML.SpeedGLMSGD",
params = list(nbins = c(15), online = TRUE))))
algos <- append(algos, list(list(algorithm = "ML.SpeedGLMSGD",
params = list(nbins = c(5), online = TRUE))))
algos <- append(algos, list(list(algorithm = "ML.SpeedGLMSGD",
algorithm_params = list(alpha = seq(0,1,0.2)),
params = list(nbins = c(5), online = TRUE))))
## Fit the actual OSL
#--------------------
osl <- OnlineSuperLearner::fit.OnlineSuperLearner(
formulae = relevantVariables, ## Specify which are the formulae we expet
data = data.train, ## Specify the data to train on
algorithms = algos, ## SPecify the correct algorithms
verbose = log, ## Logging information
bounds = TRUE, ## Let the OSL generate the bounds based on the data it gets
test_set_size = 5 + (3 * 3 + 3), ## The size of the minibatch test size. Note that for this test set size it is super important that at least enough observations are available as
initial_data_size =initial_data_size, ## Train the first iteration (Nl) on this part of the data
max_iterations = max_iterations, ## Use at most max_iterations over the data
mini_batch_size = (training_set_size / 2) / max_iterations ## Split the remaining data into N-Nl/max_iterations equal blocks of data
)
## Create a quick overview of the training curve (the risk over time)
OutputPlotGenerator.create_training_curve(
osl$get_historical_cv_risk,
relevantVariables = relevantVariables,
output = 'curve4'
)
## First we simulate data given the intervention. That is, we specify in our
## simulation that we want to sample data when this intervention would be
## applied. After that we take the mean at tau, and as such approximate our
## treatment effect in the true population.
cat('Approximating truth...\n')
result.approx <- foreach(i=seq(B)) %do% {
cat('Approximating truth in iteration (under intervention): ', i, '\n')
data.int <- sim$simulateWAY(tau, qw = llW, ga = llA, Qy = llY,
intervention = intervention, verbose = FALSE)
data.int$Y[tau]
} %>% unlist
result.approx %>% mean
## The next step is to actually calculate the same intervention using the
## superlearner. We use a similar technique for this, as we try to calculate
## the mean of the intervention effects.
## We need to have data that includes the summary measures for the evaluation
## generate them here
data.train <- Data.Static$new(dataset = data.train)
osl$get_summary_measure_generator$set_trajectories(data.train)
data.train.set <- osl$get_summary_measure_generator$getNext(2)
## First we create the calculator to determine the intervention effects with.
intervention_effect_caluculator = InterventionEffectCalculator$new(
bootstrap_iterations = B,
outcome_variable = Y$getY,
verbose = log,
parallel = TRUE
)
result <- lapply(c(TRUE, FALSE), function(discrete) {
## Actually evaluate the intervention for the discrete superlearner
intervention_effect <- intervention_effect_caluculator$evaluate_single_intervention(
osl = osl,
intervention = intervention,
discrete = discrete,
initial_data = data.train.set$traj_1[1,],
tau = tau
) %>% unlist
})
data <- list(truth = result.approx, dosl = result[[1]], osl = result[[2]])
OutputPlotGenerator.create_convergence_plot(data = data, output = 'convergence4')
cat('The effects of the interventions were:')
cat(paste('approx',':', result.approx %>% mean))
cat(paste('discre',':', result[[1]] %>% mean))
cat(paste('contin',':', result[[2]] %>% mean))
## Finally we run our kolmogorov smirnov test example to check whether we
## actually do a good job estimating the true conditional distributions.
## Define kolmogorov-smirnov test
T_iter <- 10
B_iter <- 100
nbins <- 5
## Define the object that will be used to run the evalutation, and run the actual evaluations.
subject <- ConditionalDensityEvaluator$new(log, osl = osl, summary_measure_generator = osl$get_summary_measure_generator)
result <- subject$evaluate(
sim,
T_iter,
B_iter,
nbins = nbins,
outcome_variable = Y
)
## Output the evaluation.
flat_result <- result %>% unlist %>% unname
flat_result <- flat_result[!is.na(flat_result)]
perc_significant <- sum(flat_result >= 0.95) / length(flat_result) * 100 %>% round(., 2)
perc_significant <- perc_significant %>% round(., 2)
paste(perc_significant,'% significant in the KS-test')
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