R/gnmFit.R

Defines functions gnmFit

#  Copyright (C) 2005-2013 Heather Turner and David Firth
#
#  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 2 or 3 of the License
#  (at your option).
#
#  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.
#
#  A copy of the GNU General Public License is available at
#  http://www.r-project.org/Licenses/

gnmFit <-
    function (modelTools, y,
              constrain = numeric(0), # index of non-elimindated parameters
              constrainTo = numeric(length(constrain)),
              eliminate = NULL, # now a factor
              family = poisson(),
              weights = rep.int(1, length(y)),
              offset = rep.int(0, length(y)),
              nobs = length(y),
              start = rep.int(NA, 
                              length(modelTools$start) + nlevels(eliminate)),
              etastart = NULL,
              mustart = NULL,
              tolerance = 1e-6,
              iterStart = 2,
              iterMax = 500,
              trace = FALSE,
              verbose = FALSE,
              x = FALSE,
              termPredictors = FALSE,
              ridge = 1e-8)
{
    names(y) <- NULL
    eps <- 100*.Machine$double.eps
    ridge <- 1 + ridge
    if (verbose)
        width <- as.numeric(options("width"))
    nTheta <- length(modelTools$start)
    nelim <- nlevels(eliminate)
    non.elim <- seq.int(nelim + 1, length(start))

    ## add constraints specified by modelTools and glm
    tmpTheta <- as.double(rep.int(NA, nTheta))
    varPredictors <- modelTools$varPredictors(tmpTheta)
    X <- modelTools$localDesignFunction(tmpTheta, varPredictors)
    isLinear <- unname(!is.na(colSums(X)))
    tmpTheta[constrain] <- constrainTo
    unspecified <- unname(is.na(tmpTheta))
    if (any(isLinear & unspecified)) {
        tmpTheta[isLinear & unspecified] <-
            suppressWarnings(glm.fit.e(X[, isLinear & unspecified, 
                                         drop = FALSE],
                                       y,
                                       family = family,
                                       intercept = FALSE,
                                       eliminate = if (nelim) eliminate
                                       else NULL,
                                       coefonly = TRUE,
                                       control = glm.control(maxit = 1)))

        extraLin <- which(isLinear & is.na(tmpTheta))
    } else extraLin <- numeric()

    extra <- setdiff(c(modelTools$constrain, extraLin), constrain)
    ind <- order(c(constrain, extra))
    constrain <- c(constrain, extra)[ind]
    constrainTo <- c(constrainTo, numeric(length(extra)))[ind]
    notConstrained <- !seq.int(nTheta) %in% constrain
    status <- "not.converged"
    unspecifiedNonlin <- FALSE
    dev <- numeric(2)
    if (nelim)  {
        elim <- seq.int(nelim)
        alpha <- start[elim]
    }
    else {
        eliminate <- 1
        alpha <- 0
    }
    if (any(is.na(start))) {
        if (verbose == TRUE)
            prattle("Initialising", "\n", sep = "")
        ## only use start for elim par if all specified
        initElim <- any(is.na(alpha))
        if (initElim) alpha[] <- numeric(nelim)
        theta <- start[non.elim]
        theta[is.na(theta)] <- modelTools$start[is.na(theta)]
        names(theta) <- names(modelTools$start)
        theta[constrain] <- constrainTo
        ## update any unspecified linear parameters
        unspecified <- unname(is.na(theta))
        unspecifiedLin <- unspecified & isLinear
        unspecifiedNonlin <- unspecified & !isLinear
        if (!is.null(mustart))
            etastart <- family$linkfun(mustart)
        if (any(unspecifiedNonlin) && is.null(etastart)){
            theta[unspecifiedNonlin] <- gnmStart(sum(unspecifiedNonlin))
        }
        if (any(unspecifiedLin) || initElim) {
            ## offset nonLin terms (currently NA if using etastart)
            ## plus offset contribution of any specified lin par
            if (!is.null(etastart)) z <-  family$linkinv(etastart)
            else z <- y
            varPredictors <- modelTools$varPredictors(theta)
            tmpOffset <- modelTools$predictor(varPredictors, term = TRUE)
            tmpOffset <- rowSums(naToZero(tmpOffset))
            tmpOffset <- offset + alpha[eliminate] + tmpOffset
            ## starting values for elim ignored here
            tmpTheta <- suppressWarnings({
                glm.fit.e(X[, unspecifiedLin, drop = FALSE],
                          z,
                          weights = weights,
                          etastart = etastart,
                          offset = tmpOffset,
                          family = family,
                          intercept = FALSE,
                          eliminate = if (nelim) eliminate else NULL,
                          coefonly = TRUE)})
            ## if no starting values for elim, use result of above
            if (initElim) alpha <- unname(attr(tmpTheta, "eliminated"))
            theta[unspecifiedLin] <- naToZero(tmpTheta)
        }
        if (any(unspecifiedNonlin) && !is.null(etastart)){
            ## offset linear terms
            ## plus contribution of specified nonlin terms
            varPredictors <- modelTools$varPredictors(theta)
            tmpOffset <- modelTools$predictor(varPredictors, term = TRUE)
            tmpOffset <- rowSums(naToZero(tmpOffset))
            tmpOffset  <- offset + alpha[eliminate] + tmpOffset
            if (any(isLinear) && 
                isTRUE(all.equal(unname(etastart), tmpOffset))) {
                etastart <- mustart <- NULL
                eval(family$initialize)
                etastart <- family$linkfun(mustart)
            }
            tmpOffset <- offset + alpha[eliminate]
            rss <- function(par) {
                theta[unspecifiedNonlin] <<- par
                varPredictors <<- modelTools$varPredictors(theta)
                eta <<- tmpOffset + modelTools$predictor(varPredictors)
                sum((etastart - eta)^2)
            }
            gr.rss <- function(par) {
                X <- modelTools$localDesignFunction(theta, varPredictors)
                -2 * t(X[, unspecifiedNonlin]) %*% ((etastart - eta))
            }
            theta[unspecifiedNonlin] <- optim(gnmStart(sum(unspecifiedNonlin)),
                                              rss, gr.rss,
                                              method = c("L-BFGS-B"),
                                              control = list(maxit = iterStart),
                                              lower = -10, upper = 10)$par
        }
        varPredictors <- modelTools$varPredictors(theta)
        tmpOffset <- offset + alpha[eliminate]
        eta <- tmpOffset + modelTools$predictor(varPredictors)
        mu <- family$linkinv(eta)
        dev[1] <- sum(family$dev.resids(y, mu, weights))
        if (trace)
            prattle("Initial Deviance = ",
                    format(dev[1], nsmall = 6), "\n", sep = "")
        niter <- iterStart * (any(unspecifiedNonlin) && is.null(etastart))
        for (iter in seq_len(niter)) {
            if (verbose) {
                if (iter == 1)
                    prattle("Running start-up iterations", "\n"[trace],
                            sep = "")
                if ((iter + 25)%%width == (width - 1))
                    cat("\n")
            }
            round <- 1
            pmsh <- FALSE
            do <- seq_len(nTheta)[unspecifiedNonlin]
            maxDo <- max(do)
            for (i in rep.int(do, 2)) {
                dmu <- family$mu.eta(eta)
                vmu <- family$variance(mu)
                Xi <- modelTools$localDesignFunction(theta,
                                                     varPredictors, i)
                wXi <- weights * (abs(dmu) >= eps) * dmu * dmu/vmu * Xi
                step <- sum((abs(y - mu) >= eps) * 
                                (y - mu)/dmu * wXi)/sum(wXi * Xi)
                otheta <- theta[i]
                theta[i] <- as.vector(otheta + step)
                if (!is.finite(theta[i])) {
                    status <- "bad.param"
                    break
                }
                varPredictors <- modelTools$varPredictors(theta)
                eta <- tmpOffset + modelTools$predictor(varPredictors)
                mu <- family$linkinv(eta)
                if (iter == 1 && (round == 1 || pmsh)) {
                    dev[2] <- dev[1]
                    dev[1] <- sum(family$dev.resids(y, mu, weights))
                    if (!is.finite(dev[1])) {
                        status <- "bad.param"
                        break
                    }
                    ## poor man's step-halving
                    if (dev[1] > dev[2]) {
                        pmsh <- TRUE
                        theta[i] <- otheta + step/4
                        varPredictors <- modelTools$varPredictors(theta)
                        eta <- tmpOffset + modelTools$predictor(varPredictors)
                        mu <- family$linkinv(eta)
                        dev[1] <- sum(family$dev.resids(y, mu, weights))
                    }
                }
                if (iter == 1 && i == maxDo) round <- 2
            }
            if (status == "not.converged" && any(isLinear)) {
                if (iter == 1) {
                    which <- which(isLinear & notConstrained)
                    if(!exists("X"))
                        X <- modelTools$localDesignFunction(theta,
                                                            varPredictors)
                }
                tmpTheta <- updateLinear(which, theta, y, mu, eta, offset,
                                         weights, family, modelTools, X,
                                         if(nelim) eliminate else NULL)
                if (nelim){
                    alpha <- unname(attr(tmpTheta, "eliminated"))
                    tmpOffset <- offset + alpha[eliminate]
                }
                theta[which] <- tmpTheta
                varPredictors <- modelTools$varPredictors(theta)
                eta <- tmpOffset + modelTools$predictor(varPredictors)
                mu <- family$linkinv(eta)
            }
            dev[1] <- sum(family$dev.resids(y, mu, weights))
            if (!is.finite(dev[1])) {
                status <- "bad.param"
                break
            }
            if (trace)
                prattle("Start-up iteration ", iter, ". Deviance = ",
                        format(dev[1], nsmall = 6), "\n", sep = "")
            else if (verbose)
                prattle(".")
            cat("\n"[iter == iterStart & verbose & !trace])
        }
    }
    else {
        theta <- structure(replace(start[non.elim], constrain, constrainTo),
                           names = names(modelTools$start))
        varPredictors <- modelTools$varPredictors(theta)
        eta <- offset + alpha[eliminate] + modelTools$predictor(varPredictors)
        if (any(!is.finite(eta))) {
            stop("Values of 'start' and 'constrain' produce non-finite ",
                 "predictor values")
        }
        mu <- family$linkinv(eta)
        dev[1] <- sum(family$dev.resids(y, mu, weights))
        if (trace)
            prattle("Initial Deviance = ", format(dev[1], nsmall = 6), "\n",
                    sep = "")
    }
    if (status == "not.converged") {
        X <-  modelTools$localDesignFunction(theta, varPredictors)
        X <- X[, notConstrained, drop = FALSE]
        np <- ncol(X) + 1
        ZWZ <- array(dim = c(np, np))
        I1 <- numeric(np)
        I1[1] <- 1
        if (nelim) Umat <- array(dim = c(nelim, np))
        if (nelim){
            grp.size <- tabulate(eliminate)
            grp.end <- cumsum(grp.size)
        }
        tmpAlpha <- 0
        for (iter in seq_len(iterMax + 1)) {
            if (verbose) {
                if (iter == 1)
                    prattle("Running main iterations", "\n"[trace],
                            sep = "")
                if ((iter + 21)%%width == (width - 1))
                    cat("\n")
            }
            dmu <- family$mu.eta(eta)
            vmu <- family$variance(mu)
            w <- sqrt(weights * (abs(dmu) >= eps) * dmu * dmu/vmu)
            X <- w * X
            z <- w * (abs(dmu) >= eps) * (y - mu)/dmu
            ZWZ[-1,-1] <- crossprod(X)
            score <- ZWZ[1,-1] <- ZWZ[-1,1] <- crossprod(z, X)
            ZWZ[1,1] <- sum(z * z)
            diagInfo <- diag(ZWZ)
            ## only check for non-eliminated coefficients
            if (any(!is.finite(diagInfo))) {
                status <- "fail"
                break
            }
            if (all(diagInfo < 1e-20) ||
                all(abs(score) <
                    tolerance * sqrt(tolerance + diagInfo[-1]))) {
                status <- "converged"
                break
            }
            Zscales <- sqrt(diagInfo)
            Zscales[Zscales < 1e-3] <- 1e-3 ## to allow for zeros
            if (iter > iterMax) break
            if (nelim){
                elimXscales <- grp.sum(w * w, grp.end)
                elimXscales <- sqrt(elimXscales * ridge)
                Umat[,1] <- rowsum.default(w * z, eliminate, reorder = FALSE)
                Umat[,-1] <- rowsum.default(w * X, eliminate,
                                            reorder = FALSE)
                Umat <- Umat/(elimXscales %o% Zscales)
                ZWZ <- ZWZ/(Zscales %o% Zscales)
                diag(ZWZ) <- ridge
                z <- solve(ZWZ - crossprod(Umat), I1,
                           tol = .Machine$double.eps)
                thetaChange <- -z[-1]/z[1] * Zscales[1]/Zscales[-1]
                alphaChange <- c(Umat %*% (z * sqrt(ridge)))/z[1] *
                    Zscales[1]/elimXscales
            } else {
                ZWZ <- ZWZ/(Zscales %o% Zscales)
                diag(ZWZ) <- ridge
                z <- solve(ZWZ, I1, tol = .Machine$double.eps)/Zscales
                thetaChange <- -z[-1]/z[1]
            }
            dev[2] <- dev[1]
            j <- scale <- 1
            while (!is.nan(dev[1]) && dev[1] >= dev[2] && j < 11) {
                if (nelim) tmpAlpha <- alpha + alphaChange/scale
                tmpTheta <- replace(theta, notConstrained,
                                    theta[notConstrained] + thetaChange/scale)
                varPredictors <- modelTools$varPredictors(tmpTheta)
                eta <- offset + tmpAlpha[eliminate] +
                    modelTools$predictor(varPredictors)
                mu <- family$linkinv(eta)
                dev[1] <- sum(family$dev.resids(y, mu, weights))
                scale <- scale*2
                j <- j + 1
            }
            if (!is.finite(dev[1])) {
                status <- "no.deviance"
                break
            }
            if (trace){
                prattle("Iteration ", iter, ". Deviance = ",
                        format(dev[1], nsmall = 6),
                        "\n", sep = "")
            }
            else if (verbose)
                prattle(".")
            if (nelim) alpha <- tmpAlpha
            theta <- tmpTheta
            X <- modelTools$localDesignFunction(theta, varPredictors)
            X <- X[, notConstrained, drop = FALSE]
        }
    }
    if (status %in% c("converged", "not.converged")) {
        if (verbose)
            prattle("\n"[!trace], "Done\n", sep = "")
    }
    else {
        if (any(!is.finite(eta)))
            status <- "eta.not.finite"
        if (exists("w") && any(!is.finite(w)))
            status <- "w.not.finite"
        if (any(is.infinite(X)))
            status <- "X.not.finite"

        if (verbose)
            message("\n"[!trace],
                    switch(status,
                           bad.param = "Bad parameterisation",
                           eta.not.finite =
                           "Predictors are not all finite",
                           w.not.finite =
                           "Iterative weights are not all finite",
                           X.not.finite =
                           "Local design matrix has infinite elements",
                           no.deviance = "Deviance is not finite"))
        return()
    }
    theta[constrain] <- NA
    X <- modelTools$localDesignFunction(theta, varPredictors)
    X <- X[, notConstrained, drop = FALSE]
    ## suppress warnings in rankMatrix re coercion to dense matrix
    if (nelim) {
    ## sweeps needed to get the rank right
        subtracted <- rowsum.default(X, eliminate, reorder = FALSE)/grp.size
        if (modelTools$termAssign[1] == 0) subtracted[,1] <- 0
        theRank <- suppressWarnings(
            rankMatrix(X - subtracted[eliminate, , drop = FALSE])) + nelim
        names(alpha) <- paste("(eliminate)", elim, sep = "")
    }
    else theRank <- suppressWarnings(rankMatrix(X))
    modelAIC <- suppressWarnings(family$aic(y, rep.int(1, nobs),
                                            mu, weights, dev[1])
                                 + 2 * theRank)
    fit <- list(coefficients = structure(theta, eliminated = alpha),
                constrain = constrain,
                constrainTo = constrainTo, residuals = z/w,
                fitted.values = mu,
                rank = theRank, family = family, predictors = eta,
                deviance = dev[1], aic = modelAIC,
                iter = iter - (iter != iterMax), weights = w * w,
                prior.weights = weights,
                df.residual = c(nobs - theRank),
                y = y)
    if (status == "not.converged") {
        warning("Fitting algorithm has either not converged or converged\n",
                "to a non-solution of the likelihood equations.\n",
                "Use exitInfo() for numerical details of last iteration.\n")
        fit$converged <- structure(FALSE, score = score, criterion =
                                   tolerance * sqrt(tolerance + diagInfo[-1]))
    }
    else
        fit$converged <- TRUE

    if (x) {
        X <- modelTools$localDesignFunction(theta, varPredictors)
        fit$x <- structure(X, assign = modelTools$termAssign)
    }
    if (termPredictors) {
        theta[is.na(theta)] <- 0
        varPredictors <- modelTools$varPredictors(theta)
        fit$termPredictors <- modelTools$predictor(varPredictors, term = TRUE)
    }
    fit
}
hturner/gnm documentation built on June 22, 2018, 5:14 a.m.