In inbo/INLA: Full Bayesian Analysis of Latent Gaussian Models using Integrated Nested Laplace Approximations
How to fit a simple SPDE model in INLA
This document ilustrates how to do a
geostatistical fully Bayesian analysis
through the Stochastic Partial
Diferential Equation approach
http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9868.2011.00777.x/full
using the Integrated Nested
Laplace Aproximation,
http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9868.2008.00700.x/full
implementation in the package available at
http://www.r-inla.org.
library(knitr); library(INLA); library(fields)
opts_chunk$set(message=FALSE, warning=FALSE, tidy=FALSE,
fig.path='figures/SPDEhowto')
knit_hooks$set(small.mar = function(before, options, envir) {
if (before) par(mar = c(0.1, 0.1, .1, .1)) # smaller margin on top and right
})
knit_hooks$set(mar3311 = function(before, options, envir) {
if (before) par(mar = c(3, 3, 1, 1), mgp=c(2, 1, 0)) # smaller margin on top and right
})
set.seed(1)
Simulating some data
Define some random Locations
and the Random Field (RF)
covariance matrix, considering
exponential correlation function:
n = 200 ## number of location points
coo = matrix(runif(2*n), n) ## location points
k <- 10; s2s <- 0.7 ## RF parameters
R <- s2s*exp(-k*as.matrix(dist(coo))) ## covariance matrix
Draw a RF sample: a multivariate Normal realization
s <- drop(rnorm(n)%*%chol(R)) ## one RF realization
Adding a covariate effect and a noise
x <- runif(n) ## covariate
beta <- 1:2 ## regression coefficients
lin.pred <- beta[1] + beta[2]*x + s ## linear predictor
s2e <- 0.3 ## error variance (nugget)
y <- lin.pred + rnorm(n, 0, sqrt(s2e)) ## the outcome
Model fitting steps
- Mesh:
a triangulation to discretize the
random field (RF) at 'm' nodes.
r0.1 <- sqrt(0.5 * 8)/k ## distance with correlation around 0.139
mesh <- inla.mesh.2d( ## 2D mesh creator
loc=coo, ## provided locations
max.edge=c(r0.1/3, r0.1), ## maximum edge length (inner, outer): mandatory
offset=c(r0.1/3, r0.1*2), ## outer extension
cutoff=r0.1/10) ## good to have >0
par(mar=c(0,0,1,0))
plot(mesh, asp=1) ## plot the mesh
points(coo, col='red') ## add the points
A little warning about the mesh.
The additional triangles outer domain
is to avoid boundary effects.
Is good to have aproximately
isosceles triangles.
And, to avoid tiny triangles.
We need to have edges lengths
of the inner mesh triangles
less than the range of the process.
Of course, if it is too small, there
might not be any spatial effect.
- Define the n x m projector matrix to project
the process at the mesh nodes to locations
image(A <- inla.spde.make.A( ## projector creator
mesh=mesh, ## provide the mesh
loc=coo) ### locations where to project the field
) ## an 'n' by 'm' projector matrix
- Build the SPDE model on the mesh.
Set $\alpha=3/2$ to build the precision structure for
an Exponential correlation function
spde <- inla.spde2.matern( ## precision components creator
mesh=mesh, ## mesh supplied
alpha=1.5) ## smoothness parameter
- Create a data stack to organize the data.
This is a way to allow models with complex
linear predictors. In our case, we have a SPDE
model defined on m nodes. It must be combined
with the covariate (and the intercept)
effect at n locations.
We do it using different projector matrices.
stk.e <- inla.stack( ## stack creator
data=list(y=y), ## response
effects=list(## two elements:
data.frame(b0=1, x=x), ## regressor part
s=1:spde$n.spde), ## RF index
A=list(## projector list of each effect
1, ## for the covariates
A), ## for the RF
tag='est') ## tag
- Fit the posterior marginal distributions
for all model parameters
formula <- y ~ 0 + b0 + x + ## fixed part
f(s, model=spde) ## RF term
res <- inla( ## main function in INLA package
formula, ## model formula
data=inla.stack.data(stk.e), ## dataset
control.predictor=list( ## inform projector needed in SPDE models
A = inla.stack.A(stk.e))) ## projector from the stack data
Posterior marginal distributions - PMDs
Summary of the regression coefficients PMDs
round(res$summary.fixed, 4)
We have to transform the precision PMD to have
the variance PMD. It can be done and visialized by
m.prec <- res$marginals.hyperpar$'Precision for the Gaussian observations' ## the marginal
post.s2e <- inla.tmarginal(## function to compute a tranformation
function(x) 1/x, ## inverse transformation
m.prec) ## marginal to be applied
### visualize it
plot(post.s2e, type='l', ylab='Density',
xlab=expression(sigma[e]^2))
abline(v=s2e, col=2) ## add value used to generate the data
The SPDE approach uses a local variance, $\tau^2$,
such that $\sigma_{s}^2=1/(2\pi\kappa^2\tau^2)$.
On \textbf{\textsf{INLA}} we work log($\tau^2$)
and log($\kappa$). So, especially for
$\sigma_{s}^2$, we have to do
an additional computation.
The PMDs for all RF parameters on
user scale are computed by
rf <- inla.spde.result( ## function to compute the 'interpretable' parameters
inla=res, ## the inla() output
name='s', ## name of RF index set
spde=spde, ## SPDE model object
do.transf=TRUE) ## to user scale
It can be visualized by
par(mfrow=c(1,3), mar=c(3,3,0.3,0.3), mgp=c(2,0.5,0))
plot(rf$marginals.var[[1]], ty='l',
xlab=expression(sigma[s]^2), yla='Density')
abline(v=s2s, col=2) ## add the true value
plot(rf$marginals.kap[[1]], type='l',
xlab=expression(kappa), ylab='Density')
abline(v=k, col=2) ## add the true value
plot(rf$marginals.range[[1]], type='l',
xlab='range nominal', ylab='Density')
abline(v=sqrt(0.5 * 8)/k, col=2) ## add the 'true' value
Projection on a grid / visualization
An interesting result is the map of the RF on a grid.
The simplest way to have it is by projection.
We just have to define the projector matrix
and project, for example, the posterior
mean and posterior standard deviation on the grid.
gproj <- inla.mesh.projector( ## projector builder
mesh, ## mesh used to define the model
xlim=0:1, ylim=0:1, ## limits where to create the grid
dims=c(300,300)) ## grid dimension
## project the mean and the SD
g.mean <- inla.mesh.project(gproj, res$summary.random$s$mean)
g.sd <- inla.mesh.project(gproj, res$summary.random$s$sd)
We can visualize it by
par(mfrow=c(1,2), mar=c(0,0,1,0))
require(fields)
image.plot(g.mean, asp=1, main='RF posterior mean', axes=FALSE, horizontal=TRUE)
image.plot(g.sd, asp=1, main='RF posterior SD', axes=FALSE, horizontal=TRUE)
Prediction
Define the set of target locations,
the corresponding projector
matrix and covariate values at target locations
tcoo <- rbind(c(0.3,0.3), c(0.5,0.5), c(0.7,0.7))
dim(Ap <- inla.spde.make.A(mesh=mesh, loc=tcoo))
x0 <- c(0.5, 0.5, 0.5)
To do a fully Bayesian analysis,
we have to include the target locations on the
estimation process by assigning NA
for the response at these locations.
Defining the prediction stack
stk.pred <- inla.stack(
tag='pred', ## will be used to collect the posterior marginals
data=list(y=NA), ## response set as NA
effects=list(
data.frame(x=x0, b0=1), ## covariate scenario
s=1:spde$n.spde), ## same as before
A=list(1, Ap)) ## covariate and target locations field projectors
Fit the model again with the full stack
stk.full <- inla.stack(stk.e, stk.pred) ## join both data
p.res <- inla(
formula, data=inla.stack.data(stk.full), ## using the full data
control.predictor=list(compute=TRUE, ## compute the predictor
A=inla.stack.A(stk.full)), ## from full data
control.mode=list(theta=res$mode$theta)) ## use the mode previously found
Get the prediction data index and collect the
linear predictor PMDs to work with
pred.ind <- inla.stack.index( ## stack index extractor function
stk.full, ## the data stack to be considered
tag='pred' ## which part of the data to look at
)$data ## which elements to collect
ypost <- p.res$marginals.fitted.values[pred.ind]
Visualize with commands bellow
xyl <- apply(Reduce('rbind', ypost), 2, range)
par(mfrow=c(1,3), mar=c(3,3,2,1), mgp=c(2,1,0))
for (j in 1:3)
plot(ypost[[j]], type='l', xlim=xyl[,1], ylim=xyl[,2],
xlab='y', ylab='density', main=paste0('y', j))
Manipulating marginals
We have already used the inla.tmarginal() function.
There are some other functions to work with
marginal distributions which may be usefull as well:
apropos('marginal')
Playing with the posterior marginal for the first target location
inla.qmarginal(c(0.15, 0.7), ypost[[1]]) ## quantiles
inla.emarginal(function(x) x^2, ypost[[1]]) - ## E(y^2) -
inla.emarginal(function(x) x, ypost[[1]])^2 ## E(y)^2 to compute the variance
inla.pmarginal(inla.qmarginal(0.3, ypost[[1]]), ypost[[1]])
inla.zmarginal(ypost[[1]]) ## posterior summary
inbo/INLA documentation built on Dec. 6, 2019, 9:51 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
How to fit a simple SPDE model in INLA
This document ilustrates how to do a geostatistical fully Bayesian analysis through the Stochastic Partial Diferential Equation approach http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9868.2011.00777.x/full using the Integrated Nested Laplace Aproximation, http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9868.2008.00700.x/full implementation in the package available at http://www.r-inla.org.
library(knitr); library(INLA); library(fields) opts_chunk$set(message=FALSE, warning=FALSE, tidy=FALSE, fig.path='figures/SPDEhowto') knit_hooks$set(small.mar = function(before, options, envir) { if (before) par(mar = c(0.1, 0.1, .1, .1)) # smaller margin on top and right }) knit_hooks$set(mar3311 = function(before, options, envir) { if (before) par(mar = c(3, 3, 1, 1), mgp=c(2, 1, 0)) # smaller margin on top and right }) set.seed(1)
Simulating some data
Define some random Locations and the Random Field (RF) covariance matrix, considering exponential correlation function:
n = 200 ## number of location points coo = matrix(runif(2*n), n) ## location points k <- 10; s2s <- 0.7 ## RF parameters R <- s2s*exp(-k*as.matrix(dist(coo))) ## covariance matrix
Draw a RF sample: a multivariate Normal realization
s <- drop(rnorm(n)%*%chol(R)) ## one RF realization
Adding a covariate effect and a noise
x <- runif(n) ## covariate beta <- 1:2 ## regression coefficients lin.pred <- beta[1] + beta[2]*x + s ## linear predictor s2e <- 0.3 ## error variance (nugget) y <- lin.pred + rnorm(n, 0, sqrt(s2e)) ## the outcome
Model fitting steps
- Mesh: a triangulation to discretize the random field (RF) at 'm' nodes.
r0.1 <- sqrt(0.5 * 8)/k ## distance with correlation around 0.139 mesh <- inla.mesh.2d( ## 2D mesh creator loc=coo, ## provided locations max.edge=c(r0.1/3, r0.1), ## maximum edge length (inner, outer): mandatory offset=c(r0.1/3, r0.1*2), ## outer extension cutoff=r0.1/10) ## good to have >0 par(mar=c(0,0,1,0)) plot(mesh, asp=1) ## plot the mesh points(coo, col='red') ## add the points
A little warning about the mesh. The additional triangles outer domain is to avoid boundary effects. Is good to have aproximately isosceles triangles. And, to avoid tiny triangles. We need to have edges lengths of the inner mesh triangles less than the range of the process. Of course, if it is too small, there might not be any spatial effect.
- Define the n x m projector matrix to project the process at the mesh nodes to locations
image(A <- inla.spde.make.A( ## projector creator mesh=mesh, ## provide the mesh loc=coo) ### locations where to project the field ) ## an 'n' by 'm' projector matrix
- Build the SPDE model on the mesh. Set $\alpha=3/2$ to build the precision structure for an Exponential correlation function
spde <- inla.spde2.matern( ## precision components creator mesh=mesh, ## mesh supplied alpha=1.5) ## smoothness parameter
- Create a data stack to organize the data. This is a way to allow models with complex linear predictors. In our case, we have a SPDE model defined on m nodes. It must be combined with the covariate (and the intercept) effect at n locations. We do it using different projector matrices.
stk.e <- inla.stack( ## stack creator data=list(y=y), ## response effects=list(## two elements: data.frame(b0=1, x=x), ## regressor part s=1:spde$n.spde), ## RF index A=list(## projector list of each effect 1, ## for the covariates A), ## for the RF tag='est') ## tag
- Fit the posterior marginal distributions for all model parameters
formula <- y ~ 0 + b0 + x + ## fixed part f(s, model=spde) ## RF term res <- inla( ## main function in INLA package formula, ## model formula data=inla.stack.data(stk.e), ## dataset control.predictor=list( ## inform projector needed in SPDE models A = inla.stack.A(stk.e))) ## projector from the stack data
Posterior marginal distributions - PMDs
Summary of the regression coefficients PMDs
round(res$summary.fixed, 4)
We have to transform the precision PMD to have the variance PMD. It can be done and visialized by
m.prec <- res$marginals.hyperpar$'Precision for the Gaussian observations' ## the marginal post.s2e <- inla.tmarginal(## function to compute a tranformation function(x) 1/x, ## inverse transformation m.prec) ## marginal to be applied ### visualize it plot(post.s2e, type='l', ylab='Density', xlab=expression(sigma[e]^2)) abline(v=s2e, col=2) ## add value used to generate the data
The SPDE approach uses a local variance, $\tau^2$, such that $\sigma_{s}^2=1/(2\pi\kappa^2\tau^2)$. On \textbf{\textsf{INLA}} we work log($\tau^2$) and log($\kappa$). So, especially for $\sigma_{s}^2$, we have to do an additional computation. The PMDs for all RF parameters on user scale are computed by
rf <- inla.spde.result( ## function to compute the 'interpretable' parameters inla=res, ## the inla() output name='s', ## name of RF index set spde=spde, ## SPDE model object do.transf=TRUE) ## to user scale
It can be visualized by
par(mfrow=c(1,3), mar=c(3,3,0.3,0.3), mgp=c(2,0.5,0)) plot(rf$marginals.var[[1]], ty='l', xlab=expression(sigma[s]^2), yla='Density') abline(v=s2s, col=2) ## add the true value plot(rf$marginals.kap[[1]], type='l', xlab=expression(kappa), ylab='Density') abline(v=k, col=2) ## add the true value plot(rf$marginals.range[[1]], type='l', xlab='range nominal', ylab='Density') abline(v=sqrt(0.5 * 8)/k, col=2) ## add the 'true' value
Projection on a grid / visualization
An interesting result is the map of the RF on a grid. The simplest way to have it is by projection. We just have to define the projector matrix and project, for example, the posterior mean and posterior standard deviation on the grid.
gproj <- inla.mesh.projector( ## projector builder mesh, ## mesh used to define the model xlim=0:1, ylim=0:1, ## limits where to create the grid dims=c(300,300)) ## grid dimension ## project the mean and the SD g.mean <- inla.mesh.project(gproj, res$summary.random$s$mean) g.sd <- inla.mesh.project(gproj, res$summary.random$s$sd)
We can visualize it by
par(mfrow=c(1,2), mar=c(0,0,1,0)) require(fields) image.plot(g.mean, asp=1, main='RF posterior mean', axes=FALSE, horizontal=TRUE) image.plot(g.sd, asp=1, main='RF posterior SD', axes=FALSE, horizontal=TRUE)
Prediction
Define the set of target locations, the corresponding projector matrix and covariate values at target locations
tcoo <- rbind(c(0.3,0.3), c(0.5,0.5), c(0.7,0.7)) dim(Ap <- inla.spde.make.A(mesh=mesh, loc=tcoo)) x0 <- c(0.5, 0.5, 0.5)
To do a fully Bayesian analysis, we have to include the target locations on the estimation process by assigning NA for the response at these locations. Defining the prediction stack
stk.pred <- inla.stack( tag='pred', ## will be used to collect the posterior marginals data=list(y=NA), ## response set as NA effects=list( data.frame(x=x0, b0=1), ## covariate scenario s=1:spde$n.spde), ## same as before A=list(1, Ap)) ## covariate and target locations field projectors
Fit the model again with the full stack
stk.full <- inla.stack(stk.e, stk.pred) ## join both data p.res <- inla( formula, data=inla.stack.data(stk.full), ## using the full data control.predictor=list(compute=TRUE, ## compute the predictor A=inla.stack.A(stk.full)), ## from full data control.mode=list(theta=res$mode$theta)) ## use the mode previously found
Get the prediction data index and collect the linear predictor PMDs to work with
pred.ind <- inla.stack.index( ## stack index extractor function stk.full, ## the data stack to be considered tag='pred' ## which part of the data to look at )$data ## which elements to collect ypost <- p.res$marginals.fitted.values[pred.ind]
Visualize with commands bellow
xyl <- apply(Reduce('rbind', ypost), 2, range) par(mfrow=c(1,3), mar=c(3,3,2,1), mgp=c(2,1,0)) for (j in 1:3) plot(ypost[[j]], type='l', xlim=xyl[,1], ylim=xyl[,2], xlab='y', ylab='density', main=paste0('y', j))
Manipulating marginals
We have already used the inla.tmarginal() function. There are some other functions to work with marginal distributions which may be usefull as well:
apropos('marginal')
Playing with the posterior marginal for the first target location
inla.qmarginal(c(0.15, 0.7), ypost[[1]]) ## quantiles inla.emarginal(function(x) x^2, ypost[[1]]) - ## E(y^2) - inla.emarginal(function(x) x, ypost[[1]])^2 ## E(y)^2 to compute the variance inla.pmarginal(inla.qmarginal(0.3, ypost[[1]]), ypost[[1]]) inla.zmarginal(ypost[[1]]) ## posterior summary
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.