###################################### # # # Methods for sns objects # # # ###################################### # convenience function for partitioning the state space sns.make.part <- function(K, nsubset, method = "naive") { if (method != "naive") stop("invalid method") #TODO: consider implementing more sophisticated partitioning methods if (nsubset > K) stop("number of partitions cannot exceed state space dimensionality") # deterimining number of coordinates per subset (nvec) nvec <- rep(0, nsubset) nleft <- K c <- 1 while (nleft > 0) { nvec[c] <- nvec[c] + 1 nleft <- nleft - 1 c <- c %% nsubset + 1 } # assigning coordinates to subsets ret <- list() c <- 0 for (n in 1:nsubset) { ret[[n]] <- as.integer(c + 1:nvec[n]) c <- c + nvec[n] } if (sns.check.part(ret, K)) return (ret) else stop("unexpectedly invalid state space partitioning") } # function for checking that state space partitioning is valid # (mutually-exclusive and collectively-exhaustive) sns.check.part <- function(part, K) { return (identical(as.integer(sort(unlist(part))), 1:K)) } # predict methods predict.sns <- function(object, fpred , nburnin = max(nrow(object)/2, attr(object, "nnr")) , end = nrow(object), thin = 1, ...) { niter <- nrow(object) nnr <- attr(object, "nnr") nmcmc <- niter - nnr if (nburnin < nnr) warning("it is strongly suggested that burnin period includes NR iterations (which are not valid MCMC iterations)") myseq <- seq(from = nburnin + 1, to = end, by = thin) pred <- apply(object[myseq, ], 1, fpred, ...) class(pred) <- "predict.sns" return (pred) } summary.predict.sns <- function(object, quantiles = c(0.025, 0.5, 0.975) , ess.method = c("coda", "ise"), ...) { smp.mean <- rowMeans(object) smp.sd <- apply(object, 1, sd) smp.ess <- ess(t(object), method = ess.method[1]) smp.quantiles <- t(apply(object, 1, quantile, probs = quantiles)) ret <- list(mean = smp.mean, sd = smp.sd, ess = smp.ess, quantiles = smp.quantiles, nseq = ncol(object)) class(ret) <- "summary.predict.sns" return (ret) } print.summary.predict.sns <- function(x, ...) { cat("prediction sample statistics:\n") cat("\t(nominal sample size: ", x$nseq, ")\n", sep="") stats <- cbind(x$mean, x$sd, x$ess, x$quantiles) colnames(stats)[1:3] <- c("mean", "sd", "ess") rownames(stats) <- c(1:length(x$mean)) printCoefmat(stats[1:min(length(x$mean), 6), ]) if (length(x$mean) > 6) cat("...\n") } # print method print.sns <- function(x, ...) { cat("Stochastic Newton Sampler (SNS)\n") cat("state space dimensionality: ", ncol(x), "\n") if (!is.null(attr(x, "part"))) cat("state space partitioning: ", attr(x, "part"), " subsets\n") cat("total iterations: ", nrow(x), "\n") cat("\t(initial) NR iterations:", attr(x, "nnr"), "\n") cat("\t(final) MCMC iterations:", nrow(x) - attr(x, "nnr"), "\n") } # summary methods # primary output: # 1) acceptance rate # 2) mean relative deviation (if available) # 3) sample statistics (mean, sd, quantiles, ess, pval) (if available) summary.sns <- function(object, quantiles = c(0.025, 0.5, 0.975) , pval.ref = 0.0, nburnin = max(nrow(object)/2, attr(object, "nnr")) , end = nrow(object), thin = 1, ess.method = c("coda", "ise"), ...) { K <- ncol(object) nnr <- attr(object, "nnr") if (nburnin < nnr) warning("it is strongly suggested that burnin period includes NR iterations (which are not valid MCMC iterations)") # number of subsets in state space partitioning npart <- max(1, length(attr(object, "part"))) # average relative deviation of function value from quadratic approximation (post-burnin) if (!is.null(attr(object, "reldev"))) reldev.mean <- mean(attr(object, "reldev"), na.rm = TRUE) else reldev.mean <- NA nsmp <- end - nburnin if (nsmp > 0) { # average acceptance rate for MH transition proposals accept.rate <- sum(attr(object, "accept")[nburnin + 1:nsmp, ]) / length(attr(object, "accept")[nburnin + 1:nsmp, ]) myseq <- seq(from = nburnin + 1, to = end, by = thin) nseq <- length(myseq) smp.mean <- colMeans(object[myseq, ]) smp.sd <- apply(object[myseq, ], 2, sd) smp.ess <- ess(object[myseq, ], method = ess.method[1]) smp.quantiles <- t(apply(object[myseq, ], 2, quantile, probs = quantiles)) smp.pval <- apply(object[myseq, ], 2, sns.calc.pval, ref = pval.ref, na.rm = FALSE) } else { accept.rate <- NA nseq <- 0 smp.mean <- NA smp.sd <- NA smp.ess <- NA smp.quantiles <- NA smp.pval <- NA } ret <- list(K = K, nnr = nnr, nburnin = nburnin, end = end, thin = thin , niter = nrow(object), nsmp = nsmp, nseq = nseq, npart = npart , accept.rate = accept.rate, reldev.mean = reldev.mean , pval.ref = pval.ref, ess.method = ess.method , smp = list(mean = smp.mean, sd = smp.sd, ess = smp.ess, quantiles = smp.quantiles, pval = smp.pval)) class(ret) <- "summary.sns" return (ret) } print.summary.sns <- function(x, ...) { cat("Stochastic Newton Sampler (SNS)\n") cat("state space dimensionality: ", x$K, "\n") if (x$npart > 1) cat("state space partitioning: ", x$npart, " subsets\n") cat("total iterations: ", x$niter, "\n") cat("\tNR iterations: ", x$nnr, "\n") cat("\tburn-in iterations: ", x$nburnin, "\n") cat("\tend iteration: ", x$end, "\n") cat("\tthinning interval: ", x$thin, "\n") cat("\tsampling iterations (before thinning): ", x$nsmp, "\n") #cat("\tsampling iterations (after thinning): ", x$nseq, "\n") cat("acceptance rate: ", x$accept.rate, "\n") if (!is.na(x$reldev.mean)) cat("\tmean relative deviation from quadratic approx:", format(100*x$reldev.mean, digits=3), "% (post-burnin)\n") if (x$nsmp > 0) { cat("sample statistics:\n") cat("\t(nominal sample size: ", x$nseq, ")\n", sep="") stats <- cbind(x$smp$mean, x$smp$sd, x$smp$ess, x$smp$quantiles, x$smp$pval) colnames(stats)[c(1:3, 4 + ncol(x$smp$quantiles))] <- c("mean", "sd", "ess", "p-val") rownames(stats) <- c(1:x$K) printCoefmat(stats[1:min(x$K, 6), ], P.values = TRUE, has.Pvalue = TRUE) if (x$K > 6) cat("...\n") cat("summary of ess:\n") print(summary(x$smp$ess)) } } # plot method plot.sns <- function(x, nburnin = max(nrow(x)/2, attr(x, "nnr")) , select = if (length(x) <= 10) 1:5 else 1, ...) { init <- attr(x, "init") lp.init <- attr(x, "lp.init") lp <- attr(x, "lp") # in all cases, vertical line delineates transition from nr to mcmc mode K <- ncol(x) niter <- nrow(x) nnr <- attr(x, "nnr") if (nburnin < nnr) warning("it is strongly suggested that burnin period includes NR iterations (which are not valid MCMC iterations)") # log-probability trace plot if (1 %in% select) { plot(0:niter, c(lp.init, lp), type = "l" , xlab = "iter", ylab = "log-probability", main = "Log-Probability Trace Plot") if (nnr > 0 && nnr < niter) abline(v = nnr + 0.5, lty = 2, col = "red") } # state vector trace plots if (2 %in% select) { for (k in 1:K) { plot(0:niter, c(init[k], x[, k]), type = "l" , xlab = "iter", ylab = paste("x[", k, "]", sep = ""), main = "State Variable Trace Plot") if (nnr > 0 && nnr < niter) abline(v = nnr + 0.5, lty = 2, col = "red") } } if (nburnin < niter) { if (3 %in% select) { # effective sample size (horizontal line is maximum possible effective sample size) my.ess <- ess(x[(nburnin + 1):niter, ]) plot(1:K, my.ess, xlab = "k", ylab = "effective sample size", ylim = c(0, niter - nburnin), main = "Effective Sample Size by Coordinate") abline(h = niter - nburnin, lty = 2, col = "red") } if (4 %in% select) { # state vector (univariate) histograms K <- ncol(x) for (k in 1:K) { hist(x[(nburnin + 1):niter, k], xlab = paste("x[", k, "]", sep = ""), main = "State Variable Histogram (post-burnin)") abline(v = mean(x[(nburnin + 1):niter, k]), lty = 2, col = "red") } } if (5 %in% select) { # state vector (univariate) autocorrelation plots K <- ncol(x) for (k in 1:K) { acf(x[(nburnin + 1):niter, k], xlab = paste("x[", k, "]", sep = ""), main = "State Variable Autocorrelation Plot (post-burnin)") } } } } sns.calc.pval <- function(x, ref=0.0, na.rm = FALSE) { # add flag for one-sided vs. two-sided if (na.rm) x <- x[!is.na(x)] bigger <- median(x)>ref if (sd(x)<.Machine$double.eps) { ret <- NA } else { ret <- max(1/length(x), 2*length(which(if (bigger) xref))/length(x)) # TODO: justify minimum value } attr(ret, "bigger") <- bigger return (ret) }