https://github.com/cran/fields
Tip revision: ce35beb02e691b4169a97c2c3f64564860ca0d3f authored by Douglas Nychka on 06 June 2017, 16:06:25 UTC
version 9.0
version 9.0
Tip revision: ce35beb
mKrig.R
# fields is a package for analysis of spatial data written for
# the R software environment .
# Copyright (C) 2017
# University Corporation for Atmospheric Research (UCAR)
# Contact: Douglas Nychka, nychka@ucar.edu,
# National Center for Atmospheric Research, PO Box 3000, Boulder, CO 80307-3000
#
# 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 of the License, or
# (at your option) any later version.
# 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.
#
# You should have received a copy of the GNU General Public License
# along with the R software environment if not, write to the Free Software
# Foundation, Inc., 51 Franklin St, Fifth Floor, Boston, MA 02110-1301 USA
# or see http://www.r-project.org/Licenses/GPL-2
mKrig <- function(x, y, weights=rep(1, nrow(x)), Z = NULL,
cov.function="stationary.cov",
cov.args = NULL, lambda = 0, m = 2,
chol.args = NULL, find.trA = TRUE, NtrA = 20,
iseed = 123, llambda = NULL, na.rm=FALSE,
collapseFixedEffect = TRUE, ...) {
# pull extra covariance arguments from ... and overwrite
# any arguments already named in cov.args
ind<- match( names( cov.args), names(list(...) ) )
cov.args = c(cov.args[is.na(ind)], list(...))
#
#If cov.args$find.trA is true, set onlyUpper to FALSE (onlyUpper doesn't
#play nice with predict.mKrig, called by mKrig.trace)
#
if(find.trA == TRUE && supportsArg(cov.function, "onlyUpper"))
cov.args$onlyUpper= FALSE
if(find.trA == TRUE && supportsArg(cov.function, "distMat"))
cov.args$distMat= NA
if (!is.null(llambda)) {
lambda <- exp(llambda)
}
# see comments in Krig.engine.fixed for algorithmic commentary
#
# check for duplicate x's.
# stop if there are any
if (any(duplicated(cat.matrix(x)))) {
stop("locations are not unique see help(mKrig) ")
}
# next function also omits NAs from x,y,weights, and Z if na.rm=TRUE.
object<- mKrigCheckXY( x, y, weights, Z, na.rm = na.rm)
# create fixed part of model as m-1 order polynomial
# NOTE: if m==0 then fields.mkpoly returns a NULL to
# indicate no polynomial part.
Tmatrix <- cbind(fields.mkpoly(object$x, m), object$Z)
# set some dimensions
np <- nrow(object$x)
if( is.null(Tmatrix) ){
nt<- 0
}
else{
nt<- ncol(Tmatrix)
}
if( is.null(object$Z)){
nZ<- 0
}
else{
nZ<- ncol(object$Z)
}
ind.drift <- c(rep(TRUE, (nt - nZ)), rep(FALSE, nZ))
# as a place holder for reduced rank Kriging, distinguish between
# observations locations and the locations to evaluate covariance.
# (this is will also allow predict.mKrig to handle a Krig object)
object$knots <- object$x
# covariance matrix at observation locations
# NOTE: if cov.function is a sparse constuct then Mc will be sparse.
# see e.g. wendland.cov
Mc <- do.call(cov.function, c(cov.args, list(x1 = object$knots, x2 = object$knots)))
#
# decide how to handle the pivoting.
# one wants to do pivoting if the matrix is sparse.
# if Mc is not a matrix assume that it is in sparse format.
#
sparse.flag <- !is.matrix(Mc)
#
# set arguments that are passed to cholesky
#
if (is.null(chol.args)) {
chol.args <- list(pivot = sparse.flag)
}
else {
chol.args <- chol.args
}
# quantify sparsity of Mc for the mKrig object
nzero <- ifelse(sparse.flag, length(Mc@entries), np^2)
# add diagonal matrix that is the observation error Variance
# NOTE: diag must be a overloaded function to handle sparse format.
if (lambda != 0) {
if(! sparse.flag)
invisible(.Call("addToDiagC", Mc, as.double(lambda/object$weights), nrow(Mc), PACKAGE="fields")
)
else
diag(Mc) = diag(Mc) + lambda/object$weights
}
# MARK LINE Mc
# At this point Mc is proportional to the covariance matrix of the
# observation vector, y.
#
# cholesky decoposition of Mc
# do.call used to supply other arguments to the function
# especially for sparse applications.
# If chol.args is NULL then this is the same as
# Mc<-chol(Mc), chol.args))
Mc <- do.call("chol", c(list(x = Mc), chol.args))
lnDetCov <- 2 * sum(log(diag(Mc)))
#
# start linear algebra to find estimates and likelihood
# Note that all these expressions make sense if y is a matrix
# of several data sets and one is solving for the coefficients
# of all of these at once. In this case d.coef and c.coef are matrices
#
if( !is.null(Tmatrix)){
# Efficent way to multply inverse of Mc times the Tmatrix
VT <- forwardsolve(Mc, x = Tmatrix, k=ncol(Mc), transpose = TRUE, upper.tri = TRUE)
qr.VT <- qr(VT)
# now do generalized least squares for d
d.coef <- as.matrix(qr.coef(qr.VT, forwardsolve(Mc, transpose = TRUE,
object$y, upper.tri = TRUE)))
if (collapseFixedEffect) {
# use a common estimate of fixed effects across all replicates
d.coefMeans <- rowMeans(d.coef)
d.coef <- matrix(d.coefMeans, ncol = ncol(d.coef),
nrow = nrow(d.coef))
}
resid<- object$y - Tmatrix %*% d.coef
# GLS covariance matrix for fixed part.
Rinv <- solve(qr.R(qr.VT))
Omega <- Rinv %*% t(Rinv)
#
# Omega is solve(t(Tmatrix)%*%solve( Sigma)%*%Tmatrix)
# proportional to fixed effects covariance matrix.
# Sigma = cov.function( x,x) + lambda/object$weights
# this is proportional to the covariance matrix for the GLS estimates of
# the fixed linear part of the model.
#
R2diag<- diag( qr.R(qr.VT) )^2
lnDetOmega<- -1* sum( log(R2diag) )
}
else{
# much is set to NULL because no fixed part of model
nt<- 0
resid<- object$y
Rinv<- NULL
Omega<- NULL
qr.VT<- NULL
d.coef<- NULL
lnDetOmega <- 0
}
# and now find c.
# the coefficents for the spatial part.
# if linear fixed part included resid as the residuals from the
# GLS regression.
c.coef <- as.matrix(forwardsolve(Mc, transpose = TRUE,
resid, upper.tri = TRUE))
# save intermediate result this is t(y- T d.coef)( M^{-1}) ( y- T d.coef)
quad.form <- c(colSums(as.matrix(c.coef^2)))
# find c coefficients
c.coef <- as.matrix(backsolve(Mc, c.coef))
# MLE estimate of rho and sigma
# rhohat <- c(colSums(as.matrix(c.coef * y)))/(np - nt)
# NOTE if y is a matrix then each of these are vectors of parameters.
rho.MLE <- quad.form/np
rhohat <- c(colSums(as.matrix(c.coef * object$y)))/np
shat.MLE <- sigma.MLE <- sqrt(lambda * rho.MLE)
# the log profile likehood with rhohat and dhat substituted
# leaving a profile for just lambda.
# NOTE if y is a matrix then this is a vector of log profile
# likelihood values.
lnProfileLike <- (-np/2 - log(2 * pi) * (np/2) - (np/2) *
log(rho.MLE) - (1/2) * lnDetCov)
# see section 4.2 handbook of spatial statistics (Zimmermanchapter)
lnProfileREML <- lnProfileLike + (1/2) * lnDetOmega
rho.MLE.FULL <- mean(rho.MLE)
sigma.MLE.FULL <- sqrt(lambda * rho.MLE.FULL)
# if y is a matrix then compute the combined likelihood
# under the assumption that the columns of y are replicated
# fields
lnProfileLike.FULL <- sum((-np/2 - log(2 * pi) * (np/2) -
(np/2) * log(rho.MLE.FULL)
- (1/2) * lnDetCov)
)
lnProfileREML.FULL <- sum((-np/2 - log(2 * pi) * (np/2) -
(np/2) * log(rho.MLE.FULL)
- (1/2) * lnDetCov
+ (1/2) * lnDetOmega )
)
#
# return coefficients and include lambda as a check because
# results are meaningless for other values of lambda
# returned list is an 'object' of class mKrig (micro Krig)
# also save the matrix decompositions so coefficients can be
# recalculated for new y values. Make sure onlyUpper and
# distMat are unset for compatibility with mKrig S3 functions
if(!is.null(cov.args$onlyUpper))
cov.args$onlyUpper = FALSE
if(!is.null(cov.args$distMat))
cov.args$distMat = NA
object <- c( object, list(
d = d.coef, c = c.coef, nt = nt, np = np,
lambda.fixed = lambda,
cov.function.name = cov.function,
args = cov.args, m = m, chol.args = chol.args, call = match.call(),
nonzero.entries = nzero, shat.MLE = sigma.MLE, sigma.MLE = sigma.MLE,
rho.MLE = rho.MLE, rhohat = rho.MLE, lnProfileLike = lnProfileLike,
rho.MLE.FULL = rho.MLE.FULL, sigma.MLE.FULL = sigma.MLE.FULL,
lnProfileLike.FULL = lnProfileLike.FULL,
lnProfileREML.FULL = lnProfileREML.FULL,
lnProfileREML = lnProfileREML,
lnDetCov = lnDetCov, lnDetOmega = lnDetOmega,
quad.form = quad.form, Omega = Omega,lnDetOmega=lnDetOmega,
qr.VT = qr.VT,
Mc = Mc,
Tmatrix = Tmatrix, ind.drift = ind.drift, nZ = nZ,
collapseFixedEffect= collapseFixedEffect)
)
#
# find the residuals directly from solution
# to avoid a call to predict
object$residuals <- lambda * c.coef/object$weights
object$fitted.values <- object$y - object$residuals
# estimate effective degrees of freedom using Monte Carlo trace method.
if (find.trA) {
object2 <- mKrig.trace(object, iseed, NtrA)
object$eff.df <- object2$eff.df
object$trA.info <- object2$trA.info
object$GCV <- (sum(object$residuals^2)/np)/(1 - object2$eff.df/np)^2
if (NtrA < np) {
object$GCV.info <- (sum(object$residuals^2)/np)/(1 - object2$trA.info/np)^2
}
else {
object$GCV.info <- NA
}
}
else {
object$eff.df <- NA
object$trA.info <- NA
object$GCV <- NA
}
class(object) <- "mKrig"
return(object)
}