Revision 63c8e8a453ea587001e2438a8ce51cf0e1e1675c authored by Charles J. Geyer on 23 March 2009, 00:00:00 UTC, committed by Gabor Csardi on 23 March 2009, 00:00:00 UTC
1 parent b524c08
mlogl-unco.Rout.save
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>
> library(aster)
Loading required package: trust
>
> set.seed(42)
> nind <- 25
> nnode <- 5
> ncoef <- nnode + 1
>
> famlist <- fam.default()
> fam <- c(1, 1, 2, 3, 3)
> pred <- c(0, 1, 1, 2, 3)
>
> modmat <- array(0, c(nind, nnode, ncoef))
> modmat[ , , 1] <- 1
> for (i in 2:nnode)
+ modmat[ , i, i] <- 1
> modmat[ , , ncoef] <- rnorm(nind * nnode)
>
> beta <- rnorm(ncoef) / 10
>
> phi <- matrix(modmat, ncol = ncoef) %*% beta
> phi <- matrix(phi, ncol = nnode)
>
> aster:::setfam(fam.default())
>
> theta <- .C("aster_phi2theta",
+ nind = as.integer(nind),
+ nnode = as.integer(nnode),
+ pred = as.integer(pred),
+ fam = as.integer(fam),
+ phi = as.double(phi),
+ theta = matrix(as.double(0), nind, nnode))$theta
>
> root <- sample(1:3, nind * nnode, replace = TRUE)
> root <- matrix(root, nind, nnode)
>
> x <- raster(theta, pred, fam, root)
>
> zip <- rep(0, nind * nnode)
>
> out <- mlogl(beta, pred, fam, x, root, modmat, deriv = 2,
+ type = "unco", origin = zip)
> print(out)
$value
[1] 123.9680
$gradient
[1] 41.9553321 0.5679575 12.9399758 -1.4608417 28.3767383 27.9290757
$hessian
[,1] [,2] [,3] [,4] [,5] [,6]
[1,] 618.58754 40.278506 173.359839 72.121848 305.696826 26.306053
[2,] 40.27851 11.702546 3.353047 17.380877 5.231394 -2.212379
[3,] 173.35984 3.353047 61.948882 4.980101 96.895585 10.514502
[4,] 72.12185 17.380877 4.980101 38.114502 7.770363 -1.323664
[5,] 305.69683 5.231394 96.895585 7.770363 186.157029 20.455780
[6,] 26.30605 -2.212379 10.514502 -1.323664 20.455780 303.041693
>
> aster:::setfam(fam.default())
>
> a <- .C("aster_theta2phi",
+ nind = as.integer(nind),
+ nnode = as.integer(nnode),
+ pred = as.integer(pred),
+ fam = as.integer(fam),
+ theta = as.double(zip),
+ phi = matrix(as.double(0), nind, nnode),
+ PACKAGE = "aster")$phi
>
> M <- matrix(modmat, ncol = ncoef)
>
> alpha <- as.numeric(lm(as.numeric(a) ~ 0 + M)$coefficients)
>
> out.too <- mlogl(beta - alpha, pred, fam, x, root, modmat, deriv = 2,
+ type = "unco")
> all.equal(out, out.too)
[1] TRUE
>
> beta.old <- beta
> beta <- beta - alpha
>
> my.value <- 0
> for (j in 1:nnode) {
+ ifam <- fam[j]
+ k <- pred[j]
+ if (k > 0)
+ xpred <- x[ , k]
+ else
+ xpred <- root[ , j]
+ for (i in 1:nind)
+ my.value <- my.value -
+ sum(x[i, j] * theta[i, j] -
+ xpred[i] * famfun(famlist[[ifam]], 0, theta[i, j]))
+ }
> all.equal(out$value, my.value)
[1] TRUE
>
> my.grad <- NaN * out$gradient
> epsilon <- 1e-9
> for (i in 1:ncoef) {
+ beta.eps <- beta
+ beta.eps[i] <- beta[i] + epsilon
+ out.eps <- mlogl(beta.eps, pred, fam, x, root, modmat, deriv = 0,
+ type = "unco")
+ my.grad[i] <- (out.eps$value - out$value) / epsilon
+ }
>
> all.equal(out$gradient, my.grad, tolerance = sqrt(epsilon))
[1] TRUE
>
> ##########
>
> objfun <- function(beta) {
+ out <- mlogl(beta, pred, fam, x, root, modmat, deriv = 1,
+ type = "unco")
+ result <- out$value
+ attr(result, "gradient") <- out$gradient
+ return(result)
+ }
> nout <- nlm(objfun, beta, fscale = nind)
> print(nout)
$minimum
[1] 119.1048
$estimate
[1] 1.62506234 -1.45889278 -0.96558882 -1.61557689 -2.06951752 -0.08435998
$gradient
[1] 8.452131e-06 -2.515249e-05 -3.569333e-06 -2.927416e-06 1.135145e-05
[6] -6.876573e-07
$code
[1] 1
$iterations
[1] 34
> nout <- nlm(objfun, nout$estimate, fscale = nind)
> print(nout)
$minimum
[1] 119.1048
$estimate
[1] 1.62506234 -1.45889278 -0.96558882 -1.61557689 -2.06951752 -0.08435998
$gradient
[1] 8.452131e-06 -2.515249e-05 -3.569333e-06 -2.927416e-06 1.135145e-05
[6] -6.876573e-07
$code
[1] 1
$iterations
[1] 0
>
> beta.mle.new <- nout$estimate
> beta.mle.old <- beta.mle.new + alpha
> mout.new <- mlogl(beta.mle.new, pred, fam, x, root, modmat, deriv = 1,
+ type = "unco")
> mout.old <- mlogl(beta.mle.old, pred, fam, x, root, modmat, deriv = 1,
+ type = "unco", origin = zip)
> all.equal(mout.new, mout.old)
[1] "Component 2: Mean relative difference: 3.221245e-08"
>
> ##########
>
> my.hess <- matrix(NaN, ncoef, ncoef)
> for (i in 1:ncoef) {
+ beta.eps <- beta
+ beta.eps[i] <- beta[i] + epsilon
+ out.eps <- mlogl(beta.eps, pred, fam, x, root, modmat, deriv = 1,
+ type = "unco")
+ my.hess[ , i] <- (out.eps$gradient - out$gradient) / epsilon
+ }
>
> all.equal(out$hessian, my.hess, tolerance = sqrt(epsilon))
[1] TRUE
>
> ##########
>
> objfun <- function(beta) {
+ out <- mlogl(beta, pred, fam, x, root, modmat, deriv = 2,
+ type = "unco")
+ result <- out$value
+ attr(result, "gradient") <- out$gradient
+ attr(result, "hessian") <- out$hessian
+ return(result)
+ }
> nout <- try(nlm(objfun, beta, fscale = nind))
> print(nout)
$minimum
[1] 119.1066
$estimate
[1] 1.61154159 -1.43994211 -0.97003887 -1.60248718 -2.04287896 -0.08345522
$gradient
[1] -0.027848502 0.008147191 -0.078372174 0.004814663 0.103718207
[6] 0.050151163
$code
[1] 4
$iterations
[1] 100
> nout <- nlm(objfun, nout$estimate, fscale = nind, iterlim = 1000)
> print(nout)
$minimum
[1] 119.1048
$estimate
[1] 1.62499634 -1.45880221 -0.96551285 -1.61551376 -2.06945265 -0.08435909
$gradient
[1] -8.888587e-05 1.875676e-05 5.313826e-05 2.266534e-05 6.445778e-05
[6] 4.977037e-05
$code
[1] 2
$iterations
[1] 972
>
> objfun.old <- function(beta) {
+ out <- mlogl(beta, pred, fam, x, root, modmat, deriv = 2,
+ type = "unco", origin = zip)
+ result <- out$value
+ attr(result, "gradient") <- out$gradient
+ attr(result, "hessian") <- out$hessian
+ return(result)
+ }
> nout.old <- nlm(objfun.old, beta.mle.old, fscale = nind, iterlim = 1000)
> print(nout.old)
$minimum
[1] 119.1048
$estimate
[1] -0.06808484 -0.30707046 0.18623351 0.07757029 -0.37637034 -0.08435998
$gradient
[1] 8.452130e-06 -2.515249e-05 -3.569333e-06 -2.927416e-06 1.135145e-05
[6] -6.876573e-07
$code
[1] 1
$iterations
[1] 0
> all.equal(nout$minimum, nout.old$minimum)
[1] TRUE
> all.equal(nout$estimate, nout.old$estimate - alpha)
[1] "Mean relative difference: 4.622505e-05"
>
>
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