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#
# Copyright 2007-2019 by the individuals mentioned in the source code history
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
#--------------------------------------------------------------------
# Author: Michael D. Hunter
# Date: 2012.12.06
# Filename: StateSpaceOsc.R
# Purpose: Test the state space expectation.
#--------------------------------------------------------------------
#--------------------------------------------------------------------
# Revision History
# Thu Dec 06 18:59:04 Central Standard Time 2012 -- Michael Hunter Checked in file to models/failing
# Thu 14 Feb 2013 15:52:57 Central Standard Time -- Michael Hunter realized the model actually worked.
# Thu 13 Feb 2014 15:06:58 Central Standard Time -- Michael Hunter removed mxConstraint and used parameter equal to result of mxAlgebra instead.
#
#--------------------------------------------------------------------
# Load required packages
require(OpenMx)
require(mvtnorm) # used to generate data
#require(dlm) # only used if model is estimated with dlm for comparison
#--------------------------------------------------------------------
# Generate Data
xdim <- 1
udim <- 2
ydim <- 1
tdim <- 200
set.seed(950)
tA <- matrix(c(-.7), xdim, xdim)
tB <- matrix(c(0), xdim, udim)
tC <- matrix(c(1), ydim, xdim)
tD <- matrix(c(0), ydim, udim)
tQ <- matrix(c(0), xdim, xdim)
tR <- matrix(c(0), ydim, ydim); diag(tR) <- runif(ydim)
x0 <- matrix(c(rnorm(xdim)), xdim, 1)
P0 <- diag(c(runif(xdim)), nrow=xdim)
tx <- matrix(0, xdim, tdim+1)
tu <- matrix(0, udim, tdim)
ty <- matrix(0, ydim, tdim)
tx[,1] <- x0
for(i in 2:(tdim+1)){
tx[,i] <- tA %*% tx[,i-1] + tB %*% tu[,i-1] + t(rmvnorm(1, rep(0, xdim), tQ))
ty[,i-1] <- tC %*% tx[,i-1] + tD %*% tu[,i-1] + t(rmvnorm(1, rep(0, ydim), tR))
}
#plot(tx[1,], type='l')
rownames(ty) <- paste('y', 1:ydim, sep='')
rownames(tx) <- paste('x', 1:xdim, sep='')
#--------------------------------------------------------------------
# Fit state space model to data via OpenMx package
Astart <- tA
smod <- mxModel(
name='StateSpaceExample',
mxMatrix(name='A', values=Astart, nrow=xdim, ncol=xdim, free=TRUE, labels='a'),
mxMatrix(name='B', values=0, nrow=xdim, ncol=udim, free=FALSE),
mxMatrix(name='C', values=tC, nrow=ydim, ncol=xdim, free=FALSE, dimnames=list(rownames(ty), rownames(tx))),
mxMatrix(name='D', values=0, nrow=ydim, ncol=udim, free=FALSE),
# Note Factor error matrix is fixed! This is for model identification.
# I happen to fix the variances to their true values.
mxMatrix(name='Q', type='Diag', values=diag(tQ), nrow=xdim, ncol=xdim, free=FALSE),
mxMatrix(name='R', type='Diag', values=diag(tR), nrow=ydim, ncol=ydim, free=TRUE),
mxMatrix(name='x', values=x0, nrow=xdim, ncol=1, free=FALSE),
mxMatrix(name='P', values=P0, nrow=xdim, ncol=xdim, free=FALSE),
mxMatrix("Zero", udim, 1, name="u"),
mxData(observed=t(ty), type='raw'),
mxExpectationStateSpace(A='A', B='B', C='C', D='D', Q='Q', R='R', x0='x', P0='P', u='u'),
mxFitFunctionML(rowDiagnostics=TRUE)
)
# Uncomment for degugging
#smod <- mxOption(smod, 'Calculate Hessian', 'No')
#smod <- mxOption(smod, 'Standard Errors', 'No')
#smod <- mxOption(smod, 'Major iterations', 0)
srun <- mxRun(smod)
# Algebra works for A matrix
smodA <- mxModel(model=smod, name="State Space Example with Algebra for A Matrix",
mxAlgebra(A, name="A2"),
mxExpectationStateSpace(A='A2', B='B', C='C', D='D', Q='Q', R='R', x0='x', P0='P', u='u')
)
srunA <- mxRun(smodA)
omxCheckCloseEnough(summary(srun)$parameters[,5:6], summary(srunA)$parameters[,5:6], epsilon=1e-8)
# Algebra fails for C matrix
smodC <- mxModel(model=smod, name="State Space Example with Algebra for C Matrix",
mxAlgebra(C, name="C2", dimnames=list(rownames(ty), rownames(tx))),
mxExpectationStateSpace(A='A', B='B', C='C2', D='D', Q='Q', R='R', x0='x', P0='P', u='u')
)
srunC <- mxRun(smodC)
omxCheckCloseEnough(summary(srunC)$parameters[,5:6], summary(srunA)$parameters[,5:6], epsilon=1e-8)
# As a submodel
smodS <- mxModel(model="Sub", smod, mxFitFunctionAlgebra("StateSpaceExample.fitfunction"))
srunS <- mxRun(smodS)
omxCheckCloseEnough(summary(srun)$parameters[,5:6], summary(srunS)$parameters[,5:6], epsilon=1e-8)
# Check submodel likelihood evaluation
omxCheckCloseEnough(mxEval(Sub.fitfunction, srunS), 434.5657, epsilon=1e-3)
omxCheckCloseEnough(attr(mxEval(StateSpaceExample.fitfunction, srunS), "likelihoods"), attr(srunS$StateSpaceExample.fitfunction$result, "likelihoods"), epsilon=1e-8)
omxCheckTrue(all(attr(mxEval(StateSpaceExample.fitfunction, srunS), "rowObs") == 1))
m <- attr(mxEval(StateSpaceExample.fitfunction, srunS), "rowDist")
qqplot(d <- qchisq(ppoints(nrow(srun$data$observed)), df = 1), m,
main = expression("Q-Q plot for" ~~ {chi^2}[nu == 1]))
qqline(m, distribution = function(p) qchisq(p, df = 1),
prob = c(0.1, 0.6), col = 2)
mc <- hist(m, breaks=c(0:8, 10), plot=FALSE)$counts
dc <- hist(d, breaks=c(0:8, 10), plot=FALSE)$counts
obsChi <- sum((mc - dc)**2/dc)
omxCheckTrue(pchisq(obsChi, df=length(mc)-1, lower.tail=FALSE) > .75)
# The goodness of fit chi-square probability on the residuals compared to the expected distribution of residuals should be high (e.g. more than .75).
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