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#
# Copyright 2007-2018 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: 2014.03.13
# Filename: StateSpaceErrorCheck.R
# Purpose: Test the error checking for the state space expectation.
#------------------------------------------------------------------------------
#------------------------------------------------------------------------------
# Revision History
# Thu 13 Mar 2014 12:57:28 Central Daylight Time -- Michael Hunter created file
#
#------------------------------------------------------------------------------
# Load required packages
require(OpenMx)
require(mvtnorm) # used to generate data
#------------------------------------------------------------------------------
# Generate Data
xdim <- 3
udim <- 2
ydim <- 9
tdim <- 200
set.seed(948)
tA <- matrix(c(-.4, 0, 0, 0, -.9, .1, 0, -.1, -.9), xdim, xdim)
tB <- matrix(c(0), xdim, udim)
tC <- matrix(c(runif(3, .4, 1), rep(0, ydim), runif(3, .4, 1), rep(0, ydim), runif(3, .4, 1)), ydim, xdim)
tD <- matrix(c(0), ydim, udim)
tQ <- matrix(c(0), xdim, xdim); diag(tQ) <- runif(xdim)
tR <- matrix(c(0), ydim, ydim); diag(tR) <- runif(ydim)
x0 <- matrix(c(rnorm(xdim)), xdim, 1)
P0 <- diag(c(runif(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
smod <- mxModel(
name='State Space Error Check',
mxMatrix(name='A', values=tA, nrow=xdim, ncol=xdim),
mxMatrix(name='B', values=0, nrow=xdim, ncol=udim, free=FALSE),
mxMatrix(name='C', values=tC, nrow=ydim, ncol=xdim, free=(tC!=0), dimnames=list(rownames(ty), rownames(tx))),
mxMatrix(name='D', values=0, nrow=ydim, ncol=udim, free=FALSE),
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()
)
serr <- mxModel(smod,
mxMatrix(name='A', values=.8, nrow=xdim+1, ncol=xdim)
)
omxCheckError(mxRun(serr), "The A matrix is not the correct size in the state space expectation of model 'State Space Error Check'. It is 4 by 3 and should be 3 by 3.")
serr <- mxModel(smod,
mxMatrix(name='B', values=0, nrow=xdim+1, ncol=udim, free=FALSE)
)
omxCheckError(mxRun(serr), "The B matrix is not the correct size in the state space expectation of model 'State Space Error Check'. It is 4 by 2 and should be 3 by 2.")
serr <- mxModel(smod,
mxMatrix(name='B', values=0, nrow=xdim, ncol=udim+1, free=FALSE)
)
omxCheckError(mxRun(serr), "The D matrix is not the correct size in the state space expectation of model 'State Space Error Check'. It is 9 by 2 and should be 9 by 3.")
serr <- mxModel(smod,
mxMatrix(name='C', values=.4, nrow=ydim+1, ncol=xdim, dimnames=list(c(rownames(ty), "oops"), rownames(tx)))
)
omxCheckError(mxRun(serr), "The R matrix is not the correct size in the state space expectation of model 'State Space Error Check'. It is 9 by 9 and should be 10 by 10.")
serr <- mxModel(smod,
mxMatrix(name='C', values=.4, nrow=ydim, ncol=xdim+1, dimnames=list(rownames(ty), c(rownames(tx), "oops")))
)
omxCheckError(mxRun(serr), "The A matrix is not the correct size in the state space expectation of model 'State Space Error Check'. It is 3 by 3 and should be 4 by 4.")
serr <- mxModel(smod,
mxMatrix(name='D', values=0, nrow=ydim+1, ncol=udim, free=FALSE)
)
omxCheckError(mxRun(serr), "The D matrix is not the correct size in the state space expectation of model 'State Space Error Check'. It is 10 by 2 and should be 9 by 2.")
serr <- mxModel(smod,
mxMatrix(name='D', values=0, nrow=ydim, ncol=udim+1, free=FALSE)
)
omxCheckError(mxRun(serr), "The D matrix is not the correct size in the state space expectation of model 'State Space Error Check'. It is 9 by 3 and should be 9 by 2.")
serr <- mxModel(smod,
mxMatrix("Zero", udim+1, 1, name="u")
)
omxCheckError(mxRun(serr), "The u matrix is not the correct size in the state space expectation of model 'State Space Error Check'. It is 3 by 1 and should be 2 by 1.")
serr <- mxModel(smod,
mxMatrix("Zero", udim, 1+1, name="u")
)
omxCheckError(mxRun(serr), "The u matrix is not the correct size in the state space expectation of model 'State Space Error Check'. It is 2 by 2 and should be 2 by 1.")
#------------------------------------------------------------------------------
# Bootstrap error check
# Check that error is thrown for bootstrapping state space model
omxCheckError(mxBootstrap(smod, 10), "Found multilevel or state space model, implying dependent rows of data.\n'mxBootstrap' assumes that rows of data are independent.\nSet unsafe=TRUE in 'mxBootstrap' to override this error.")
# Check that warning is thrown for bootstrapping state space model with unsafe=TRUE
omxCheckWarning(mxBootstrap(smod, 3, unsafe=TRUE), "Found multilevel or state space model, implying dependent rows of data.\n'mxBootstrap' assumes that rows of data are independent.\nProceed with caution.")
#------------------------------------------------------------------------------
# Incorrect name given to expectation
serr <- mxModel(smod,
mxExpectationStateSpace(A='A', B='B', C='C', D='D', Q='Q', R='R', x0='x', P0='p0', u='u'))
omxCheckError(mxRun(serr),
"The P0 part of the state space expectation in model 'State Space Error Check' is not a matrix or algebra.\nThere is probably a typo between the name of the matrix/algebra in the model and the name given to the expectation.\nCheck that you named it correctly. Check it twice.")
#------------------------------------------------------------------------------
# Done
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