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#############################################################################
## Copyright (c) 2010-2022 Rune Haubo Bojesen Christensen
##
## This file is part of the ordinal package for R (*ordinal*)
##
## *ordinal* 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.
##
## *ordinal* 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.
##
## A copy of the GNU General Public License is available at
## <https://www.r-project.org/Licenses/> and/or
## <http://www.gnu.org/licenses/>.
#############################################################################
## This file contains:
## Implementation of Cumulative Link Mixed Models in clmm().
if(getRversion() >= '2.15.1')
utils::globalVariables(c("ths", "link", "threshold", "optRes",
"neval", "Niter", "tJac", "y.levels"))
clmm <-
function(formula, data, weights, start, subset,
na.action, contrasts, Hess = TRUE, model = TRUE,
link = c("logit", "probit", "cloglog", "loglog",
"cauchit"), ##, "Aranda-Ordaz", "log-gamma"), ## lambda,
doFit = TRUE, control = list(), nAGQ = 1L,
threshold = c("flexible", "symmetric", "symmetric2", "equidistant"), ...)
{
### Extract the matched call and initial testing:
mc <- match.call(expand.dots = FALSE)
### OPTION: Possibly call clm() when there are no random effects?
link <- match.arg(link)
threshold <- match.arg(threshold)
if(missing(formula)) stop("Model needs a formula")
if(missing(contrasts)) contrasts <- NULL
## set control parameters:
control <- getCtrlArgs(control, list(...))
nAGQ <- as.integer(round(nAGQ))
formulae <- clmm.formulae(formula=formula)
## mf, y, X, wts, off, terms:
frames <- clmm.frames(modelcall=mc, formulae=formulae, contrasts)
### QUEST: What should 'method="model.frame"' return? Do we want Zt
### included here as well?
if(control$method == "model.frame") return(frames)
## Test rank deficiency and possibly drop some parameters:
## X is guarantied to have an intercept at this point.
frames$X <- drop.coef(frames$X, silent=FALSE)
## Compute the transpose of the Jacobian for the threshold function,
## tJac and the names of the threshold parameters, alpha.names:
ths <- makeThresholds(levels(frames$y), threshold)
## Set rho environment:
rho <- with(frames, {
clm.newRho(parent.frame(), y=y, X=X, weights=wts,
offset=off, tJac=ths$tJac) })
## compute grouping factor list, and Zt and ST matrices:
retrms <- getREterms(frames = frames, formulae$formula)
## For each r.e. term, test if Z has more columns than rows to detect
## unidentifiability:
test_no_ranef(Zt_list=retrms$retrms, frames=frames, checkRanef=control$checkRanef)
### OPTION: save (the evaluated) formula in frames, so we only need the
### frames argument to getREterms() ?
use.ssr <- (retrms$ssr && !control$useMatrix)
## Set inverse link function and its two first derivatives (pfun,
## dfun and gfun) in rho:
setLinks(rho, link)
## Compute list of dimensions for the model fit:
rho$dims <- getDims(frames=frames, ths=ths, retrms=retrms)
## Update model environment with r.e. information:
if(use.ssr) {
rho.clm2clmm.ssr(rho=rho, retrms = retrms, ctrl=control$ctrl)
## Set starting values for the parameters:
if(missing(start)) start <- c(fe.start(frames, link, threshold), 0)
rho$par <- start
nbeta <- rho$nbeta <- ncol(frames$X) - 1 ## no. fixef parameters
nalpha <- rho$nalpha <- ths$nalpha ## no. threshold parameters
ntau <- rho$ntau <- length(retrms$gfList) ## no. variance parameters
stopifnot(is.numeric(start) &&
length(start) == (nalpha + nbeta + ntau))
} else {
rho.clm2clmm(rho=rho, retrms=retrms, ctrl=control$ctrl)
if(missing(start)) {
rho$fepar <- fe.start(frames, link, threshold)
rho$ST <- STstart(rho$ST)
start <- c(rho$fepar, ST2par(rho$ST))
} else {
stopifnot(is.list(start) && length(start) == 2)
stopifnot(length(start[[1]]) == rho$dims$nfepar)
stopifnot(length(start[[2]]) == rho$dims$nSTpar)
rho$fepar <- as.vector(start[[1]])
rho$ST <- par2ST(as.vector(start[[2]]), rho$ST)
}
}
### OPTION: set starting values in a more elegant way.
## Set AGQ parameters:
set.AGQ(rho, nAGQ, control, use.ssr)
## Possibly return the environment, rho without fitting:
if(!doFit) return(rho)
## Fit the clmm:
fit <-
if(use.ssr) clmm.fit.ssr(rho, control = control$optCtrl,
method=control$method, Hess)
else clmm.fit.env(rho, control = control$optCtrl,
method=control$method, Hess)
## Modify and return results:
fit$nAGQ <- nAGQ
fit$link <- link
fit$start <- start
fit$threshold <- threshold
fit$call <- match.call()
fit$formula <- formulae$formula
fit$gfList <- retrms$gfList
fit$control <- control
res <- clmm.finalize(fit=fit, frames=frames, ths=ths, use.ssr)
## add model.frame to results list?
if(model) res$model <- frames$mf
return(res)
}
clmm.formulae <- function(formula) {
## Evaluate the formula in the enviroment in which clmm was called
## (parent.frame(2)) to get it evaluated properly:
form <- eval.parent(formula, 2)
## get the environment of the formula. If this does not have an
## environment (it could be a character), then use the calling environment.
form.envir <-
if(!is.null(env <- environment(form))) env
else parent.frame(2)
## ensure 'formula' is a formula-object:
form <- tryCatch(formula(if(is.character(form)) form else Deparse(form),
env = form.envir), error = identity)
## report error if the formula cannot be interpreted
if(inherits(form, "error"))
stop("unable to interpret 'formula'")
environment(form) <- form.envir
## Construct a formula with all (fixed and random) variables
## (fullForm) and a formula with only fixed-effects variables
## (fixedForm):
fixedForm <- nobars(form) ## ignore terms with '|'
# Handle case where formula is only response ~ RE:
fixedForm <- if(length(fixedForm) == 1 || !inherits(fixedForm, "formula"))
reformulate("1", response = form[[2]], env=form.envir) else fixedForm
fullForm <- subbars(form) # substitute `+' for `|'
## Set the appropriate environments:
environment(fullForm) <- environment(fixedForm) <-
environment(form) <- form.envir
list(formula = form, fullForm = fullForm, fixedForm = fixedForm)
}
clmm.frames <- function(modelcall, formulae, contrasts) {
## Extract full model.frame (fullmf):
m <- match(c("data", "subset", "weights", "na.action", "offset"),
names(modelcall), 0)
mf <- modelcall[c(1, m)]
mf$formula <- formulae$fullForm
mf$drop.unused.levels <- TRUE
mf[[1]] <- as.name("model.frame")
fixedmf <- mf ## save call for later modification and evaluation
fullmf <- eval(mf, envir = parent.frame(2)) ## '2' to get out of
## clmm.frames and clmm
### OPTION: Consider behavior if data is a matrix?
fixedmf$formula <- formulae$fixedForm
fixedmf <- eval(fixedmf, envir = parent.frame(2))
attr(fullmf, "terms") <- attr(fixedmf, "terms")
## return:
list(mf = fullmf,
y = getY(fullmf),
X = getX(fullmf, fixedmf, contrasts),
wts = getWeights(fullmf),
off = getOffsetStd(fullmf),
terms = attr(fixedmf, "terms")
)
}
getY <- function(mf) {
### Extract model response:
y <- model.response(mf)
if(!is.factor(y)) stop("response needs to be a factor")
y
}
getX <- function(fullmf, fixedmf, contrasts) {
fixedTerms <- attr(fixedmf, "terms")
X <- model.matrix(fixedTerms, fullmf, contrasts)
n <- nrow(X)
## remove intercept from X:
Xint <- match("(Intercept)", colnames(X), nomatch = 0)
if(Xint <= 0) {
X <- cbind("(Intercept)" = rep(1, n), X)
warning("an intercept is needed and assumed")
} ## intercept in X is garanteed.
X
}
getZt <- function(retrms) {
ZtList <- lapply(retrms, '[[', "Zt")
Zt <- do.call(rbind, ZtList)
Zt@Dimnames <- vector("list", 2)
Zt
}
getREterms <- function(frames, formula) {
### NOTE: Need to parse mf - not just fullmf because we need the model
### fits for an identifiability check below.
fullmf <- droplevels(with(frames, mf[wts > 0, ]))
barlist <- expandSlash(findbars(formula[[3]]))
### NOTE: make sure 'formula' is appropriately evaluated and returned
### by clmm.formulae
if(!length(barlist)) stop("No random effects terms specified in formula")
term.names <- unlist(lapply(barlist, function(x) Deparse(x)))
names(barlist) <- unlist(lapply(barlist, function(x) Deparse(x[[3]])))
### NOTE: Deliberately naming the barlist elements by grouping factors
### and not by r.e. terms.
## list of grouping factors for the random terms:
rel <- lapply(barlist, function(x) {
ff <- eval(substitute(as.factor(fac)[,drop = TRUE],
list(fac = x[[3]])), fullmf)
## per random term transpose indicator matrix:
Zti <- as(ff, "sparseMatrix")
## per random term model matrix:
mm <- model.matrix(eval(substitute(~ expr,
list(expr = x[[2]]))), fullmf)
Zt = do.call(rbind, lapply(seq_len(ncol(mm)), function(j) {
Zti@x <- mm[,j]
Zti } ))
### QUEST: can we drop rows from Zt when g has missing values in terms
### of the form (1 + g | f)?
ST <- matrix(0, ncol(mm), ncol(mm),
dimnames = list(colnames(mm), colnames(mm)))
list(f = ff, Zt = Zt, ST = ST)
### OPTION: return the i'th element of Lambda here.
})
q <- sum(sapply(rel, function(x) nrow(x$Zt)))
### OPTION: If the model is nested (all gr.factors are nested), then
### order the columns of Zt, such that they come in blocks
### corresponding to the levels of the coarsest grouping factor. Each
### block of Zt-columns contain first the j'th level of the 1st gr.fac.
### followed by columns for the 2nd gr.fac.
###
## single simple random effect on the intercept?
ssr <- (length(barlist) == 1 && as.character(barlist[[1]][[2]])[1] == "1")
## order terms by decreasing number of levels in the factor but don't
## change the order if this is already true:
nlev <- sapply(rel, function(re) nlevels(re$f))
if (any(diff(nlev)) > 0) rel <- rel[rev(order(nlev))]
nlev <- nlev[rev(order(nlev))]
## separate r.e. terms from the factor list:
retrms <- lapply(rel, "[", -1)
names(retrms) <- term.names
## list of grouping factors:
gfl <- lapply(rel, "[[", "f")
## which r.e. terms are associated with which grouping factors:
attr(gfl, "assign") <- seq_along(gfl)
## only save unique g.f. and update assign attribute:
fnms <- names(gfl)
## check for repeated factors:
if (length(fnms) > length(ufn <- unique(fnms))) {
## check that the lengths of the number of levels coincide
gfl <- gfl[match(ufn, fnms)]
attr(gfl, "assign") <- match(fnms, ufn)
names(gfl) <- ufn
}
## test that all variables for the random effects are factors and
## have at least 3 levels:
stopifnot(all(sapply(gfl, is.factor)))
stopifnot(all(sapply(gfl, nlevels) > 2))
## no. r.e. per level for each of the r.e. terms
qi <- unlist(lapply(rel, function(re) ncol(re$ST)))
stopifnot(q == sum(nlev * qi))
dims <- list(n = nrow(fullmf), ## no. observations
nlev.re = nlev, ## no. levels for each r.e. term
nlev.gf = sapply(gfl, nlevels), ## no. levels for each grouping factor
qi = qi,
nretrms = length(rel), ## no. r.e. terms
ngf = length(gfl), ## no. unique grouping factors
## total no. random effects:
q = sum(nlev * qi), ## = sum(sapply(rel, function(re) nrow(re$Zt)))
## no. r.e. var-cov parameters:
nSTpar = sum(sapply(qi, function(q) q * (q + 1) / 2))
)
## c(retrms=retrms, list(gfList = gfl, dims = dims, ssr = ssr))
list(retrms=retrms, gfList = gfl, dims = dims, ssr = ssr)
}
test_no_ranef <-
function(Zt_list, frames, checkRanef=c("warn", "error", "message")) {
## For each r.e. term, test if Z has more columns than rows to detect
## unidentifiability:
checkfun <- switch(checkRanef,
"warn" = function(...) warning(..., call.=FALSE),
"error" = function(...) stop(..., call.=FALSE),
"message" = message)
nrow_fullmf <- with(frames, nrow(mf[wts > 0, ]))
REterm.names <- names(Zt_list)
for(i in seq_along(Zt_list)) {
Zti <- Zt_list[[i]][["Zt"]]
if(nrow(Zti) > ncol(Zti) ||
(all(frames$wts == 1) && nrow(Zti) == ncol(Zti)))
checkfun(gettextf("no. random effects (=%d) >= no. observations (=%d) for term: (%s)",
nrow(Zti), ncol(Zti), REterm.names[i]))
}
## Test if total no. random effects >= total nobs:
q <- sum(sapply(Zt_list, function(x) nrow(x$Zt)))
if(all(frames$wts == 1) && q >= nrow_fullmf)
checkfun(gettextf("no. random effects (=%d) >= no. observations (=%d)",
q, nrow_fullmf))
invisible(NULL)
### NOTE: q > nrow(fullmf) is (sometimes) allowed if some frames$wts > 1
###
### NOTE: if all(frames$wts == 1) we cannot have observation-level
### random effects so we error if nrow(Zti) >= ncol(Zti)
###
### NOTE: Could probably also throw an error if q >= sum(frames$wts),
### but I am not sure about that.
###
### NOTE: It would be better to test the rank of the Zt matrix, but
### also computationally more intensive.
###
}
fe.start <- function(frames, link, threshold) {
## get starting values from clm:
fit <- with(frames,
clm.fit(y=y, X=X, weights=wts, offset=off, link=link,
threshold=threshold))
unname(coef(fit))
}
getDims <- function(frames, ths, retrms)
### Collect and compute all relevant dimensions in a list
{
dims <- retrms$dims ## n is also on retrms$dims
dims$n <- sum(frames$wts > 0)
dims$nbeta <- ncol(frames$X) - 1
dims$nalpha <- ths$nalpha
dims$nfepar <- dims$nalpha + dims$nbeta
dims
}
rho.clm2clmm <- function(rho, retrms, ctrl)
### update environment, rho returned by clm.newRho().
{
### OPTION: write default list of control arguments?
## control arguments are used when calling update.u(rho)
rho$ctrl = ctrl
## compute Zt design matrix:
rho$Zt <- getZt(retrms$retrms)
rho$ST <- lapply(retrms$retrms, `[[`, "ST")
rho$allST1 <- all(sapply(rho$ST, ncol) == 1)
## Lambda <- getLambda(rho$ST, rho$dims$nlev.re)
## Vt <- crossprod(Lambda, rho$Zt)
## rho$L <- Cholesky(tcrossprod(Vt),
## LDL = TRUE, super = FALSE, Imult = 1)
rho$L <- Cholesky(tcrossprod(crossprod(getLambda(rho$ST, rho$dims$nlev.re), rho$Zt)),
LDL = TRUE, super = FALSE, Imult = 1)
rho$Niter <- 0L ## no. conditional mode updates
rho$neval <- 0L ## no. evaluations of the log-likelihood function
rho$u <- rho$uStart <- rep(0, rho$dims$q)
rho$.f <- if(package_version(packageDescription("Matrix")$Version) >
"0.999375-30") 2 else 1
}
getLambda <- function(ST, nlev) {
### ST: a list of ST matrices
### nlev: a vector of no. random effects levels
.local <- function(ST, nlev) {
if(ncol(ST) == 1) .symDiagonal(n=nlev,
x = rep(as.vector(ST[1, 1]), nlev)) else
kronecker(as(ST, "sparseMatrix"), .symDiagonal(n=nlev))
## This would make sense if the columns in Z (rows in Zt) were ordered differently:
## kronecker(Diagonal(n=nlev), ST)
### NOTE: .symDiagonal() appears to be faster than Diagonal() here.
}
stopifnot(length(ST) == length(nlev))
res <- if(length(ST) == 1) .local(ST[[1]], nlev) else
.bdiag(lapply(seq_along(ST), function(i) .local(ST[[i]], nlev[i])))
## coerce to diagonal matrix if relevant:
if(all(sapply(ST, ncol) == 1)) as(res, "diagonalMatrix") else
as(res, "CsparseMatrix")
### QUESTION: Are there any speed gains by coerce'ing Lambda to
### 'diagonalMatrix' or 'CsparseMatrix'?
### QUESTION: What is the best way to form the kronecker product in .local()?
}
getNLA <- function(rho, par, which=rep(TRUE, length(par))) {
### negative log-likelihood by the Laplace approximation
if(!missing(par)) {
setPar.clmm(rho, par, which)
if(any(!is.finite(par)))
stop(gettextf(paste(c("Non-finite parameters not allowed:",
formatC(par, format="g")), collapse=" ")))
}
rho$neval <- rho$neval + 1L
if(!update.u(rho)) return(Inf)
if(any(rho$D < 0)) return(Inf)
logDetD <- c(suppressWarnings(determinant(rho$L)$modulus)) -
rho$dims$q * log(2*pi) / 2
rho$nll + logDetD
}
nll.u <- function(rho) { ## negative log-likelihood
if(rho$allST1) { ## are all ST matrices scalars?
rho$varVec <- rep.int(unlist(rho$ST), rho$dims$nlev.re)
b.expanded <- as.vector(crossprod(rho$Zt, rho$varVec * rho$u))
### NOTE: Working with Lambda when it is diagonal will slow things
### down significantly.
} else {
rho$ZLt <- crossprod(getLambda(rho$ST, rho$dims$nlev.re), rho$Zt)
b.expanded <- as.vector(crossprod(rho$ZLt, rho$u))
}
rho$eta1Fix <- drop(rho$B1 %*% rho$fepar)
rho$eta2Fix <- drop(rho$B2 %*% rho$fepar)
rho$eta1 <- as.vector(rho$eta1Fix - b.expanded + rho$o1)
rho$eta2 <- as.vector(rho$eta2Fix - b.expanded + rho$o2)
rho$fitted <- getFittedC(rho$eta1, rho$eta2, rho$link)
if(any(!is.finite(rho$fitted)) || any(rho$fitted <= 0))
nll <- Inf
else
nll <- -sum(rho$wts * log(rho$fitted)) -
sum(dnorm(x=rho$u, mean=0, sd=1, log=TRUE))
nll
}
nllFast.u <- function(rho) { ## negative log-likelihood
## Does not update X %*% beta - fixed effect part.
if(rho$allST1) {
rho$varVec <- rep.int(unlist(rho$ST), rho$dims$nlev.re)
b.expanded <- as.vector(crossprod(rho$Zt, rho$varVec * rho$u))
} else {
rho$ZLt <- crossprod(getLambda(rho$ST, rho$dims$nlev.re), rho$Zt)
b.expanded <- as.vector(crossprod(rho$ZLt, rho$u))
}
rho$eta1 <- as.vector(rho$eta1Fix - b.expanded + rho$o1)
rho$eta2 <- as.vector(rho$eta2Fix - b.expanded + rho$o2)
rho$fitted <- getFittedC(rho$eta1, rho$eta2, rho$link)
if(any(!is.finite(rho$fitted)) || any(rho$fitted <= 0))
nll <- Inf
else
nll <- -sum(rho$wts * log(rho$fitted)) -
sum(dnorm(x=rho$u, mean=0, sd=1, log=TRUE))
nll
}
grad.u <- function(rho){ ## gradient of nll wrt. u (random effects)
### should only be called with up to date values of eta1, eta2, par
## compute phi1:
rho$p1 <- rho$dfun(rho$eta1)
rho$p2 <- rho$dfun(rho$eta2)
rho$wtpr <- rho$wts/rho$fitted
phi1 <- as.vector(rho$wtpr * (rho$p1 - rho$p2))
if(rho$allST1)
(rho$Zt %*% phi1) * rho$varVec + rho$u
else
rho$ZLt %*% phi1 + rho$u
}
hess.u <- function(rho) { ## Hessian of nll wrt. u (random effects)
### should only be called with up-to-date values of eta1, eta2, par,
### p1, p2
g1 <- rho$gfun(rho$eta1) ## does not need to be saved in rho
g2 <- rho$gfun(rho$eta2) ## does not need to be saved in rho
phi2 <- rho$wts * ( ((rho$p1 - rho$p2) / rho$fitted)^2 -
( (g1 - g2) / rho$fitted) )
## This may happen if the link function [pfun, dfun and gfun]
## evaluates its arguments inaccurately:
if(any(phi2 < 0)) return(FALSE)
if(rho$allST1)
Vt <- crossprod(Diagonal(x = rho$varVec),
tcrossprod(rho$Zt, Diagonal(x = sqrt(phi2))))
else
Vt <- rho$ZLt %*% Diagonal(x = sqrt(phi2))
rho$L <- update(rho$L, Vt, mult = 1)
return(TRUE)
}
getPar.clmm <- function(rho)
### Extract vector of parameters from model-environment rho
c(rho$fepar, ST2par(rho$ST))
setPar.clmm <- function(rho, par, which=rep(TRUE, length(par))) {
### Set parameters in model environment rho.
which <- as.logical(as.vector(which))
oldpar <- getPar.clmm(rho)
stopifnot(length(which) == length(oldpar))
stopifnot(sum(which) == length(par))
## over-wright selected elements of oldpar:
oldpar[which] <- as.vector(par)
## assign oldpar to rho$fepar and rho$ST:
rho$fepar <- oldpar[1:rho$dims$nfepar]
rho$ST <- par2ST(oldpar[-(1:rho$dims$nfepar)], rho$ST)
}
ST2par <- function(STlist) {
### Compute parameter vector from list of ST matrices.
unlist(lapply(STlist, function(ST) {
## if(ncol(ST) == 1) as.vector(ST) else
as.vector(c(diag(ST), ST[lower.tri(ST)]))
}))
}
par2ST <- function(STpar, STlist) {
### Fill in parameters in list of ST matrices. Reverse of ST2par().
nc <- sapply(STlist, ncol)
asgn <- rep(1:length(nc), sapply(nc, function(qi) qi * (qi + 1) / 2))
STparList <- split(STpar, asgn)
stopifnot(length(asgn) == length(ST2par(STlist)))
for(i in 1:length(STlist)) {
par <- STparList[[i]]
if(nc[i] > 1) {
diag(STlist[[i]]) <- par[1:nc[i]]
STlist[[i]][lower.tri(STlist[[i]])] <- par[-(1:nc[i])]
} else {
STlist[[i]][] <- par
}
}
STlist
}
STatBoundary <- function(STpar, STlist, tol=1e-3) {
### Compute dummy vector of which ST parameters are at the
### boundary of the parameters space (variance-parameters that are
### zero).
STcon <- STconstraints(STlist)
stopifnot(length(STpar) == length(STcon))
as.integer(STcon == 1 & STpar <= tol)
}
paratBoundary <- function(rho, tol=1e-3)
### Compute dummy vector of which parameters are at the boundary of
### the parameter space.
c(rep(0, rho$dims$nfepar),
STatBoundary(ST2par(rho$ST), rho$ST, tol))
paratBoundary2 <- function(rho, tol=1e-3) {
STcon <- STconstraints(rho$ST)
c(rep(0L, rho$dims$nfepar),
as.integer(STcon == 1 & ST2par(rho$ST) < tol))
}
STconstraints <- function(STlist) {
### Compute indicator vector of which variance parameters are constrained above zero. The
### variance parameters are non-negative, while the covariance parameters are not
### constrained.
###
### This function can also be used to generate starting values for the covar. parameters.
nc <- sapply(STlist, ncol)
unlist(lapply(nc, function(qi) {
c(rep(1L, qi), rep(0L, qi * (qi - 1) / 2))
} ))
}
parConstraints <- function(rho)
### Returns a dummy vector of the same length as getPar.clmm(rho)
### indicating which parameters are contrained to be non-negative.
c(rep(0, rho$dims$nfepar), STconstraints(rho$ST))
STstart <- function(STlist) par2ST(STconstraints(STlist), STlist)
isNested <- function(f1, f2)
### Borrowed from lme4/R/lmer.R
### Checks if f1 is nested within f2.
{
f1 <- as.factor(f1)
f2 <- as.factor(f2)
stopifnot(length(f1) == length(f2))
sm <- as(new("ngTMatrix",
i = as.integer(f2) - 1L,
j = as.integer(f1) - 1L,
Dim = c(length(levels(f2)),
length(levels(f1)))),
"CsparseMatrix")
all(diff(sm@p) < 2)
}
set.AGQ <- function(rho, nAGQ, control, ssr) {
## Stop if arguments are incompatible:
if(nAGQ != 1 && !ssr)
stop("Quadrature methods are not available with more than one random effects term",
call.=FALSE)
if(nAGQ != 1 && control$useMatrix)
stop("Quadrature methods are not available with 'useMatrix = TRUE'",
call.=FALSE)
rho$nAGQ <- nAGQ
if(nAGQ %in% 0:1) return(invisible())
ghq <- gauss.hermite(abs(nAGQ))
rho$ghqns <- ghq$nodes
rho$ghqws <-
if(nAGQ > 0) ghq$weights ## AGQ
else log(ghq$weights) + (ghq$nodes^2)/2 ## GHQ
}
clmm.fit.env <-
function(rho, control = list(), method=c("nlminb", "ucminf"),
Hess = FALSE)
### Fit the clmm by optimizing the Laplace likelihood.
### Returns a list with elements:
###
### coefficients
### ST
### logLik
### Niter
### dims
### u
### optRes
### fitted.values
### L
### Zt
### ranef
### condVar
### gradient
### (Hessian)
{
method <- match.arg(method)
if(method == "ucminf")
warning("cannot use ucminf optimizer for this model, using nlminb instead")
## Compute lower bounds on the parameter vector
lwr <- c(-Inf, 0)[parConstraints(rho) + 1]
## hack to remove ucminf control settings:
keep <- !names(control) %in% c("grad", "grtol")
control <- if(length(keep)) control[keep] else list()
## Fit the model with Laplace:
fit <- try(nlminb(getPar.clmm(rho), function(par) getNLA(rho, par),
lower=lwr, control=control), silent=TRUE)
### OPTION: Make it possible to use the ucminf optimizer with
### log-transformed std-par instead.
## Check if optimizer converged without error:
if(inherits(fit, "try-error"))
stop("optimizer ", method, " failed to converge", call.=FALSE)
### OPTION: Could have an argument c(warn, fail, ignore) to optionally
### return the fitted model despite the optimizer failing.
## Ensure parameters in rho are set at the optimum:
setPar.clmm(rho, fit$par)
## Ensure random mode estimation at optimum:
nllFast.u(rho)
update.u(rho)
names(rho$ST) <- names(rho$dims$nlev.re)
## Prepare list of results:
res <- list(coefficients = fit$par[1:rho$dims$nfepar],
ST = rho$ST,
logLik = -fit$objective,
dims = rho$dims,
### OPTION: Should we evaluate hess.u(rho) to make sure rho$L contains
### the right values corresponding to the optimum?
u = rho$u,
optRes = fit,
fitted.values = rho$fitted,
L = rho$L,
Zt = rho$Zt
)
## save ranef and condVar in res:
if(rho$allST1) {
res$ranef <- rep.int(unlist(rho$ST), rho$dims$nlev.re) * rho$u
res$condVar <- as.vector(diag(solve(rho$L)) *
rep.int(unlist(rho$ST)^2, rho$dims$nlev.re))
} else {
Lambda <- getLambda(rho$ST, rho$dims$nlev.re)
res$ranef <- Lambda %*% rho$u
res$condVar <- tcrossprod(Lambda %*% solve(rho$L), Lambda)
}
## Add gradient vector and optionally Hessian matrix:
bound <- as.logical(paratBoundary2(rho))
optpar <- fit$par[!bound]
if(Hess) {
### NOTE: This is the Hessian evaluated for all parameters that are
### not at the boundary at the parameter space. The likelihood for
### models with boundary parameters is still defined as a function of
### all the parameters, so standard errors will differ whether or not
### boundary terms are included or not.
gH <- deriv12(function(par) getNLA(rho, par, which=!bound),
x=optpar)
res$gradient <- gH$gradient
res$Hessian <- gH$Hessian
} else {
res$gradient <- grad.ctr(function(par) getNLA(rho, par, which=!bound),
x=optpar)
}
### OPTION: We could check that the (forward) gradient for variances at the
### boundary are not < -1e-5 (wrt. -logLik/nll/getNLA)
## Setting Niter and neval after gradient and Hessian evaluations:
res$Niter <- rho$Niter
res$neval <- rho$neval
## return value:
res
}
update.u <- function(rho)
{
stepFactor <- 1
innerIter <- 0
rho$u <- rho$uStart
rho$nll <- nll.u(rho)
if(!is.finite(rho$nll)) return(FALSE)
rho$gradient <- grad.u(rho)
maxGrad <- max(abs(rho$gradient))
conv <- -1 ## Convergence flag
message <- "iteration limit reached when updating the random effects"
if(rho$ctrl$trace > 0)
Trace(iter=0, stepFactor, rho$nll, maxGrad, rho$u, first=TRUE)
## Newton-Raphson algorithm:
for(i in 1:rho$ctrl$maxIter) {
if(maxGrad < rho$ctrl$gradTol) {
message <- "max|gradient| < tol, so current iterate is probably solution"
if(rho$ctrl$trace > 0)
cat("\nOptimizer converged! ", "max|grad|:",
maxGrad, message, fill = TRUE)
conv <- 0
break
}
if(!hess.u(rho)) return(FALSE)
step <- as.vector(solve(rho$L, rho$gradient))
rho$u <- rho$u - stepFactor * step
nllTry <- nllFast.u(rho) ## no 'X %*% beta' update
lineIter <- 0
## Step halfing:
while(nllTry > rho$nll) {
stepFactor <- stepFactor/2
rho$u <- rho$u + stepFactor * step
nllTry <- nllFast.u(rho) ## no 'X %*% beta' update
lineIter <- lineIter + 1
if(rho$ctrl$trace > 0)
Trace(i+innerIter, stepFactor, rho$nll, maxGrad,
rho$u, first=FALSE)
if(lineIter > rho$ctrl$maxLineIter){
message <- "step factor reduced below minimum when updating
the random effects"
conv <- 1
break
}
innerIter <- innerIter + 1
}
rho$nll <- nllTry
rho$gradient <- grad.u(rho)
maxGrad <- max(abs(rho$gradient))
if(rho$ctrl$trace > 0)
Trace(i+innerIter, stepFactor, rho$nll, maxGrad, rho$u, first=FALSE)
stepFactor <- min(1, 2 * stepFactor)
}
if(conv != 0 && rho$ctrl$innerCtrl == "warnOnly") {
warning(message, "\n at iteration ", rho$Niter)
utils::flush.console()
}
else if(conv != 0 && rho$ctrl$innerCtrl == "giveError")
stop(message, "\n at iteration ", rho$Niter)
rho$Niter <- rho$Niter + i - 1
if(!hess.u(rho)) return(FALSE)
if(!is.finite(rho$nll))
return(FALSE)
else
return(TRUE)
}
clmm.finalize <-
function(fit, frames, ths, use.ssr)
{
fit$tJac <- ths$tJac
fit$contrasts <- attr(frames$X, "contrasts")
fit$na.action <- attr(frames$mf, "na.action")
fit$terms <- frames$terms
### QUEST: Should the terms object contain only the fixed effects
### terms?
fit$xlevels <- .getXlevels(frames$terms, frames$mf)
fit$y.levels <- levels(frames$y)
fit <- within(fit, {
## extract coefficients from 'fit':
names(coefficients) <- names(gradient) <-
c(ths$alpha.names, colnames(frames$X)[-1])
alpha <- coefficients[1:dims$nalpha]
beta <- if(dims$nbeta > 0)
coefficients[dims$nalpha + 1:dims$nbeta] else numeric(0)
## set various fit elements:
edf <- dims$edf <- dims$nfepar + dims$nSTpar
dims$nobs <- sum(frames$wts)
dims$df.residual <- dims$nobs - dims$edf
Theta <- alpha %*% t(tJac)
nm <- paste(y.levels[-length(y.levels)], y.levels[-1], sep="|")
dimnames(Theta) <- list("", nm)
rm(nm)
info <-
data.frame("link" = link,
"threshold" = threshold,
"nobs" = dims$nobs,
"logLik" = formatC(logLik, digits=2, format="f"),
"AIC" = formatC(-2*logLik + 2*dims$edf, digits=2,
format="f"),
## "niter" = paste(optRes$info["neval"], "(", Niter, ")",
## sep=""),
"niter" = paste(neval, "(", Niter, ")",
sep=""),
"max.grad" = formatC(max(abs(gradient)), digits=2,
format="e")
## BIC is not part of output since it is not clear what
## the no. observations are.
)
})
bound <- if(use.ssr) rep(FALSE, fit$dims$edf) else as.logical(paratBoundary2(fit))
dn <- c(names(fit$coefficients),
paste("ST", seq_len(fit$dims$nSTpar), sep=""))[!bound]
names(fit$gradient) <- dn
if(!is.null(fit$Hessian))
dimnames(fit$Hessian) <- list(dn, dn)
## set class and return fit:
class(fit) <- "clmm"
return(fit)
}
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