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.get_sub_summaries <- function(submodels, test_points, refmodel, family,
search_terms = NULL) {
has_group_features <- !is.null(search_terms)
res <- lapply(submodels, function(model) {
solution_terms <- model$solution_terms
if (length(solution_terms) == 0) {
solution_terms <- c("1")
}
sub_fit <- model$sub_fit
weights <- refmodel$wobs[test_points]
mu <- family$mu_fun(sub_fit,
obs = test_points,
offset = refmodel$offset[test_points],
weights = weights
)
y <- refmodel$y[test_points]
y_test <- nlist(y, weights)
.weighted_summary_means(
y_test, family, model$weights,
matrix(mu, NROW(y), NCOL(mu)), model$dis
)
})
}
.weighted_summary_means <- function(y_test, family, wsample, mu, dis) {
loglik <- family$ll_fun(
mu, dis, matrix(y_test$y, nrow = NROW(mu)),
y_test$weights
)
if (length(loglik) == 1) {
# one observation, one sample
list(mu = mu, lppd = loglik)
} else if (is.null(dim(loglik))) {
# loglik is a vector, but not sure if it means one observation with many
# samples, or vice versa?
stop("Internal error encountered: loglik is a vector, ",
"but should be a scalar or matrix")
} else {
# mu is a matrix, so apply weighted sum over the samples
list(
mu = c(mu %*% wsample),
lppd = apply(loglik, 1, log_weighted_mean_exp, wsample)
)
}
}
# copied from summary_funs to remove duplicated code
.tabulate_stats <- function(varsel, stats, alpha = 0.05,
nfeat_baseline = NULL) {
##
## Calculates the desired statistics, their standard errors and credible
## bounds with given credible level alpha based on the variable selection
## information. If nfeat_baseline is given, then compute the statistics
## relative to the baseline model with that size (nfeat_baseline = Inf means
## reference model).
stat_tab <- data.frame()
summ_ref <- varsel$summaries$ref
summ_sub <- varsel$summaries$sub
## fetch the mu and lppd for the baseline model
if (is.null(nfeat_baseline)) {
## no baseline model, i.e, compute the statistics on the actual
## (non-relative) scale
mu.bs <- NULL
lppd.bs <- NULL
delta <- FALSE
} else {
if (nfeat_baseline == Inf) {
summ.bs <- summ_ref
} else {
summ.bs <- summ_sub[[nfeat_baseline + 1]]
}
mu.bs <- summ.bs$mu
lppd.bs <- summ.bs$lppd
delta <- TRUE
}
for (s in seq_along(stats)) {
stat <- stats[s]
## reference model statistics
summ <- summ_ref
res <- get_stat(summ$mu, summ$lppd, varsel$d_test, varsel$family, stat,
mu.bs = mu.bs, lppd.bs = lppd.bs, weights = summ$w, alpha = alpha
)
row <- data.frame(
data = varsel$d_test$type, size = Inf, delta = delta, statistic = stat,
value = res$value, lq = res$lq, uq = res$uq, se = res$se
)
stat_tab <- rbind(stat_tab, row)
## submodel statistics
for (k in seq_along(varsel$summaries$sub)) {
summ <- summ_sub[[k]]
if (delta == FALSE && sum(!is.na(summ_ref$mu)) > sum(!is.na(summ$mu))) {
## special case (subsampling loo): reference model summaries computed
## for more points than for the submodel, so utilize the reference model
## results to get more accurate statistic fot the submodel on the actual
## scale
res_ref <- get_stat(summ_ref$mu, summ_ref$lppd, varsel$d_test,
varsel$family, stat, mu.bs = NULL, lppd.bs = NULL,
weights = summ_ref$w, alpha = alpha)
res_diff <- get_stat(summ$mu, summ$lppd, varsel$d_test, varsel$family,
stat, mu.bs = summ_ref$mu, lppd.bs = summ_ref$lppd,
weights = summ$w, alpha = alpha)
val <- res_ref$value + res_diff$value
val.se <- sqrt(res_ref$se^2 + res_diff$se^2)
lq <- qnorm(alpha / 2, mean = val, sd = val.se)
uq <- qnorm(1 - alpha / 2, mean = val, sd = val.se)
row <- data.frame(
data = varsel$d_test$type, size = k - 1, delta = delta,
statistic = stat, value = val, lq = lq, uq = uq, se = val.se)
} else {
## normal case
res <- get_stat(summ$mu, summ$lppd, varsel$d_test, varsel$family, stat,
mu.bs = mu.bs, lppd.bs = lppd.bs, weights = summ$w, alpha = alpha
)
row <- data.frame(
data = varsel$d_test$type, size = k - 1, delta = delta,
statistic = stat, value = res$value, lq = res$lq, uq = res$uq,
se = res$se)
}
stat_tab <- rbind(stat_tab, row)
}
}
stat_tab
}
get_stat <- function(mu, lppd, d_test, family, stat, mu.bs = NULL,
lppd.bs = NULL, weights = NULL, alpha = 0.1,
seed = 1208499, B = 2000) {
##
## Calculates given statistic stat with standard error and confidence bounds.
## mu.bs and lppd.bs are the pointwise mu and lppd for another model that is
## used as a baseline for computing the difference in the given statistic,
## for example the relative elpd. If these arguments are not given (NULL) then
## the actual (non-relative) value is computed.
n <- length(mu)
if (stat %in% c("mlpd", "elpd")) {
n_notna <- sum(!is.na(lppd))
} else {
n_notna <- sum(!is.na(mu))
}
if (is.null(weights)) {
## set default weights if not given
weights <- rep(1 / n_notna, n)
}
## ensure the weights sum to n_notna
weights <- n_notna * weights / sum(weights)
if (stat == "mlpd") {
if (!is.null(lppd.bs)) {
value <- mean((lppd - lppd.bs) * weights, na.rm = TRUE)
value.se <- weighted.sd(lppd - lppd.bs, weights,
na.rm = TRUE) / sqrt(n_notna)
} else {
value <- mean(lppd * weights, na.rm = TRUE)
value.se <- weighted.sd(lppd, weights,
na.rm = TRUE) / sqrt(n_notna)
}
} else if (stat == "elpd") {
if (!is.null(lppd.bs)) {
value <- sum((lppd - lppd.bs) * weights, na.rm = TRUE)
value.se <- weighted.sd(lppd - lppd.bs, weights,
na.rm = TRUE) / sqrt(n_notna) * n_notna
} else {
value <- sum(lppd * weights, na.rm = TRUE)
value.se <- weighted.sd(lppd, weights,
na.rm = TRUE) / sqrt(n_notna) * n_notna
}
} else if (stat == "mse") {
y <- d_test$y
if (!is.null(mu.bs)) {
value <- mean(weights * ((mu - y)^2 - (mu.bs - y)^2), na.rm = TRUE)
value.se <- weighted.sd((mu - y)^2 - (mu.bs - y)^2, weights,
na.rm = TRUE) / sqrt(n_notna)
} else {
value <- mean(weights * (mu - y)^2, na.rm = TRUE)
value.se <- weighted.sd((mu - y)^2, weights, na.rm = TRUE) / sqrt(n_notna)
}
} else if (stat == "rmse") {
y <- d_test$y
if (!is.null(mu.bs)) {
## make sure the relative rmse is computed using only those points for
## which
mu.bs[is.na(mu)] <- NA
mu[is.na(mu.bs)] <- NA # both mu and mu.bs are non-NA
value <- (sqrt(mean(weights * (mu - y)^2, na.rm = TRUE))
- sqrt(mean(weights * (mu.bs - y)^2, na.rm = TRUE)))
value.bootstrap1 <- bootstrap((mu - y)^2, function(resid2)
sqrt(mean(weights * resid2, na.rm = TRUE)), b = B, seed = seed)
value.bootstrap2 <- bootstrap((mu.bs - y)^2, function(resid2)
sqrt(mean(weights * resid2, na.rm = TRUE)), b = B, seed = seed)
value.se <- sd(value.bootstrap1 - value.bootstrap2)
} else {
value <- sqrt(mean(weights * (mu - y)^2, na.rm = TRUE))
value.bootstrap <- bootstrap((mu - y)^2, function(resid2)
sqrt(mean(weights * resid2, na.rm = TRUE)), b = B, seed = seed)
value.se <- sd(value.bootstrap)
}
} else if (stat == "acc" || stat == "pctcorr") {
y <- d_test$y
if (!is.null(mu.bs)) {
value <- mean(weights * ((round(mu) == y) - (round(mu.bs) == y)),
na.rm = TRUE)
value.se <- weighted.sd((round(mu) == y) - (round(mu.bs) == y),
weights, na.rm = TRUE) / sqrt(n_notna)
} else {
value <- mean(weights * (round(mu) == y), na.rm = TRUE)
value.se <- weighted.sd(round(mu) == y, weights,
na.rm = TRUE) / sqrt(n_notna)
}
} else if (stat == "auc") {
y <- d_test$y
auc.data <- cbind(y, mu, weights)
if (!is.null(mu.bs)) {
mu.bs[is.na(mu)] <- NA # compute the relative auc using only those points
mu[is.na(mu.bs)] <- NA # for which both mu and mu.bs are non-NA
auc.data.bs <- cbind(y, mu.bs, weights)
value <- auc(auc.data) - auc(auc.data.bs)
value.bootstrap1 <- bootstrap(auc.data, auc, b = B, seed = seed)
value.bootstrap2 <- bootstrap(auc.data.bs, auc, b = B, seed = seed)
value.se <- sd(value.bootstrap1 - value.bootstrap2, na.rm = TRUE)
} else {
value <- auc(auc.data)
value.bootstrap <- bootstrap(auc.data, auc, b = B, seed = seed)
value.se <- sd(value.bootstrap, na.rm = TRUE)
}
}
lq <- qnorm(alpha / 2, mean = value, sd = value.se)
uq <- qnorm(1 - alpha / 2, mean = value, sd = value.se)
return(list(value = value, se = value.se, lq = lq, uq = uq))
}
.is_util <- function(stat) {
## a simple function to determine whether a given statistic (string) is
## a utility (we want to maximize) or loss (we want to minimize)
## by the time we get here, stat should have already been validated
if (stat %in% c("rmse", "mse")) {
return(FALSE)
} else {
return(TRUE)
}
}
.get_nfeat_baseline <- function(object, baseline, stat) {
## get model size that is used as a baseline in comparisons. baseline is one
## of 'best' or 'ref', stat is the statistic according to which the selection
## is done
if (baseline == "best") {
## find number of features that maximizes the utility (or minimizes the
## loss)
tab <- .tabulate_stats(object, stat)
stats_table <- subset(tab, tab$size != Inf)
## tab <- .tabulate_stats(object)
## stats_table <- subset(tab, tab$delta == FALSE &
## tab$statistic == stat & tab$size != Inf)
optfun <- ifelse(.is_util(stat), which.max, which.min)
nfeat_baseline <- stats_table$size[optfun(stats_table$value)]
} else {
## use reference model
nfeat_baseline <- Inf
}
return(nfeat_baseline)
}
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