1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504 505 506 507 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 523 524 525 526 527 528 529 530 531 532 533 534 535 536 537 538 539 540 541 542 543 544 545 546 547 548 549 550 551 552 553 554 555 556 557 558 559 560 561 562 563 564 565 566 567 568 569 570 571 572 573 574 575 576 577 578 579 580 581 582 583 584 585 586 587 588 589 590 591 592 593 594 595 596 597 598 599 600 601 602 603 604 605 606 607 608 609 610 611 612 613 614 615 616 617 618 619 620 621 622 623 624 625 626 627 628 629 630 631 632 633 634 635 636 637 638 639 640 641 642 643 644 645 646 647 648 649 650 651 652 653 654 655 656 657 658 659 660 661 662 663 664 665 666 667 668 669 670 671 672 673 674 675 676 677 678 679 680 681 682 683 684 685 686 687 688 689 690 691 692 693 694 695 696 697 698 699 700 701 702 703 704 705 706 707 708 709 710 711 712 713 714 715 716 717 718 719 720 721 722 723 724 725 726 727 728 729 730 731 732 733 734 735 736 737 738 739 740 741 742 743 744 745 746 747 748 749 750 751 752 753 754 755 756 757 758 759 760 761 762 763 764 765 766 767 768 769 770 771 772 773 774 775 776 777 778 779 780 781 782 783 784 785 786 787 788 789 790 791 792 793 794 795 796 797 798 799 800 801 802 803 804 805 806 807 808 809 810 811 812 813 814 815 816 817 818 819 820 821 822 823 824 825 826 827 828 829 830 831 832 833 834 835 836 837 838 839 840 841 842 843 844 845 846 847 848 849 850 851 852 853 854 855 856 857 858 859 860 861 862 863 864 865 866 867 868 869 870 871 872 873 874 875 876 877 878 879 880 881 882 883 884 885 886 887 888 889 890 891 892 893 894 895 896 897 898 899 900 901 902 903 904 905 906 907 908 909 910 911 912 913 914 915 916 917 918 919 920 921 922 923 924 925 926 927 928 929 930 931 932 933 934 935 936 937 938 939 940 941 942 943 944 945 946 947 948 949 950 951 952 953 954 955 956 957 958 959 960 961 962 963 964 965 966 967 968 969 970 971 972 973 974 975 976 977 978 979 980 981 982 983 984 985 986 987 988 989 990 991 992 993 994 995 996 997 998 999 1000 1001 1002 1003 1004 1005 1006 1007 1008 1009 1010 1011 1012 1013 1014 1015 1016 1017 1018 1019 1020 1021 1022 1023 1024 1025 1026 1027 1028 1029 1030 1031 1032 1033 1034 1035 1036 1037 1038 1039 1040 1041 1042 1043 1044 1045 1046 1047 1048 1049 1050 1051 1052 1053 1054 1055 1056 1057 1058 1059 1060 1061 1062 1063 1064 1065 1066 1067 1068 1069 1070 1071 1072 1073 1074 1075 1076 1077 1078 1079 1080 1081 1082 1083 1084 1085 1086 1087 1088 1089 1090 1091 1092 1093 1094 1095 1096 1097 1098 1099 1100 1101 1102 1103 1104 1105 1106 1107 1108 1109 1110 1111 1112 1113 1114 1115 1116 1117 1118 1119 1120 1121 1122 1123 1124 1125 1126 1127 1128 1129 1130 1131 1132 1133 1134 1135 1136 1137 1138 1139 1140 1141 1142 1143 1144 1145 1146 1147 1148 1149 1150 1151 1152 1153 1154 1155 1156 1157 1158 1159 1160 1161 1162 1163 1164 1165 1166 1167 1168 1169 1170 1171 1172 1173 1174 1175 1176 1177 1178 1179 1180 1181 1182 1183 1184 1185 1186 1187 1188 1189 1190 1191 1192 1193 1194 1195 1196 1197 1198 1199 1200 1201 1202 1203 1204 1205 1206 1207 1208 1209 1210 1211 1212 1213 1214 1215 1216 1217 1218 1219 1220 1221 1222 1223 1224 1225 1226 1227 1228 1229 1230 1231 1232 1233 1234 1235 1236 1237 1238 1239 1240 1241 1242 1243 1244 1245 1246 1247 1248 1249 1250 1251 1252 1253 1254 1255 1256 1257 1258 1259 1260 1261 1262 1263 1264 1265 1266 1267 1268 1269 1270 1271 1272 1273 1274 1275 1276 1277 1278 1279 1280 1281 1282 1283 1284 1285 1286 1287 1288 1289 1290 1291 1292 1293 1294 1295 1296 1297 1298 1299 1300 1301 1302 1303 1304 1305 1306 1307 1308 1309 1310 1311 1312 1313 1314 1315 1316 1317 1318 1319 1320 1321 1322 1323 1324 1325 1326 1327 1328 1329 1330 1331 1332 1333 1334 1335 1336 1337 1338 1339 1340 1341 1342 1343 1344 1345 1346 1347 1348 1349 1350 1351 1352 1353 1354 1355 1356 1357 1358 1359 1360 1361 1362 1363 1364 1365 1366 1367 1368 1369 1370 1371 1372 1373 1374 1375 1376 1377 1378 1379 1380 1381 1382 1383 1384 1385 1386 1387 1388 1389 1390 1391 1392 1393 1394 1395 1396 1397 1398 1399 1400 1401
|
#' Predictions from a submodel (after projection)
#'
#' After the projection of the reference model onto a submodel, the linear
#' predictors (for the original or a new dataset) based on that submodel can be
#' calculated by [proj_linpred()]. The linear predictors can also be transformed
#' to response scale. Furthermore, [proj_linpred()] returns the corresponding
#' log predictive density values if the (original or new) dataset contains
#' response values. The [proj_predict()] function draws from the predictive
#' distributions (there is one such distribution for each observation from the
#' original or new dataset) of the submodel that the reference model has been
#' projected onto. If the projection has not been performed yet, both functions
#' call [project()] internally to perform the projection. Both functions can
#' also handle multiple submodels at once (for `object`s of class `vsel` or
#' `object`s returned by a [project()] call to an object of class `vsel`; see
#' [project()]).
#'
#' @name pred-projection
#'
#' @template args-newdata
#' @param object An object returned by [project()] or an object that can be
#' passed to argument `object` of [project()].
#' @param filter_nterms Only applies if `object` is an object returned by
#' [project()]. In that case, `filter_nterms` can be used to filter `object`
#' for only those elements (submodels) with a number of solution terms in
#' `filter_nterms`. Therefore, needs to be a numeric vector or `NULL`. If
#' `NULL`, use all submodels.
#' @param transform For [proj_linpred()] only. A single logical value indicating
#' whether the linear predictor should be transformed to response scale using
#' the inverse-link function (`TRUE`) or not (`FALSE`).
#' @param integrated For [proj_linpred()] only. A single logical value
#' indicating whether the output should be averaged across the projected
#' posterior draws (`TRUE`) or not (`FALSE`).
#' @param nresample_clusters For [proj_predict()] with clustered projection
#' only. Number of draws to return from the predictive distributions of the
#' submodel(s). Not to be confused with argument `nclusters` of [project()]:
#' `nresample_clusters` gives the number of draws (*with* replacement) from
#' the set of clustered posterior draws after projection (with this set being
#' determined by argument `nclusters` of [project()]).
#' @param .seed Pseudorandom number generation (PRNG) seed by which the same
#' results can be obtained again if needed. Passed to argument `seed` of
#' [set.seed()], but can also be `NA` to not call [set.seed()] at all. Here,
#' this seed is used for drawing new group-level effects in case of a
#' multilevel submodel (however, not yet in case of a GAMM) and for drawing
#' from the predictive distributions of the submodel(s) in case of
#' [proj_predict()]. If a clustered projection was performed, then in
#' [proj_predict()], `.seed` is also used for drawing from the set of the
#' projected clusters of posterior draws (see argument `nresample_clusters`).
#' @param ... Arguments passed to [project()] if `object` is not already an
#' object returned by [project()].
#'
#' @return Let \eqn{S_{\mathrm{prj}}}{S_prj} denote the number of (possibly
#' clustered) projected posterior draws (short: the number of projected draws)
#' and \eqn{N} the number of observations. (For [proj_linpred()] with
#' `integrated = TRUE`, we have \eqn{S_{\mathrm{prj}} = 1}{S_prj = 1}.) Then,
#' if the prediction is done for one submodel only (i.e., `length(nterms) == 1
#' || !is.null(solution_terms)` in the call to [project()]):
#' * [proj_linpred()] returns a `list` with elements `pred` (predictions,
#' i.e., the linear predictors, possibly transformed to response scale) and
#' `lpd` (log predictive densities; only calculated if `newdata` is `NULL` or
#' if `newdata` contains response values in the corresponding column). Both
#' elements are \eqn{S_{\mathrm{prj}} \times N}{S_prj x N} matrices.
#' * [proj_predict()] returns an \eqn{S_{\mathrm{prj}} \times N}{S_prj x N}
#' matrix of predictions where \eqn{S_{\mathrm{prj}}}{S_prj} denotes
#' `nresample_clusters` in case of clustered projection.
#'
#' If the prediction is done for more than one submodel, the output from above
#' is returned for each submodel, giving a named `list` with one element for
#' each submodel (the names of this `list` being the numbers of solution terms
#' of the submodels when counting the intercept, too).
#'
#' @examples
#' if (requireNamespace("rstanarm", quietly = TRUE)) {
#' # Data:
#' dat_gauss <- data.frame(y = df_gaussian$y, df_gaussian$x)
#'
#' # The "stanreg" fit which will be used as the reference model (with small
#' # values for `chains` and `iter`, but only for technical reasons in this
#' # example; this is not recommended in general):
#' fit <- rstanarm::stan_glm(
#' y ~ X1 + X2 + X3 + X4 + X5, family = gaussian(), data = dat_gauss,
#' QR = TRUE, chains = 2, iter = 500, refresh = 0, seed = 9876
#' )
#'
#' # Projection onto an arbitrary combination of predictor terms (with a small
#' # value for `nclusters`, but only for the sake of speed in this example;
#' # this is not recommended in general):
#' prj <- project(fit, solution_terms = c("X1", "X3", "X5"), nclusters = 10,
#' seed = 9182)
#'
#' # Predictions (at the training points) from the submodel onto which the
#' # reference model was projected:
#' prjl <- proj_linpred(prj)
#' prjp <- proj_predict(prj, .seed = 7364)
#' }
#'
NULL
## The 'helper' for proj_linpred and proj_predict, ie. does all the
## functionality that is common to them. It essentially checks all the arguments
## and sets them to their respective defaults and then loops over the
## projections. For each projection, it evaluates the fun-function, which
## calculates the linear predictor if called from proj_linpred and samples from
## the predictive distribution if called from proj_predict.
proj_helper <- function(object, newdata, offsetnew, weightsnew, onesub_fun,
filter_nterms = NULL, ...) {
if (inherits(object, "projection") || .is_proj_list(object)) {
if (!is.null(filter_nterms)) {
if (!.is_proj_list(object)) {
object <- list(object)
}
projs <- Filter(
function(x) {
count_terms_chosen(x$solution_terms, add_icpt = TRUE) %in%
(filter_nterms + 1)
},
object
)
if (!length(projs)) {
stop("Invalid `filter_nterms`.")
}
} else {
projs <- object
}
} else {
## reference model or varsel object obtained, so run the projection
projs <- project(object = object, ...)
}
if (!.is_proj_list(projs)) {
projs <- list(projs)
}
if (is.null(newdata)) {
extract_y_ind <- TRUE
} else {
if (!inherits(newdata, c("matrix", "data.frame"))) {
stop("newdata must be a data.frame or a matrix")
}
newdata <- na.fail(newdata)
y_nm <- extract_terms_response(projs[[1]]$refmodel$formula)$response
# Note: At this point, even for the binomial family with > 1 trials, we
# expect only one response column name (the one for the successes), as
# handled by get_refmodel.stanreg(), for example. Therefore, perform the
# following check (needed for `extract_y_ind` later):
stopifnot(length(y_nm) == 1)
### Might be helpful as a starting point in the future, but commented
### because some prediction functions might require only those columns from
### the original dataset which are needed for the corresponding submodel:
# newdata_dummy <- projs[[1]]$refmodel$fetch_data()
# if (is.data.frame(newdata) ||
# (is.matrix(newdata) && !is.null(colnames(newdata)))) {
# if (!setequal(setdiff(colnames(newdata), y_nm),
# setdiff(colnames(newdata_dummy), y_nm))) {
# stop("`newdata` has to contain the same columns as the original ",
# "dataset (apart from ", paste(y_nm, collapse = ", "), ").")
# }
# } else {
# warning("It seems like `newdata` is a matrix without column names. ",
# "It is safer to provide column names.")
# }
###
extract_y_ind <- y_nm %in% colnames(newdata)
}
names(projs) <- sapply(projs, function(proj) {
count_terms_chosen(proj$solution_terms, add_icpt = TRUE)
})
preds <- lapply(projs, function(proj) {
w_o <- proj$refmodel$extract_model_data(
proj$refmodel$fit, newdata = newdata, wrhs = weightsnew, orhs = offsetnew,
extract_y = FALSE
)
weightsnew <- w_o$weights
offsetnew <- w_o$offset
if (length(weightsnew) == 0) {
weightsnew <- rep(1, NROW(newdata %||% proj$refmodel$fetch_data()))
}
if (length(offsetnew) == 0) {
offsetnew <- rep(0, NROW(newdata %||% proj$refmodel$fetch_data()))
}
onesub_fun(proj, newdata = newdata, offset = offsetnew,
weights = weightsnew, extract_y_ind = extract_y_ind, ...)
})
return(.unlist_proj(preds))
}
#' @rdname pred-projection
#' @export
proj_linpred <- function(object, newdata = NULL, offsetnew = NULL,
weightsnew = NULL, filter_nterms = NULL,
transform = FALSE, integrated = FALSE,
.seed = sample.int(.Machine$integer.max, 1), ...) {
# Set seed, but ensure the old RNG state is restored on exit:
if (exists(".Random.seed", envir = .GlobalEnv)) {
rng_state_old <- get(".Random.seed", envir = .GlobalEnv)
on.exit(assign(".Random.seed", rng_state_old, envir = .GlobalEnv))
}
if (!is.na(.seed)) set.seed(.seed)
## proj_helper lapplies fun to each projection in object
proj_helper(
object = object, newdata = newdata,
offsetnew = offsetnew, weightsnew = weightsnew,
onesub_fun = proj_linpred_aux, filter_nterms = filter_nterms,
transform = transform, integrated = integrated, ...
)
}
## function applied to each projected submodel in case of proj_linpred()
proj_linpred_aux <- function(proj, newdata, offset, weights, transform = FALSE,
integrated = FALSE, extract_y_ind = TRUE, ...) {
pred_sub <- proj$refmodel$family$mu_fun(proj$submodl, newdata = newdata,
offset = offset,
transform = transform)
w_o <- proj$refmodel$extract_model_data(
proj$refmodel$fit, newdata = newdata, wrhs = weights,
orhs = offset, extract_y = extract_y_ind
)
ynew <- w_o$y
lpd_out <- compute_lpd(ynew = ynew, pred_sub = pred_sub, proj = proj,
weights = weights, transformed = transform)
if (integrated) {
## average over the projected draws
pred_sub <- pred_sub %*% proj$weights
if (!is.null(lpd_out)) {
lpd_out <- as.matrix(
apply(lpd_out, 1, log_weighted_mean_exp, proj$weights)
)
}
}
return(nlist(pred = t(pred_sub),
lpd = if (is.null(lpd_out)) lpd_out else t(lpd_out)))
}
compute_lpd <- function(ynew, pred_sub, proj, weights, transformed) {
if (!is.null(ynew)) {
## compute also the log-density
target <- .get_standard_y(ynew, weights, proj$refmodel$family)
ynew <- target$y
weights <- target$weights
if (!transformed) {
pred_sub <- proj$refmodel$family$linkinv(pred_sub)
}
return(proj$refmodel$family$ll_fun(pred_sub, proj$dis, ynew, weights))
} else {
return(NULL)
}
}
#' @rdname pred-projection
#' @export
proj_predict <- function(object, newdata = NULL, offsetnew = NULL,
weightsnew = NULL, filter_nterms = NULL,
nresample_clusters = 1000,
.seed = sample.int(.Machine$integer.max, 1), ...) {
# Set seed, but ensure the old RNG state is restored on exit:
if (exists(".Random.seed", envir = .GlobalEnv)) {
rng_state_old <- get(".Random.seed", envir = .GlobalEnv)
on.exit(assign(".Random.seed", rng_state_old, envir = .GlobalEnv))
}
if (!is.na(.seed)) set.seed(.seed)
## proj_helper lapplies fun to each projection in object
proj_helper(
object = object, newdata = newdata,
offsetnew = offsetnew, weightsnew = weightsnew,
onesub_fun = proj_predict_aux, filter_nterms = filter_nterms,
nresample_clusters = nresample_clusters, ...
)
}
## function applied to each projected submodel in case of proj_predict()
proj_predict_aux <- function(proj, newdata, offset, weights,
nresample_clusters = 1000, ...) {
mu <- proj$refmodel$family$mu_fun(proj$submodl,
newdata = newdata,
offset = offset)
if (proj$p_type) {
# In this case, the posterior draws have been clustered.
draw_inds <- sample(x = seq_along(proj$weights), size = nresample_clusters,
replace = TRUE, prob = proj$weights)
} else {
draw_inds <- seq_along(proj$weights)
}
return(do.call(rbind, lapply(draw_inds, function(i) {
proj$refmodel$family$ppd(mu[, i], proj$dis[i], weights)
})))
}
#' Plot summary statistics of a variable selection
#'
#' This is the [plot()] method for `vsel` objects (returned by [varsel()] or
#' [cv_varsel()]).
#'
#' @inheritParams summary.vsel
#' @param x An object of class `vsel` (returned by [varsel()] or [cv_varsel()]).
#' @param thres_elpd Only relevant if `any(stats %in% c("elpd", "mlpd"))`. The
#' threshold for the ELPD difference (taking the submodel's ELPD minus the
#' baseline model's ELPD) above which the submodel's ELPD is considered to be
#' close enough to the baseline model's ELPD. An equivalent rule is applied in
#' case of the MLPD. See [suggest_size()] for a formalization. Supplying `NA`
#' deactivates this.
#'
#' @details As long as the reference model's performance is computable, it is
#' always shown in the plot as a dashed red horizontal line. If `baseline =
#' "best"`, the baseline model's performance is shown as a dotted black
#' horizontal line. If `!is.na(thres_elpd)` and `any(stats %in% c("elpd",
#' "mlpd"))`, the value supplied to `thres_elpd` (which is automatically
#' adapted internally in case of the MLPD or `deltas = FALSE`) is shown as a
#' dot-dashed gray horizontal line for the reference model and, if `baseline =
#' "best"`, as a long-dashed green horizontal line for the baseline model.
#'
#' @examples
#' if (requireNamespace("rstanarm", quietly = TRUE)) {
#' # Data:
#' dat_gauss <- data.frame(y = df_gaussian$y, df_gaussian$x)
#'
#' # The "stanreg" fit which will be used as the reference model (with small
#' # values for `chains` and `iter`, but only for technical reasons in this
#' # example; this is not recommended in general):
#' fit <- rstanarm::stan_glm(
#' y ~ X1 + X2 + X3 + X4 + X5, family = gaussian(), data = dat_gauss,
#' QR = TRUE, chains = 2, iter = 500, refresh = 0, seed = 9876
#' )
#'
#' # Variable selection (here without cross-validation and with small values
#' # for `nterms_max`, `nclusters`, and `nclusters_pred`, but only for the
#' # sake of speed in this example; this is not recommended in general):
#' vs <- varsel(fit, nterms_max = 3, nclusters = 5, nclusters_pred = 10,
#' seed = 5555)
#' print(plot(vs))
#' }
#'
#' @export
plot.vsel <- function(
x,
nterms_max = NULL,
stats = "elpd",
deltas = FALSE,
alpha = 2 * pnorm(-1),
baseline = if (!inherits(x$refmodel, "datafit")) "ref" else "best",
thres_elpd = NA,
...
) {
object <- x
.validate_vsel_object_stats(object, stats)
baseline <- .validate_baseline(object$refmodel, baseline, deltas)
## compute all the statistics and fetch only those that were asked
nfeat_baseline <- .get_nfeat_baseline(object, baseline, stats[1])
tab <- rbind(
.tabulate_stats(object, stats, alpha = alpha,
nfeat_baseline = nfeat_baseline, ...),
.tabulate_stats(object, stats, alpha = alpha, ...)
)
stats_table <- subset(tab, tab$delta == deltas)
stats_ref <- subset(stats_table, stats_table$size == Inf)
stats_sub <- subset(stats_table, stats_table$size != Inf)
stats_bs <- subset(stats_table, stats_table$size == nfeat_baseline)
if (NROW(stats_sub) == 0) {
stop(ifelse(length(stats) > 1, "Statistics ", "Statistic "),
paste0(unique(stats), collapse = ", "), " not available.")
}
max_size <- max(stats_sub$size)
if (max_size == 0) {
stop("plot.vsel() cannot be used if there is just the intercept-only ",
"submodel.")
}
if (is.null(nterms_max)) {
nterms_max <- max_size
} else {
# don't exceed the maximum submodel size
nterms_max <- min(nterms_max, max_size)
}
if (nterms_max < 1) {
stop("nterms_max must be at least 1")
}
if (baseline == "ref") {
baseline_pretty <- "reference model"
} else {
baseline_pretty <- "best submodel"
}
if (deltas) {
ylab <- paste0("Difference vs. ", baseline_pretty)
} else {
ylab <- "Value"
}
# make sure that breaks on the x-axis are integers
n_opts <- c(4, 5, 6)
n_possible <- Filter(function(x) nterms_max %% x == 0, n_opts)
n_alt <- n_opts[which.min(n_opts - (nterms_max %% n_opts))]
nb <- ifelse(length(n_possible) > 0, min(n_possible), n_alt)
by <- ceiling(nterms_max / min(nterms_max, nb))
breaks <- seq(0, by * min(nterms_max, nb), by)
minor_breaks <- if (by %% 2 == 0) {
seq(by / 2, by * min(nterms_max, nb), by)
} else {
NULL
}
if (!is.na(thres_elpd)) {
# Table of thresholds used in extended suggest_size() heuristics (only in
# case of ELPD and MLPD):
nobs_test <- nrow(object$d_test$data %||% object$refmodel$fetch_data())
thres_tab_basic <- data.frame(statistic = c("elpd", "mlpd"),
thres = c(thres_elpd, thres_elpd / nobs_test))
}
# plot submodel results
pp <- ggplot(data = subset(stats_sub, stats_sub$size <= nterms_max),
mapping = aes(x = .data[["size"]]))
if (!all(is.na(stats_ref$se))) {
# add reference model results if they exist
pp <- pp +
# The reference model's dashed red horizontal line:
geom_hline(aes(yintercept = .data[["value"]]),
data = stats_ref,
color = "darkred", linetype = 2)
if (!is.na(thres_elpd)) {
# The thresholds used in extended suggest_size() heuristics:
thres_tab_ref <- merge(thres_tab_basic,
stats_ref[, c("statistic", "value")],
by = "statistic")
thres_tab_ref$thres <- thres_tab_ref$value + thres_tab_ref$thres
pp <- pp +
geom_hline(aes(yintercept = .data[["thres"]]),
data = thres_tab_ref,
color = "gray50", linetype = "dotdash")
}
}
if (baseline != "ref") {
# add baseline model results (if different from the reference model)
pp <- pp +
# The baseline model's dotted black horizontal line:
geom_hline(aes(yintercept = .data[["value"]]),
data = stats_bs,
color = "black", linetype = 3)
if (!is.na(thres_elpd)) {
# The thresholds used in extended suggest_size() heuristics:
thres_tab_bs <- merge(thres_tab_basic,
stats_bs[, c("statistic", "value")],
by = "statistic")
thres_tab_bs$thres <- thres_tab_bs$value + thres_tab_bs$thres
pp <- pp +
geom_hline(aes(yintercept = .data[["thres"]]),
data = thres_tab_bs,
color = "darkgreen", linetype = "longdash")
}
}
pp <- pp +
# The submodel-specific graphical elements:
geom_linerange(aes(ymin = .data[["lq"]], ymax = .data[["uq"]],
alpha = 0.1)) +
geom_line(aes(y = .data[["value"]])) +
geom_point(aes(y = .data[["value"]])) +
# Miscellaneous stuff (axes, theming, faceting, etc.):
scale_x_continuous(
breaks = breaks, minor_breaks = minor_breaks,
limits = c(min(breaks), max(breaks))
) +
labs(x = "Submodel size (number of predictor terms)", y = ylab) +
theme(legend.position = "none") +
facet_grid(statistic ~ ., scales = "free_y")
return(pp)
}
#' Summary statistics of a variable selection
#'
#' This is the [summary()] method for `vsel` objects (returned by [varsel()] or
#' [cv_varsel()]).
#'
#' @param object An object of class `vsel` (returned by [varsel()] or
#' [cv_varsel()]).
#' @param nterms_max Maximum submodel size for which the statistics are
#' calculated. Using `NULL` is effectively the same as using
#' `length(solution_terms(object))`. Note that `nterms_max` does not count the
#' intercept, so use `nterms_max = 0` for the intercept-only model. For
#' [plot.vsel()], `nterms_max` must be at least `1`.
#' @param stats One or more character strings determining which performance
#' statistics (i.e., utilities or losses) to calculate. Available statistics
#' are:
#' * `"elpd"`: (expected) sum of log predictive densities.
#' * `"mlpd"`: mean log predictive density, that is, `"elpd"` divided by the
#' number of observations.
#' * `"mse"`: mean squared error.
#' * `"rmse"`: root mean squared error. For the corresponding standard error
#' and lower and upper confidence interval bounds, bootstrapping is used.
#' * `"acc"` (or its alias, `"pctcorr"`): classification accuracy
#' ([binomial()] family only).
#' * `"auc"`: area under the ROC curve ([binomial()] family only). For the
#' corresponding standard error and lower and upper confidence interval
#' bounds, bootstrapping is used.
#' @param type One or more items from `"mean"`, `"se"`, `"lower"`, `"upper"`,
#' `"diff"`, and `"diff.se"` indicating which of these to compute for each
#' item from `stats` (mean, standard error, lower and upper confidence
#' interval bounds, mean difference to the corresponding statistic of the
#' reference model, and standard error of this difference, respectively). The
#' confidence interval bounds belong to normal-approximation (or bootstrap;
#' see argument `stats`) confidence intervals with (nominal) coverage `1 -
#' alpha`. Items `"diff"` and `"diff.se"` are only supported if `deltas` is
#' `FALSE`.
#' @param deltas If `TRUE`, the submodel statistics are estimated as differences
#' from the baseline model (see argument `baseline`). With a "difference
#' *from* the baseline model", we mean to take the submodel statistic minus
#' the baseline model statistic (not the other way round).
#' @param alpha A number determining the (nominal) coverage `1 - alpha` of the
#' normal-approximation (or bootstrap; see argument `stats`) confidence
#' intervals. For example, in case of the normal approximation, `alpha = 2 *
#' pnorm(-1)` corresponds to a confidence interval stretching by one standard
#' error on either side of the point estimate.
#' @param baseline For [summary.vsel()]: Only relevant if `deltas` is `TRUE`.
#' For [plot.vsel()]: Always relevant. Either `"ref"` or `"best"`, indicating
#' whether the baseline is the reference model or the best submodel found (in
#' terms of `stats[1]`), respectively.
#' @param ... Arguments passed to the internal function which is used for
#' bootstrapping (if applicable; see argument `stats`). Currently, relevant
#' arguments are `B` (the number of bootstrap samples, defaulting to `2000`)
#' and `seed` (see [set.seed()], defaulting to
#' `sample.int(.Machine$integer.max, 1)`, but can also be `NA` to not call
#' [set.seed()] at all).
#'
#' @return An object of class `vselsummary`.
#'
#' @examples
#' if (requireNamespace("rstanarm", quietly = TRUE)) {
#' # Data:
#' dat_gauss <- data.frame(y = df_gaussian$y, df_gaussian$x)
#'
#' # The "stanreg" fit which will be used as the reference model (with small
#' # values for `chains` and `iter`, but only for technical reasons in this
#' # example; this is not recommended in general):
#' fit <- rstanarm::stan_glm(
#' y ~ X1 + X2 + X3 + X4 + X5, family = gaussian(), data = dat_gauss,
#' QR = TRUE, chains = 2, iter = 500, refresh = 0, seed = 9876
#' )
#'
#' # Variable selection (here without cross-validation and with small values
#' # for `nterms_max`, `nclusters`, and `nclusters_pred`, but only for the
#' # sake of speed in this example; this is not recommended in general):
#' vs <- varsel(fit, nterms_max = 3, nclusters = 5, nclusters_pred = 10,
#' seed = 5555)
#' print(summary(vs))
#' }
#'
#' @export
summary.vsel <- function(
object,
nterms_max = NULL,
stats = "elpd",
type = c("mean", "se", "diff", "diff.se"),
deltas = FALSE,
alpha = 2 * pnorm(-1),
baseline = if (!inherits(object$refmodel, "datafit")) "ref" else "best",
...
) {
.validate_vsel_object_stats(object, stats)
baseline <- .validate_baseline(object$refmodel, baseline, deltas)
# Initialize output:
out <- list(
formula = object$refmodel$formula,
family = object$refmodel$family,
nobs_train = nrow(object$refmodel$fetch_data()),
nobs_test = nrow(object$d_test$data),
method = object$method,
cv_method = object$cv_method,
validate_search = object$validate_search,
clust_used_search = object$clust_used_search,
clust_used_eval = object$clust_used_eval,
nprjdraws_search = object$nprjdraws_search,
nprjdraws_eval = object$nprjdraws_eval
)
if (isTRUE(out$validate_search)) {
out$search_included <- "search included"
} else {
out$search_included <- "search not included"
}
class(out) <- "vselsummary"
# The full table of the performance statistics from `stats`:
if (deltas) {
nfeat_baseline <- .get_nfeat_baseline(object, baseline, stats[1])
tab <- .tabulate_stats(object, stats, alpha = alpha,
nfeat_baseline = nfeat_baseline, ...)
} else {
tab <- .tabulate_stats(object, stats, alpha = alpha, ...)
}
stats_table <- subset(tab, tab$size != Inf) %>%
dplyr::group_by(.data$statistic) %>%
dplyr::slice_head(n = length(object$solution_terms) + 1)
# Get the names of `stats_table` corresponding to all items from `type`, and
# set up their suffices in the table to be returned:
if (deltas) {
type <- setdiff(type, c("diff", "diff.se"))
}
qty <- unname(sapply(type, function(t) {
switch(t, mean = "value", upper = "uq", lower = "lq", se = "se",
diff = "diff", diff.se = "diff.se")
}))
if (!is.null(object$cv_method)) {
cv_suffix <- unname(switch(object$cv_method,
LOO = ".loo", kfold = ".kfold"))
} else {
cv_suffix <- NULL
}
if (length(stats) > 1) {
suffix <- lapply(stats, function(s) {
unname(sapply(type, function(t) {
paste0(s,
switch(t, mean = cv_suffix, upper = ".upper", lower = ".lower",
se = ".se", diff = ".diff", diff.se = ".diff.se"))
}))
})
} else {
suffix <- list(unname(sapply(type, function(t) {
switch(t, mean = paste0(stats, cv_suffix), upper = "upper",
lower = "lower", se = "se",
diff = "diff", diff.se = "diff.se")
})))
}
# Construct the (almost) final output table by looping over all requested
# statistics, reshaping the corresponding data in `stats_table`, and selecting
# only the requested `type`s:
arr <- data.frame(size = unique(stats_table$size),
solution_terms = c(NA, object$solution_terms))
for (i in seq_along(stats)) {
temp <- subset(stats_table, stats_table$statistic == stats[i], qty)
newnames <- suffix[[i]]
colnames(temp) <- newnames
arr <- cbind(arr, temp)
}
# Output (and also cut `arr` at `nterms_max` (if provided)):
if (is.null(nterms_max)) {
nterms_max <- max(stats_table$size)
}
out$nterms <- nterms_max
if ("pct_solution_terms_cv" %in% names(object)) {
out$pct_solution_terms_cv <- object$pct_solution_terms_cv
}
out$suggested_size <- object$suggested_size
out$selection <- subset(arr, arr$size <= nterms_max)
return(out)
}
#' Print summary of variable selection
#'
#' This is the [print()] method for summary objects created by [summary.vsel()].
#' It displays a summary of the results of the projection predictive variable
#' selection.
#'
#' @param x An object of class `vselsummary`.
#' @param digits Number of decimal places to be reported.
#' @param ... Currently ignored.
#'
#' @return The output of [summary.vsel()] (invisible).
#'
#' @export
print.vselsummary <- function(x, digits = 1, ...) {
print(x$family)
cat("Formula: ")
print(x$formula, showEnv = FALSE)
if (is.null(x$nobs_test)) {
cat(paste0("Observations: ", x$nobs_train, "\n"))
} else {
cat(paste0("Observations (training set): ", x$nobs_train, "\n"))
cat(paste0("Observations (test set): ", x$nobs_test, "\n"))
}
if (!is.null(x$cv_method)) {
cat(paste("CV method:", x$cv_method, x$search_included, "\n"))
}
cat(paste0("Search method: ", x$method, ", maximum number of terms ",
max(x$selection$size), "\n"))
cat("Number of ", ifelse(x$clust_used_search, "clusters", "draws"),
" used for selection: ", x$nprjdraws_search, "\n", sep = "")
cat("Number of ", ifelse(x$clust_used_eval, "clusters", "draws"),
" used for prediction: ", x$nprjdraws_eval, "\n", sep = "")
cat(paste0("Suggested Projection Size: ", x$suggested_size, "\n"))
cat("\n")
cat("Selection Summary:\n")
where <- "tidyselect" %:::% "where"
print(
x$selection %>% dplyr::mutate(dplyr::across(
where(is.numeric),
~ round(., digits)
)),
row.names = FALSE
)
return(invisible(x))
}
#' Print results (summary) of variable selection
#'
#' This is the [print()] method for `vsel` objects (returned by [varsel()] or
#' [cv_varsel()]). It displays a summary of the results of the projection
#' predictive variable selection by first calling [summary.vsel()] and then
#' [print.vselsummary()].
#'
#' @param x An object of class `vsel` (returned by [varsel()] or [cv_varsel()]).
#' @param ... Further arguments passed to [summary.vsel()] (apart from
#' argument `digits` which is passed to [print.vselsummary()]).
#'
#' @return The output of [summary.vsel()] (invisible).
#'
#' @export
print.vsel <- function(x, ...) {
dot_args <- list(...)
stats <- do.call(summary.vsel, c(list(object = x),
dot_args[names(dot_args) != "digits"]))
do.call(print, c(list(x = stats),
dot_args[names(dot_args) == "digits"]))
return(invisible(stats))
}
#' Suggest submodel size
#'
#' This function can suggest an appropriate submodel size based on a decision
#' rule described in section "Details" below. Note that this decision is quite
#' heuristic and should be interpreted with caution. It is recommended to
#' examine the results via [plot.vsel()] and/or [summary.vsel()] and to make the
#' final decision based on what is most appropriate for the problem at hand.
#'
#' @param object An object of class `vsel` (returned by [varsel()] or
#' [cv_varsel()]).
#' @param stat Performance statistic (i.e., utility or loss) used for the
#' decision. See argument `stats` of [summary.vsel()] for possible choices.
#' @param pct A number giving the proportion (*not* percents) of the *relative*
#' null model utility one is willing to sacrifice. See section "Details" below
#' for more information.
#' @param type Either `"upper"` or `"lower"` determining whether the decision is
#' based on the upper or lower confidence interval bound, respectively. See
#' section "Details" below for more information.
#' @param thres_elpd Only relevant if `stat %in% c("elpd", "mlpd")`. The
#' threshold for the ELPD difference (taking the submodel's ELPD minus the
#' baseline model's ELPD) above which the submodel's ELPD is considered to be
#' close enough to the baseline model's ELPD. An equivalent rule is applied in
#' case of the MLPD. See section "Details" for a formalization. Supplying `NA`
#' deactivates this.
#' @param warnings Mainly for internal use. A single logical value indicating
#' whether to throw warnings if automatic suggestion fails. Usually there is
#' no reason to set this to `FALSE`.
#' @param ... Arguments passed to [summary.vsel()], except for `object`, `stats`
#' (which is set to `stat`), `type`, and `deltas` (which is set to `TRUE`).
#' See section "Details" below for some important arguments which may be
#' passed here.
#'
#' @details In general (beware of special extensions below), the suggested model
#' size is the smallest model size \eqn{k \in \{0, 1, ...,
#' \texttt{nterms\_max}\}}{{k = 0, 1, ..., nterms_max}} for which either the
#' lower or upper bound (depending on argument `type`) of the
#' normal-approximation (or bootstrap; see argument `stat`) confidence
#' interval (with nominal coverage `1 - alpha`; see argument `alpha` of
#' [summary.vsel()]) for \eqn{U_k - U_{\mathrm{base}}}{U_k - U_base} (with
#' \eqn{U_k} denoting the \eqn{k}-th submodel's true utility and
#' \eqn{U_{\mathrm{base}}}{U_base} denoting the baseline model's true utility)
#' falls above (or is equal to) \deqn{\texttt{pct} \cdot (u_0 -
#' u_{\mathrm{base}})}{pct * (u_0 - u_base)} where \eqn{u_0} denotes the null
#' model's estimated utility and \eqn{u_{\mathrm{base}}}{u_base} the baseline
#' model's estimated utility. The baseline model is either the reference model
#' or the best submodel found (see argument `baseline` of [summary.vsel()]).
#'
#' If `!is.na(thres_elpd)` and `stat = "elpd"`, the decision rule above is
#' extended: The suggested model size is then the smallest model size \eqn{k}
#' fulfilling the rule above *or* \eqn{u_k - u_{\mathrm{base}} >
#' \texttt{thres\_elpd}}{u_k - u_base > thres_elpd}. Correspondingly, in case
#' of `stat = "mlpd"` (and `!is.na(thres_elpd)`), the suggested model size is
#' the smallest model size \eqn{k} fulfilling the rule above *or* \eqn{u_k -
#' u_{\mathrm{base}} > \frac{\texttt{thres\_elpd}}{N}}{u_k - u_base >
#' thres_elpd / N} with \eqn{N} denoting the number of observations.
#'
#' For example (disregarding the special extensions in case of `stat = "elpd"`
#' or `stat = "mlpd"`), `alpha = 2 * pnorm(-1)`, `pct = 0`, and `type =
#' "upper"` means that we select the smallest model size for which the upper
#' bound of the 68% confidence interval for \eqn{U_k - U_{\mathrm{base}}}{U_k
#' - U_base} exceeds (or is equal to) zero, that is (if `stat` is a
#' performance statistic for which the normal approximation is used, not the
#' bootstrap), for which the submodel's utility estimate is at most one
#' standard error smaller than the baseline model's utility estimate (with
#' that standard error referring to the utility *difference*).
#'
#' @note Loss statistics like the root mean squared error (RMSE) and the mean
#' squared error (MSE) are converted to utilities by multiplying them by `-1`,
#' so a call such as `suggest_size(object, stat = "rmse", type = "upper")`
#' finds the smallest model size whose upper confidence interval bound for the
#' *negative* RMSE or MSE exceeds the cutoff (or, equivalently, has the lower
#' confidence interval bound for the RMSE or MSE below the cutoff). This is
#' done to make the interpretation of argument `type` the same regardless of
#' argument `stat`.
#'
#' @return A single numeric value, giving the suggested submodel size (or `NA`
#' if the suggestion failed).
#'
#' The intercept is not counted by [suggest_size()], so a suggested size of
#' zero stands for the intercept-only model.
#'
#' @examples
#' if (requireNamespace("rstanarm", quietly = TRUE)) {
#' # Data:
#' dat_gauss <- data.frame(y = df_gaussian$y, df_gaussian$x)
#'
#' # The "stanreg" fit which will be used as the reference model (with small
#' # values for `chains` and `iter`, but only for technical reasons in this
#' # example; this is not recommended in general):
#' fit <- rstanarm::stan_glm(
#' y ~ X1 + X2 + X3 + X4 + X5, family = gaussian(), data = dat_gauss,
#' QR = TRUE, chains = 2, iter = 500, refresh = 0, seed = 9876
#' )
#'
#' # Variable selection (here without cross-validation and with small values
#' # for `nterms_max`, `nclusters`, and `nclusters_pred`, but only for the
#' # sake of speed in this example; this is not recommended in general):
#' vs <- varsel(fit, nterms_max = 3, nclusters = 5, nclusters_pred = 10,
#' seed = 5555)
#' print(suggest_size(vs))
#' }
#'
#' @export
suggest_size <- function(object, ...) {
UseMethod("suggest_size")
}
#' @rdname suggest_size
#' @export
suggest_size.vsel <- function(
object,
stat = "elpd",
pct = 0,
type = "upper",
thres_elpd = NA,
warnings = TRUE,
...
) {
if (length(stat) > 1) {
stop("Only one statistic can be specified to suggest_size")
}
stats <- summary.vsel(object,
stats = stat,
type = c("mean", "upper", "lower"),
deltas = TRUE,
...)
nobs_test <- stats$nobs_test %||% stats$nobs_train
stats <- stats$selection
if (.is_util(stat)) {
sgn <- 1
} else {
sgn <- -1
if (type == "upper") {
type <- "lower"
} else {
type <- "upper"
}
}
if (!is.null(object$cv_method)) {
suffix <- paste0(".", tolower(object$cv_method))
} else {
suffix <- ""
}
bound <- type
util_null <- sgn * unlist(unname(subset(
stats, stats$size == 0,
paste0(stat, suffix)
)))
util_cutoff <- pct * util_null
if (is.na(thres_elpd)) {
thres_elpd <- Inf
}
res <- subset(
stats,
(sgn * stats[, bound] >= util_cutoff) |
(stat == "elpd" & stats[, paste0(stat, suffix)] > thres_elpd) |
(stat == "mlpd" & stats[, paste0(stat, suffix)] > thres_elpd / nobs_test),
"size"
)
if (nrow(res) == 0) {
## no submodel satisfying the criterion found
if (object$nterms_max == object$nterms_all) {
suggested_size <- object$nterms_max
} else {
suggested_size <- NA
if (warnings) {
warning("Could not suggest submodel size. Investigate plot.vsel() to ",
"identify if the search was terminated too early. If this is ",
"the case, run variable selection with larger value for ",
"`nterms_max`.")
}
}
} else {
# Above, `object$nterms_max` includes the intercept (if present), so we need
# to include it here, too:
suggested_size <- min(res) + object$refmodel$intercept
}
return(suggested_size - object$refmodel$intercept)
}
# Make the parameter name(s) for the intercept(s) adhere to the naming scheme
# `nm_scheme`:
mknms_icpt <- function(nms, nm_scheme) {
if (nm_scheme == "brms") {
nms <- gsub("\\(Intercept\\)", "Intercept", nms)
}
return(nms)
}
# Replace the names of an object containing population-level effects so that
# these names adhere to the naming scheme `nm_scheme`:
replace_population_names <- function(population_effects, nm_scheme) {
if (nm_scheme == "brms") {
# Use brms's naming convention:
names(population_effects) <- mknms_icpt(
names(population_effects),
nm_scheme = nm_scheme
)
if (length(population_effects) > 0) {
# We could also use `recycle0 = TRUE` here, but that would
# require R >= 4.0.1.
names(population_effects) <- paste0("b_", names(population_effects))
}
}
return(population_effects)
}
# Make the parameter names for variance components adhere to the naming scheme
# `nm_scheme`:
mknms_VarCorr <- function(nms, nm_scheme, coef_nms) {
grp_nms <- names(coef_nms)
# We will have to search for the substrings "\\sd\\." and "\\cor\\.", so make
# sure that they don't occur in the coefficient or group names:
stopifnot(!any(grepl("\\.sd\\.|\\.cor\\.", grp_nms)))
stopifnot(!any(unlist(lapply(
coef_nms, grepl, pattern = "\\.sd\\.|\\.cor\\."
))))
if (nm_scheme == "brms") {
nms <- mknms_icpt(nms, nm_scheme = nm_scheme)
# Escape special characters in the group names and collapse them with "|":
grp_nms_esc <- paste(gsub("\\)", "\\\\)",
gsub("\\(", "\\\\(",
gsub("\\.", "\\\\.", grp_nms))),
collapse = "|")
# Move the substrings "\\.sd\\." and "\\.cor\\." up front (i.e. in front of
# the group name), replace their dots, and replace the dot following the
# group name by double underscores:
nms <- sub(paste0("(", grp_nms_esc, ")\\.(sd|cor)\\."),
"\\2_\\1__",
nms)
}
for (coef_nms_i in coef_nms) {
if (nm_scheme == "brms") {
coef_nms_i <- mknms_icpt(coef_nms_i, nm_scheme = nm_scheme)
}
# Escape special characters in the coefficient names and collapse them
# with "|":
coef_nms_i_esc <- paste(gsub("\\)", "\\\\)",
gsub("\\(", "\\\\(",
gsub("\\.", "\\\\.", coef_nms_i))),
collapse = "|")
if (nm_scheme == "brms") {
# Replace dots between coefficient names by double underscores:
nms <- gsub(paste0("(", coef_nms_i_esc, ")\\."),
"\\1__",
nms)
} else if (nm_scheme == "rstanarm") {
# For the substring "\\.sd\\.":
nms <- sub(paste0("\\.sd\\.(", coef_nms_i_esc, ")$"),
":\\1,\\1",
nms)
# For the substring "\\.cor\\.":
nms <- sub(
paste0("\\.cor\\.(", coef_nms_i_esc, ")\\.(", coef_nms_i_esc, ")$"),
":\\2,\\1",
nms
)
}
}
if (nm_scheme == "rstanarm") {
nms <- paste0("Sigma[", nms, "]")
}
return(nms)
}
# Make the parameter names for group-level effects adhere to the naming scheme
# `nm_scheme`:
mknms_ranef <- function(nms, nm_scheme, coef_nms) {
if (nm_scheme == "brms") {
nms <- mknms_icpt(nms, nm_scheme = nm_scheme)
}
for (coef_nms_idx in seq_along(coef_nms)) {
coef_nms_i <- coef_nms[[coef_nms_idx]]
if (nm_scheme == "brms") {
coef_nms_i <- mknms_icpt(coef_nms_i, nm_scheme = nm_scheme)
}
# Escape special characters in the coefficient names and collapse them with
# "|":
coef_nms_i_esc <- paste(gsub("\\)", "\\\\)",
gsub("\\(", "\\\\(",
gsub("\\.", "\\\\.", coef_nms_i))),
collapse = "|")
if (nm_scheme == "brms") {
# Put the part following the group name in square brackets, reorder its
# two subparts (coefficient name and group level), and separate them by
# comma:
nms <- sub(paste0("\\.(", coef_nms_i_esc, ")\\.(.*)$"),
"[\\2,\\1]",
nms)
} else if (nm_scheme == "rstanarm") {
grp_nm_i <- names(coef_nms)[coef_nms_idx]
# Escape special characters in the group name:
grp_nm_i_esc <- gsub("\\)", "\\\\)",
gsub("\\(", "\\\\(",
gsub("\\.", "\\\\.", grp_nm_i)))
# Re-arrange as required:
nms <- sub(paste0("^(", grp_nm_i_esc, ")\\.(", coef_nms_i_esc, ")\\."),
"\\2 \\1:",
nms)
}
}
if (nm_scheme == "brms") {
nms <- paste0("r_", nms)
} else if (nm_scheme == "rstanarm") {
nms <- paste0("b[", nms, "]")
}
return(nms)
}
#' @noRd
#' @export
coef.subfit <- function(object, ...) {
return(with(object, c(
"(Intercept)" = alpha,
setNames(beta, colnames(x))
)))
}
# An (internal) generic for extracting the coefficients and any other parameter
# estimates from a submodel fit.
get_subparams <- function(x, ...) {
UseMethod("get_subparams")
}
#' @noRd
#' @export
get_subparams.lm <- function(x, ...) {
return(coef(x) %>%
replace_population_names(...))
}
#' @noRd
#' @export
get_subparams.subfit <- function(x, ...) {
return(get_subparams.lm(x, ...))
}
#' @noRd
#' @export
get_subparams.glm <- function(x, ...) {
return(get_subparams.lm(x, ...))
}
#' @noRd
#' @export
get_subparams.glmmPQL <- function(x, ...) {
### TODO (glmmPQL): Implement the get_subparams.glmmPQL() method:
stop("Under construction (the get_subparams.glmmPQL() method needs to be ",
"implemented.")
###
}
#' @noRd
#' @export
get_subparams.lmerMod <- function(x, ...) {
population_effects <- lme4::fixef(x) %>%
replace_population_names(...)
# Extract variance components:
group_vc_raw <- lme4::VarCorr(x)
group_vc <- unlist(lapply(group_vc_raw, function(vc_obj) {
# The vector of standard deviations:
vc_out <- c("sd" = attr(vc_obj, "stddev"))
# The correlation matrix:
cor_mat <- attr(vc_obj, "correlation")
if (!is.null(cor_mat)) {
# Auxiliary object: A matrix of the same dimension as cor_mat, but
# containing the paste()-d dimnames:
cor_mat_nms <- matrix(
apply(expand.grid(rownames(cor_mat),
colnames(cor_mat)),
1,
paste,
collapse = "."),
nrow = nrow(cor_mat),
ncol = ncol(cor_mat)
)
# Note: With upper.tri() (and also with lower.tri()), the indexed matrix
# is coerced to a vector in column-major order:
vc_out <- c(
vc_out,
"cor" = setNames(
cor_mat[upper.tri(cor_mat)],
cor_mat_nms[upper.tri(cor_mat_nms)]
)
)
}
return(vc_out)
}))
names(group_vc) <- mknms_VarCorr(
names(group_vc),
coef_nms = lapply(group_vc_raw, rownames),
...
)
# Extract the group-level effects themselves:
group_ef <- unlist(lapply(lme4::ranef(x, condVar = FALSE), function(ranef_df) {
ranef_mat <- as.matrix(ranef_df)
setNames(
as.vector(ranef_mat),
apply(expand.grid(rownames(ranef_mat),
colnames(ranef_mat)),
1,
function(row_col_nm) {
paste(rev(row_col_nm), collapse = ".")
})
)
}))
names(group_ef) <- mknms_ranef(
names(group_ef),
coef_nms = lapply(group_vc_raw, rownames),
...
)
return(c(population_effects, group_vc, group_ef))
}
#' @noRd
#' @export
get_subparams.glmerMod <- function(x, ...) {
return(get_subparams.lmerMod(x, ...))
}
#' @noRd
#' @export
get_subparams.gamm4 <- function(x, ...) {
return(get_subparams.lm(x, ...))
}
#' Extract projected parameter draws
#'
#' This is the [as.matrix()] method for `projection` objects (returned by
#' [project()], possibly as elements of a `list`). It extracts the projected
#' parameter draws and returns them as a matrix.
#'
#' @param x An object of class `projection` (returned by [project()], possibly
#' as elements of a `list`).
#' @param nm_scheme The naming scheme for the columns of the output matrix.
#' Either `"auto"`, `"rstanarm"`, or `"brms"`, where `"auto"` chooses
#' `"rstanarm"` or `"brms"` based on the class of the reference model fit (and
#' uses `"rstanarm"` if the reference model fit is of an unknown class).
#' @param ... Currently ignored.
#'
#' @return An \eqn{S_{\mathrm{prj}} \times Q}{S_prj x Q} matrix of projected
#' draws, with \eqn{S_{\mathrm{prj}}}{S_prj} denoting the number of projected
#' draws and \eqn{Q} the number of parameters.
#'
#' @examples
#' if (requireNamespace("rstanarm", quietly = TRUE)) {
#' # Data:
#' dat_gauss <- data.frame(y = df_gaussian$y, df_gaussian$x)
#'
#' # The "stanreg" fit which will be used as the reference model (with small
#' # values for `chains` and `iter`, but only for technical reasons in this
#' # example; this is not recommended in general):
#' fit <- rstanarm::stan_glm(
#' y ~ X1 + X2 + X3 + X4 + X5, family = gaussian(), data = dat_gauss,
#' QR = TRUE, chains = 2, iter = 500, refresh = 0, seed = 9876
#' )
#'
#' # Projection onto an arbitrary combination of predictor terms (with a small
#' # value for `nclusters`, but only for the sake of speed in this example;
#' # this is not recommended in general):
#' prj <- project(fit, solution_terms = c("X1", "X3", "X5"), nclusters = 10,
#' seed = 9182)
#' prjmat <- as.matrix(prj)
#' ### For further post-processing (e.g., via packages `bayesplot` and
#' ### `posterior`), we will here ignore the fact that clustering was used
#' ### (due to argument `nclusters` above). CAUTION: Ignoring the clustering
#' ### is not recommended and only shown here for demonstrative purposes. A
#' ### better solution for the clustering case is explained below.
#' # If the `bayesplot` package is installed, the output from
#' # as.matrix.projection() can be used there. For example:
#' if (requireNamespace("bayesplot", quietly = TRUE)) {
#' print(bayesplot::mcmc_intervals(prjmat))
#' }
#' # If the `posterior` package is installed, the output from
#' # as.matrix.projection() can be used there. For example:
#' if (requireNamespace("posterior", quietly = TRUE)) {
#' prjdrws <- posterior::as_draws_matrix(prjmat)
#' print(posterior::summarize_draws(
#' prjdrws,
#' "median", "mad", function(x) quantile(x, probs = c(0.025, 0.975))
#' ))
#' }
#' ### Better solution for post-processing clustered draws (e.g., via
#' ### `bayesplot` or `posterior`): Don't ignore the fact that clustering was
#' ### used. Instead, resample the clusters according to their weights (e.g.,
#' ### via posterior::resample_draws()). However, this requires access to the
#' ### cluster weights which is not implemented in `projpred` yet. This
#' ### example will be extended as soon as those weights are accessible.
#' }
#'
#' @method as.matrix projection
#' @export
as.matrix.projection <- function(x, nm_scheme = "auto", ...) {
if (inherits(x$refmodel, "datafit")) {
stop("as.matrix.projection() does not work for objects based on ",
"\"datafit\"s.")
}
if (x$p_type) {
warning("Note that projection was performed using clustering and the ",
"clusters might have different weights.")
}
if (identical(nm_scheme, "auto")) {
if (inherits(x$refmodel$fit, "brmsfit")) {
nm_scheme <- "brms"
} else {
nm_scheme <- "rstanarm"
}
}
stopifnot(nm_scheme %in% c("rstanarm", "brms"))
res <- do.call(rbind, lapply(x$submodl, get_subparams, nm_scheme = nm_scheme))
if (x$refmodel$family$family == "gaussian") res <- cbind(res, sigma = x$dis)
return(res)
}
#' Create cross-validation folds
#'
#' These are helper functions to create cross-validation (CV) folds, i.e., to
#' split up the indices from 1 to `n` into `K` subsets ("folds") for
#' \eqn{K}-fold CV. These functions are potentially useful when creating the
#' `cvfits` and `cvfun` arguments for [init_refmodel()]. The return value is
#' different for these two methods, see below for details.
#'
#' @name cv-indices
#'
#' @param n Number of observations.
#' @param K Number of folds. Must be at least 2 and not exceed `n`.
#' @param out Format of the output, either `"foldwise"` or `"indices"`. See
#' below for details.
#' @param seed Pseudorandom number generation (PRNG) seed by which the same
#' results can be obtained again if needed. Passed to argument `seed` of
#' [set.seed()], but can also be `NA` to not call [set.seed()] at all.
#'
#' @return [cvfolds()] returns a vector of length `n` such that each element is
#' an integer between 1 and `K` denoting which fold the corresponding data
#' point belongs to. The return value of [cv_ids()] depends on the `out`
#' argument. If `out = "foldwise"`, the return value is a `list` with `K`
#' elements, each being a `list` with elements `tr` and `ts` giving the
#' training and test indices, respectively, for the corresponding fold. If
#' `out = "indices"`, the return value is a `list` with elements `tr` and `ts`
#' each being a `list` with `K` elements giving the training and test indices,
#' respectively, for each fold.
#'
#' @examples
#' n <- 100
#' set.seed(1234)
#' y <- rnorm(n)
#' cv <- cv_ids(n, K = 5, seed = 9876)
#' # Mean within the test set of each fold:
#' cvmeans <- sapply(cv, function(fold) mean(y[fold$ts]))
#'
NULL
#' @rdname cv-indices
#' @export
cvfolds <- function(n, K, seed = sample.int(.Machine$integer.max, 1)) {
.validate_num_folds(K, n)
# Set seed, but ensure the old RNG state is restored on exit:
if (exists(".Random.seed", envir = .GlobalEnv)) {
rng_state_old <- get(".Random.seed", envir = .GlobalEnv)
on.exit(assign(".Random.seed", rng_state_old, envir = .GlobalEnv))
}
if (!is.na(seed)) set.seed(seed)
## create and shuffle the indices
folds <- rep_len(seq_len(K), length.out = n)
folds <- sample(folds, n, replace = FALSE)
return(folds)
}
#' @rdname cv-indices
#' @export
cv_ids <- function(n, K, out = c("foldwise", "indices"),
seed = sample.int(.Machine$integer.max, 1)) {
.validate_num_folds(K, n)
out <- match.arg(out)
# Set seed, but ensure the old RNG state is restored on exit:
if (exists(".Random.seed", envir = .GlobalEnv)) {
rng_state_old <- get(".Random.seed", envir = .GlobalEnv)
on.exit(assign(".Random.seed", rng_state_old, envir = .GlobalEnv))
}
if (!is.na(seed)) set.seed(seed)
# shuffle the indices
ind <- sample(seq_len(n), n, replace = FALSE)
if (out == "foldwise") {
cv <- lapply(seq_len(K), function(i) {
ts <- sort(ind[seq(i, n, K)]) # test set
tr <- setdiff(seq_len(n), ts) # training set
list(tr = tr, ts = ts)
})
} else if (out == "indices") {
cv <- list()
cv$tr <- list()
cv$ts <- list()
for (i in seq_len(K)) {
ts <- sort(ind[seq(i, n, K)]) # test set
tr <- setdiff(seq_len(n), ts) # training set
cv$tr[[i]] <- tr
cv$ts[[i]] <- ts
}
}
return(cv)
}
#' Retrieve predictor solution path or predictor combination
#'
#' This function retrieves the "solution terms" from an `object`. For `vsel`
#' objects (returned by [varsel()] or [cv_varsel()]), this is the predictor
#' solution path of the variable selection. For `projection` objects (returned
#' by [project()], possibly as elements of a `list`), this is the predictor
#' combination onto which the projection was performed.
#'
#' @param object The object from which to retrieve the solution terms. Possible
#' classes may be inferred from the names of the corresponding methods (see
#' also the description).
#' @param ... Currently ignored.
#'
#' @return A character vector of solution terms.
#'
#' @examples
#' if (requireNamespace("rstanarm", quietly = TRUE)) {
#' # Data:
#' dat_gauss <- data.frame(y = df_gaussian$y, df_gaussian$x)
#'
#' # The "stanreg" fit which will be used as the reference model (with small
#' # values for `chains` and `iter`, but only for technical reasons in this
#' # example; this is not recommended in general):
#' fit <- rstanarm::stan_glm(
#' y ~ X1 + X2 + X3 + X4 + X5, family = gaussian(), data = dat_gauss,
#' QR = TRUE, chains = 2, iter = 500, refresh = 0, seed = 9876
#' )
#'
#' # Variable selection (here without cross-validation and with small values
#' # for `nterms_max`, `nclusters`, and `nclusters_pred`, but only for the
#' # sake of speed in this example; this is not recommended in general):
#' vs <- varsel(fit, nterms_max = 3, nclusters = 5, nclusters_pred = 10,
#' seed = 5555)
#' print(solution_terms(vs))
#'
#' # Projection onto an arbitrary combination of predictor terms (with a small
#' # value for `nclusters`, but only for the sake of speed in this example;
#' # this is not recommended in general):
#' prj <- project(fit, solution_terms = c("X1", "X3", "X5"), nclusters = 10,
#' seed = 9182)
#' print(solution_terms(prj)) # gives `c("X1", "X3", "X5")`
#' }
#'
#' @export
solution_terms <- function(object, ...) {
UseMethod("solution_terms")
}
#' @rdname solution_terms
#' @export
solution_terms.vsel <- function(object, ...) {
return(object$solution_terms)
}
#' @rdname solution_terms
#' @export
solution_terms.projection <- function(object, ...) {
return(object$solution_terms)
}
|