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#' Projection onto submodel(s)
#'
#' Project the posterior of the reference model onto the parameter space of a
#' single submodel consisting of a specific combination of predictor terms or
#' (after variable selection) onto the parameter space of a single or multiple
#' submodels of specific sizes.
#'
#' @param object An object which can be used as input to [get_refmodel()] (in
#' particular, objects of class `refmodel`).
#' @param nterms Only relevant if `object` is of class `vsel` (returned by
#' [varsel()] or [cv_varsel()]). Ignored if `!is.null(solution_terms)`.
#' Number of terms for the submodel (the corresponding combination of
#' predictor terms is taken from `object`). If a numeric vector, then the
#' projection is performed for each element of this vector. If `NULL` (and
#' `is.null(solution_terms)`), then the value suggested by the variable
#' selection is taken (see function [suggest_size()]). Note that `nterms` does
#' not count the intercept, so use `nterms = 0` for the intercept-only model.
#' @param solution_terms If not `NULL`, then this needs to be a character vector
#' of predictor terms for the submodel onto which the projection will be
#' performed. Argument `nterms` is ignored in that case. For an `object` which
#' is not of class `vsel`, `solution_terms` must not be `NULL`.
#' @param refit_prj A single logical value indicating whether to fit the
#' submodels (again) (`TRUE`) or to retrieve the fitted submodels from
#' `object` (`FALSE`). For an `object` which is not of class `vsel`,
#' `refit_prj` must be `TRUE`. Note that currently, `refit_prj = FALSE`
#' requires some caution, see GitHub issues #168 and #211.
#' @param ndraws Only relevant if `refit_prj` is `TRUE`. Number of posterior
#' draws to be projected. Ignored if `nclusters` is not `NULL` or if the
#' reference model is of class `datafit` (in which case one cluster is used).
#' If both (`nclusters` and `ndraws`) are `NULL`, the number of posterior
#' draws from the reference model is used for `ndraws`. See also section
#' "Details" below.
#' @param nclusters Only relevant if `refit_prj` is `TRUE`. Number of clusters
#' of posterior draws to be projected. Ignored if the reference model is of
#' class `datafit` (in which case one cluster is used). For the meaning of
#' `NULL`, see argument `ndraws`. See also section "Details" below.
#' @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 clustering the reference model's posterior draws (if
#' `!is.null(nclusters)`).
#' @inheritParams varsel
#' @param ... Arguments passed to [get_refmodel()] (if [get_refmodel()] is
#' actually used; see argument `object`) as well as to the divergence
#' minimizer (if `refit_prj` is `TRUE`).
#'
#' @details Arguments `ndraws` and `nclusters` are automatically truncated at
#' the number of posterior draws in the reference model (which is `1` for
#' `datafit`s). Using less draws or clusters in `ndraws` or `nclusters` than
#' posterior draws in the reference model may result in slightly inaccurate
#' projection performance. Increasing these arguments affects the computation
#' time linearly.
#'
#' Note that if [project()] is applied to output from [cv_varsel()], then
#' `refit_prj = FALSE` will take the results from the *full-data* search.
#'
#' @return If the projection is performed onto a single submodel (i.e.,
#' `length(nterms) == 1 || !is.null(solution_terms)`), an object of class
#' `projection` which is a `list` containing the following elements:
#' \describe{
#' \item{`dis`}{Projected draws for the dispersion parameter.}
#' \item{`ce`}{The cross-entropy part of the Kullback-Leibler (KL)
#' divergence from the reference model to the submodel. For some families,
#' this is not the actual cross-entropy, but a reduced one where terms which
#' would cancel out when calculating the KL divergence have been dropped. In
#' case of the Gaussian family, that reduced cross-entropy is further
#' modified, yielding merely a proxy.}
#' \item{`weights`}{Weights for the projected draws.}
#' \item{`solution_terms`}{A character vector of the submodel's predictor
#' terms.}
#' \item{`submodl`}{A `list` containing the submodel fits (one fit per
#' projected draw).}
#' \item{`p_type`}{A single logical value indicating whether the
#' reference model's posterior draws have been clustered for the projection
#' (`TRUE`) or not (`FALSE`).}
#' \item{`refmodel`}{The reference model object.}
#' }
#' If the projection is performed onto more than one submodel, the output from
#' above is returned for each submodel, giving a `list` with one element for
#' each submodel.
#'
#' @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)
#'
#' # Projection onto the best submodel with 2 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_from_vs <- project(vs, nterms = 2, nclusters = 10, seed = 9182)
#'
#' # 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)
#' }
#'
#' @export
project <- function(object, nterms = NULL, solution_terms = NULL,
refit_prj = TRUE, ndraws = 400, nclusters = NULL,
seed = sample.int(.Machine$integer.max, 1), regul = 1e-4,
...) {
if (inherits(object, "datafit")) {
stop("project() does not support an `object` of class \"datafit\".")
}
if (!inherits(object, "vsel") && is.null(solution_terms)) {
stop("Please provide an `object` of class \"vsel\" or use argument ",
"`solution_terms`.")
}
if (!inherits(object, "vsel") && !refit_prj) {
stop("Please provide an `object` of class \"vsel\" or use ",
"`refit_prj = TRUE`.")
}
refmodel <- get_refmodel(object, ...)
# Set seed, but ensure the old RNG state is restored on exit:
if (exists(".Random.seed", envir = .GlobalEnv)) {
rng_state_old <- get(".Random.seed", envir = .GlobalEnv)
on.exit(assign(".Random.seed", rng_state_old, envir = .GlobalEnv))
}
if (!is.na(seed)) set.seed(seed)
if (refit_prj && inherits(refmodel, "datafit")) {
warning("Automatically setting `refit_prj` to `FALSE` since the reference ",
"model is of class \"datafit\".")
refit_prj <- FALSE
}
stopifnot(is.null(solution_terms) || is.vector(solution_terms, "character"))
if (!refit_prj &&
!is.null(solution_terms) &&
any(
solution_terms(object)[seq_along(solution_terms)] != solution_terms
)) {
warning("The given `solution_terms` are not part of the solution path ",
"(from `solution_terms(object)`), so `refit_prj` is automatically ",
"set to `TRUE`.")
refit_prj <- TRUE
}
if (!refit_prj) {
warning("Currently, `refit_prj = FALSE` requires some caution, see GitHub ",
"issues #168 and #211.")
}
if (!is.null(solution_terms)) {
## if solution_terms is given, nterms is ignored
## (project only onto the given submodel)
if (!is.null(object$solution_terms)) {
vars <- object$solution_terms
} else {
## project only the given model on a fit object
vars <- setdiff(
split_formula(refmodel$formula,
data = refmodel$fetch_data(),
add_main_effects = FALSE),
"1"
)
}
if (length(solution_terms) > length(vars)) {
stop("Argument 'solution_terms' contains more terms than the number of ",
"terms in the reference model.")
}
if (!all(solution_terms %in% vars)) {
warning(
"At least one element of `solution_terms` could not be found in the ",
"table of solution terms (which is either `object$solution_terms` or ",
"the vector of terms in the reference model, depending on whether ",
"`object$solution_terms` is `NULL` or not). Elements which cannot be ",
"found are ignored. The table of solution terms is here: `c(\"",
paste(vars, collapse = "\", \""), "\")`."
)
}
solution_terms <- intersect(solution_terms, vars)
nterms <- length(solution_terms)
} else {
## by default take the variable ordering from the selection
solution_terms <- object$solution_terms
if (is.null(nterms)) {
if (!is.null(object$suggested_size) && !is.na(object$suggested_size)) {
## by default, project onto the suggested model size
nterms <- min(object$suggested_size, length(solution_terms))
} else {
stop("No suggested model size found, please specify `nterms` or ",
"`solution_terms`.")
}
} else {
if (!is.numeric(nterms) || any(nterms < 0)) {
stop("Argument `nterms` must contain non-negative values.")
}
if (max(nterms) > length(solution_terms)) {
stop(paste(
"Cannot perform the projection with", max(nterms), "variables,",
"because variable selection was run only up to",
length(solution_terms), "variables."
))
}
}
}
if (inherits(refmodel, "datafit")) {
nclusters <- 1
}
## get the clustering or subsample
p_ref <- .get_refdist(refmodel, ndraws = ndraws, nclusters = nclusters)
## project onto the submodels
submodels <- .get_submodels(
search_path = nlist(
solution_terms,
p_sel = object$search_path$p_sel,
submodls = object$search_path$submodls
),
nterms = nterms, p_ref = p_ref, refmodel = refmodel, regul = regul,
refit_prj = refit_prj, ...
)
# Output:
projs <- lapply(submodels, function(initsubmodl) {
proj_k <- initsubmodl
proj_k$p_type <- !is.null(nclusters)
proj_k$refmodel <- refmodel
class(proj_k) <- "projection"
return(proj_k)
})
## If only one model size, just return the proj instead of a list of projs
return(.unlist_proj(projs))
}
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