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.get_sub_summaries <- function(submodels, refmodel, test_points, newdata = NULL,
offset = refmodel$offset[test_points],
wobs = refmodel$wobs[test_points],
y = refmodel$y[test_points]) {
lapply(submodels, function(initsubmodl) {
.weighted_summary_means(
y_test = list(y = y, weights = wobs),
family = refmodel$family,
wsample = initsubmodl$weights,
mu = refmodel$family$mu_fun(initsubmodl$submodl, obs = test_points,
newdata = newdata, offset = offset),
dis = initsubmodl$dis
)
})
}
# Calculate log predictive density values and average them across parameter
# draws (together with the corresponding expected response values).
#
# @param y_test A `list`, at least with elements `y` (response values) and
# `weights` (observation weights).
# @param family A `family` object.
# @param wsample A vector of weights for the parameter draws.
# @param mu A matrix of expected values for `y`.
# @param dis A vector of dispersion parameter draws.
#
# @return A `list` with elements `mu` and `lppd` which are both vectors
# containing the values for the quantities from the description above.
.weighted_summary_means <- function(y_test, family, wsample, mu, dis) {
if (!is.matrix(mu)) {
stop("Unexpected structure for `mu`. Do the return values of ",
"`proj_predfun` and `ref_predfun` have the correct structure?")
}
loglik <- family$ll_fun(mu, dis, y_test$y, y_test$weights)
if (!is.matrix(loglik)) {
stop("Unexpected structure for `loglik`. Please notify the package ",
"maintainer.")
}
# Average over the draws, taking their weights into account:
return(list(mu = c(mu %*% wsample),
lppd = apply(loglik, 1, log_weighted_mean_exp, wsample)))
}
# A function to calculate the desired performance statistics, their standard
# errors, and confidence intervals with coverage `1 - alpha` based on the
# variable selection output. If `nfeat_baseline` is given, then compute the
# statistics relative to the baseline model of that size (`nfeat_baseline = Inf`
# means that the baseline model is the reference model).
.tabulate_stats <- function(varsel, stats, alpha = 0.05,
nfeat_baseline = NULL, ...) {
stat_tab <- data.frame()
summ_ref <- varsel$summaries$ref
summ_sub <- varsel$summaries$sub
if (varsel$refmodel$family$family == "binomial" &&
!all(varsel$d_test$weights == 1)) {
varsel$d_test$y_prop <- varsel$d_test$y / varsel$d_test$weights
}
## fetch the mu and lppd for the baseline model
if (is.null(nfeat_baseline)) {
## no baseline model, i.e, compute the statistics on the actual
## (non-relative) scale
mu.bs <- NULL
lppd.bs <- NULL
delta <- FALSE
} else {
if (nfeat_baseline == Inf) {
summ.bs <- summ_ref
} else {
summ.bs <- summ_sub[[nfeat_baseline + 1]]
}
mu.bs <- summ.bs$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, stat, mu.bs = mu.bs,
lppd.bs = lppd.bs, wcv = summ$wcv, alpha = alpha, ...)
row <- data.frame(
data = varsel$d_test$type, size = Inf, delta = delta, statistic = stat,
value = res$value, lq = res$lq, uq = res$uq, se = res$se, diff = NA,
diff.se = NA
)
stat_tab <- rbind(stat_tab, row)
## submodel statistics
for (k in seq_along(summ_sub)) {
summ <- summ_sub[[k]]
if (delta == FALSE && sum(!is.na(summ_ref$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,
stat, mu.bs = NULL, lppd.bs = NULL,
wcv = summ_ref$wcv, alpha = alpha, ...)
res_diff <- get_stat(summ$mu, summ$lppd, varsel$d_test, stat,
mu.bs = summ_ref$mu, lppd.bs = summ_ref$lppd,
wcv = summ$wcv, alpha = alpha, ...)
val <- res_ref$value + res_diff$value
val.se <- sqrt(res_ref$se^2 + res_diff$se^2)
if (stat %in% c("rmse", "auc")) {
# TODO (subsampling LOO-CV): Use bootstrap for lower and upper
# confidence interval bounds.
warning("Lower and upper confidence interval bounds of performance ",
"statistic `", stat, "` are based on a normal ",
"approximation, not the bootstrap.")
}
lq <- qnorm(alpha / 2, mean = val, sd = val.se)
uq <- qnorm(1 - alpha / 2, mean = val, sd = val.se)
row <- data.frame(
data = varsel$d_test$type, size = k - 1, delta = delta,
statistic = stat, value = val, lq = lq, uq = uq, se = val.se,
diff = res_diff$value, diff.se = res_diff$se
)
} else {
## normal case
res <- get_stat(summ$mu, summ$lppd, varsel$d_test, stat, mu.bs = mu.bs,
lppd.bs = lppd.bs, wcv = summ$wcv, alpha = alpha, ...)
diff <- get_stat(summ$mu, summ$lppd, varsel$d_test, stat,
mu.bs = summ_ref$mu, lppd.bs = summ_ref$lppd,
wcv = summ$wcv, alpha = alpha, ...)
row <- data.frame(
data = varsel$d_test$type, size = k - 1, delta = delta,
statistic = stat, value = res$value, lq = res$lq, uq = res$uq,
se = res$se, diff = diff$value, diff.se = diff$se
)
}
stat_tab <- rbind(stat_tab, row)
}
}
return(stat_tab)
}
## Calculates given statistic stat with standard error and confidence bounds.
## mu.bs and lppd.bs are the pointwise mu and lppd for another model that is
## used as a baseline for computing the difference in the given statistic,
## for example the relative elpd. If these arguments are not given (NULL) then
## the actual (non-relative) value is computed.
## NOTE: Element `wcv[i]` (with i = 1, ..., N and N denoting the number of
## observations) contains the weight of the CV fold that observation i is in. In
## case of varsel() output, this is `NULL`. Currently, these `wcv` are
## nonconstant (and not `NULL`) only in case of subsampled LOO CV. The actual
## observation weights (specified by the user) are contained in
## `d_test$weights`. These are already taken into account by
## `<refmodel_object>$family$ll_fun()` and are thus already taken into account
## in `lppd`. However, `mu` does not take them into account, so some further
## adjustments are necessary below.
get_stat <- function(mu, lppd, d_test, stat, mu.bs = NULL, lppd.bs = NULL,
wcv = NULL, alpha = 0.1, ...) {
n <- length(mu)
n_notna.bs <- NULL
if (stat %in% c("mlpd", "elpd")) {
n_notna <- sum(!is.na(lppd))
if (!is.null(lppd.bs)) {
n_notna.bs <- sum(!is.na(lppd.bs))
}
} else {
n_notna <- sum(!is.na(mu) & !is.na(d_test$y_prop %||% d_test$y))
if (!is.null(mu.bs)) {
n_notna.bs <- sum(!is.na(mu.bs))
}
}
if (n_notna == 0 || (!is.null(n_notna.bs) && n_notna.bs == 0)) {
return(list(value = NA, se = NA, lq = NA, uq = NA))
}
if (is.null(wcv)) {
## set default CV fold weights if not given
wcv <- rep(1, n)
}
## ensure the CV fold weights sum to n_notna
wcv <- n_notna * wcv / sum(wcv)
alpha_half <- alpha / 2
one_minus_alpha_half <- 1 - alpha_half
if (stat %in% c("mlpd", "elpd")) {
if (!is.null(lppd.bs)) {
value <- sum((lppd - lppd.bs) * wcv, na.rm = TRUE)
value.se <- weighted.sd(lppd - lppd.bs, wcv, na.rm = TRUE) *
sqrt(n_notna)
} else {
value <- sum(lppd * wcv, na.rm = TRUE)
value.se <- weighted.sd(lppd, wcv, na.rm = TRUE) *
sqrt(n_notna)
}
if (stat == "mlpd") {
value <- value / n_notna
value.se <- value.se / n_notna
}
} else if (stat %in% c("mse", "rmse")) {
if (is.null(d_test$y_prop)) {
y <- d_test$y
} else {
y <- d_test$y_prop
}
if (!all(d_test$weights == 1)) {
wcv <- wcv * d_test$weights
wcv <- n_notna * wcv / sum(wcv)
}
if (stat == "mse") {
if (!is.null(mu.bs)) {
value <- mean(wcv * ((mu - y)^2 - (mu.bs - y)^2), na.rm = TRUE)
value.se <- weighted.sd((mu - y)^2 - (mu.bs - y)^2, wcv,
na.rm = TRUE) /
sqrt(n_notna)
} else {
value <- mean(wcv * (mu - y)^2, na.rm = TRUE)
value.se <- weighted.sd((mu - y)^2, wcv, na.rm = TRUE) /
sqrt(n_notna)
}
} else if (stat == "rmse") {
if (!is.null(mu.bs)) {
mu.bs[is.na(mu)] <- NA # compute the RMSEs using only those points
mu[is.na(mu.bs)] <- NA # for which both mu and mu.bs are non-NA
value <- sqrt(mean(wcv * (mu - y)^2, na.rm = TRUE)) -
sqrt(mean(wcv * (mu.bs - y)^2, na.rm = TRUE))
value.bootstrap1 <- bootstrap(
(mu - y)^2,
function(resid2) {
sqrt(mean(wcv * resid2, na.rm = TRUE))
},
...
)
value.bootstrap2 <- bootstrap(
(mu.bs - y)^2,
function(resid2) {
sqrt(mean(wcv * resid2, na.rm = TRUE))
},
...
)
value.se <- sd(value.bootstrap1 - value.bootstrap2)
lq_uq <- quantile(value.bootstrap1 - value.bootstrap2,
probs = c(alpha_half, one_minus_alpha_half),
names = FALSE, na.rm = TRUE)
} else {
value <- sqrt(mean(wcv * (mu - y)^2, na.rm = TRUE))
value.bootstrap <- bootstrap(
(mu - y)^2,
function(resid2) {
sqrt(mean(wcv * resid2, na.rm = TRUE))
},
...
)
value.se <- sd(value.bootstrap)
lq_uq <- quantile(value.bootstrap,
probs = c(alpha_half, one_minus_alpha_half),
names = FALSE, na.rm = TRUE)
}
}
} else if (stat %in% c("acc", "pctcorr", "auc")) {
y <- d_test$y
if (!is.null(d_test$y_prop)) {
# In fact, the following stopifnot() checks should not be necessary
# because this case should only occur for the binomial family (where
# `d_test$weights` contains the numbers of trials) with more than 1 trial
# for at least one observation:
stopifnot(all(.is.wholenumber(d_test$weights)))
stopifnot(all(.is.wholenumber(y)))
stopifnot(all(0 <= y & y <= d_test$weights))
y <- unlist(lapply(seq_along(y), function(i_short) {
c(rep(0L, d_test$weights[i_short] - y[i_short]),
rep(1L, y[i_short]))
}))
mu <- rep(mu, d_test$weights)
if (!is.null(mu.bs)) {
mu.bs <- rep(mu.bs, d_test$weights)
}
n_notna <- sum(d_test$weights)
wcv <- rep(wcv, d_test$weights)
wcv <- n_notna * wcv / sum(wcv)
} else {
stopifnot(all(d_test$weights == 1))
}
if (stat %in% c("acc", "pctcorr")) {
if (!is.null(mu.bs)) {
value <- mean(wcv * ((round(mu) == y) - (round(mu.bs) == y)),
na.rm = TRUE)
value.se <- weighted.sd((round(mu) == y) - (round(mu.bs) == y), wcv,
na.rm = TRUE) /
sqrt(n_notna)
} else {
value <- mean(wcv * (round(mu) == y), na.rm = TRUE)
value.se <- weighted.sd(round(mu) == y, wcv, na.rm = TRUE) /
sqrt(n_notna)
}
} else if (stat == "auc") {
auc.data <- cbind(y, mu, wcv)
if (!is.null(mu.bs)) {
mu.bs[is.na(mu)] <- NA # compute the AUCs 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, wcv)
value <- auc(auc.data) - auc(auc.data.bs)
value.bootstrap1 <- bootstrap(auc.data, auc, ...)
value.bootstrap2 <- bootstrap(auc.data.bs, auc, ...)
value.se <- sd(value.bootstrap1 - value.bootstrap2, na.rm = TRUE)
lq_uq <- quantile(value.bootstrap1 - value.bootstrap2,
probs = c(alpha_half, one_minus_alpha_half),
names = FALSE, na.rm = TRUE)
} else {
value <- auc(auc.data)
value.bootstrap <- bootstrap(auc.data, auc, ...)
value.se <- sd(value.bootstrap, na.rm = TRUE)
lq_uq <- quantile(value.bootstrap,
probs = c(alpha_half, one_minus_alpha_half),
names = FALSE, na.rm = TRUE)
}
}
}
if (!stat %in% c("rmse", "auc")) {
lq <- qnorm(alpha_half, mean = value, sd = value.se)
uq <- qnorm(one_minus_alpha_half, mean = value, sd = value.se)
} else {
lq <- lq_uq[1]
uq <- lq_uq[2]
}
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
return(!stat %in% c("rmse", "mse"))
}
.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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