void WP::mle() {
double old_loglike = loglike(
concatenate_params(average_daily_rate(), day_of_week_pattern(),
weekday_hourly_pattern(), weekend_hourly_pattern()));
double dloglike = 1.0;
while (dloglike > 1e-5) {
maximize_average_daily_rate();
maximize_daily_pattern();
maximize_hourly_pattern();
double new_loglike = loglike(concatenate_params(
average_daily_rate(), day_of_week_pattern(), weekday_hourly_pattern(),
weekend_hourly_pattern()));
dloglike = new_loglike - old_loglike;
old_loglike = new_loglike;
}
}
void LogitEMC::find_posterior_mode(){
if(!pri_){
ostringstream err;
err << "Logit_EMC cannot find posterior mode. "
<< "No prior is set." << endl;
throw_exception<std::runtime_error>(err.str());
}
d2LoglikeTF loglike(this);
d2LogPostTF logpost(loglike, pri_);
Vec b = this->beta();
uint dim = b.size();
Vec g(dim);
Mat h(dim,dim);
b = max_nd2(b, g, h, Target(logpost), dTarget(logpost),
d2Target(logpost), 1e-5);
this->set_beta(b);
}
void LogitEMC::find_posterior_mode(){
if(!pri_){
ostringstream err;
err << "Logit_EMC cannot find posterior mode. "
<< "No prior is set." << endl;
report_error(err.str());
}
d2LoglikeTF loglike(this);
d2LogPostTF logpost(loglike, pri_);
Vector b = this->Beta();
uint dim = b.size();
Vector g(dim);
Matrix h(dim,dim);
b = max_nd2(b, g, h, Target(logpost), dTarget(logpost),
d2Target(logpost), 1e-5);
this->set_Beta(b);
}
static double regroup(struct ClassSig *Sig, int nbands)
{
int s;
int i;
double tmp;
double maxlike = 0.0;
double likelihood;
double subsum;
struct ClassData *Data;
/* set data pointer */
Data = &(Sig->ClassData);
/* compute likelihoods */
likelihood = 0;
for (s = 0; s < Data->npixels; s++) {
for (i = 0; i < Sig->nsubclasses; i++) {
tmp = loglike(Data->x[s], &(Sig->SubSig[i]), nbands);
Data->p[s][i] = tmp;
if (i == 0)
maxlike = tmp;
if (tmp > maxlike)
maxlike = tmp;
}
subsum = 0;
for (i = 0; i < Sig->nsubclasses; i++) {
tmp = exp(Data->p[s][i] - maxlike) * Sig->SubSig[i].pi;
subsum += tmp;
Data->p[s][i] = tmp;
}
likelihood += log(subsum) + maxlike;
for (i = 0; i < Sig->nsubclasses; i++)
Data->p[s][i] /= subsum;
}
return (likelihood);
}
//[[Rcpp::export]]
List rhierMnlRwMixture_rcpp_loop(List const& lgtdata, mat const& Z,
vec const& deltabar, mat const& Ad, mat const& mubar, mat const& Amu,
double nu, mat const& V, double s,
int R, int keep, int nprint, bool drawdelta,
mat olddelta, vec const& a, vec oldprob, mat oldbetas, vec ind, vec const& SignRes){
// Wayne Taylor 10/01/2014
int nlgt = lgtdata.size();
int nvar = V.n_cols;
int nz = Z.n_cols;
mat rootpi, betabar, ucholinv, incroot;
int mkeep;
mnlMetropOnceOut metropout_struct;
List lgtdatai, nmix;
// convert List to std::vector of struct
std::vector<moments> lgtdata_vector;
moments lgtdatai_struct;
for (int lgt = 0; lgt<nlgt; lgt++){
lgtdatai = lgtdata[lgt];
lgtdatai_struct.y = as<vec>(lgtdatai["y"]);
lgtdatai_struct.X = as<mat>(lgtdatai["X"]);
lgtdatai_struct.hess = as<mat>(lgtdatai["hess"]);
lgtdata_vector.push_back(lgtdatai_struct);
}
// allocate space for draws
vec oldll = zeros<vec>(nlgt);
cube betadraw(nlgt, nvar, R/keep);
mat probdraw(R/keep, oldprob.size());
vec loglike(R/keep);
mat Deltadraw(1,1); if(drawdelta) Deltadraw.zeros(R/keep, nz*nvar);//enlarge Deltadraw only if the space is required
List compdraw(R/keep);
if (nprint>0) startMcmcTimer();
for (int rep = 0; rep<R; rep++){
//first draw comps,ind,p | {beta_i}, delta
// ind,p need initialization comps is drawn first in sub-Gibbs
List mgout;
if(drawdelta) {
olddelta.reshape(nvar,nz);
mgout = rmixGibbs (oldbetas-Z*trans(olddelta),mubar,Amu,nu,V,a,oldprob,ind);
} else {
mgout = rmixGibbs(oldbetas,mubar,Amu,nu,V,a,oldprob,ind);
}
List oldcomp = mgout["comps"];
oldprob = as<vec>(mgout["p"]); //conversion from Rcpp to Armadillo requires explict declaration of variable type using as<>
ind = as<vec>(mgout["z"]);
//now draw delta | {beta_i}, ind, comps
if(drawdelta) olddelta = drawDelta(Z,oldbetas,ind,oldcomp,deltabar,Ad);
//loop over all LGT equations drawing beta_i | ind[i],z[i,],mu[ind[i]],rooti[ind[i]]
for(int lgt = 0; lgt<nlgt; lgt++){
List oldcomplgt = oldcomp[ind[lgt]-1];
rootpi = as<mat>(oldcomplgt[1]);
//note: beta_i = Delta*z_i + u_i Delta is nvar x nz
if(drawdelta){
olddelta.reshape(nvar,nz);
betabar = as<vec>(oldcomplgt[0])+olddelta*vectorise(Z(lgt,span::all));
} else {
betabar = as<vec>(oldcomplgt[0]);
}
if (rep == 0) oldll[lgt] = llmnl_con(vectorise(oldbetas(lgt,span::all)),lgtdata_vector[lgt].y,lgtdata_vector[lgt].X,SignRes);
//compute inc.root
ucholinv = solve(trimatu(chol(lgtdata_vector[lgt].hess+rootpi*trans(rootpi))), eye(nvar,nvar)); //trimatu interprets the matrix as upper triangular and makes solve more efficient
incroot = chol(ucholinv*trans(ucholinv));
metropout_struct = mnlMetropOnce_con(lgtdata_vector[lgt].y,lgtdata_vector[lgt].X,vectorise(oldbetas(lgt,span::all)),
oldll[lgt],s,incroot,betabar,rootpi,SignRes);
oldbetas(lgt,span::all) = trans(metropout_struct.betadraw);
oldll[lgt] = metropout_struct.oldll;
}
//print time to completion and draw # every nprint'th draw
if (nprint>0) if ((rep+1)%nprint==0) infoMcmcTimer(rep, R);
if((rep+1)%keep==0){
mkeep = (rep+1)/keep;
betadraw.slice(mkeep-1) = oldbetas;
probdraw(mkeep-1, span::all) = trans(oldprob);
loglike[mkeep-1] = sum(oldll);
if(drawdelta) Deltadraw(mkeep-1, span::all) = trans(vectorise(olddelta));
compdraw[mkeep-1] = oldcomp;
}
}
if (nprint>0) endMcmcTimer();
nmix = List::create(Named("probdraw") = probdraw,
Named("zdraw") = R_NilValue, //sets the value to NULL in R
Named("compdraw") = compdraw);
//ADDED FOR CONSTRAINTS
//If there are sign constraints, return f(betadraws) as "betadraws"
//conStatus will be set to true if SignRes has any non-zero elements
bool conStatus = any(SignRes);
if(conStatus){
int SignResSize = SignRes.size();
//loop through each sign constraint
for(int i = 0;i < SignResSize; i++){
//if there is a constraint loop through each slice of betadraw
if(SignRes[i] != 0){
for(int s = 0;s < R/keep; s++){
betadraw(span(),span(i),span(s)) = SignRes[i] * exp(betadraw(span(),span(i),span(s)));
}
}
}//end loop through SignRes
}
if(drawdelta){
return(List::create(
Named("Deltadraw") = Deltadraw,
Named("betadraw") = betadraw,
Named("nmix") = nmix,
Named("loglike") = loglike,
Named("SignRes") = SignRes));
} else {
return(List::create(
Named("betadraw") = betadraw,
Named("nmix") = nmix,
Named("loglike") = loglike,
Named("SignRes") = SignRes));
}
}
