/* r interface for rMVN */ void RMVN( double * sample, double * mean, double * var, int * sizePtr ) { size_t i; double ** Var = calloc( *sizePtr, sizeof(double *) ); for(i = 0; i < *sizePtr; i++) Var[i] = &var[ *sizePtr * i ]; GetRNGstate(); rMVN(sample, mean, Var , *sizePtr); PutRNGstate(); free(Var); return; }
void MARprobit(int *Y, /* binary outcome variable */ int *Ymiss, /* missingness indicator for Y */ int *iYmax, /* maximum value of Y; 0,1,...,Ymax */ int *Z, /* treatment assignment */ int *D, /* treatment status */ int *C, /* compliance status */ double *dX, double *dXo, /* covariates */ double *dBeta, double *dGamma, /* coefficients */ int *iNsamp, int *iNgen, int *iNcov, int *iNcovo, int *iNcovoX, int *iN11, /* counters */ double *beta0, double *gamma0, double *dA, double *dAo, /*prior */ int *insample, /* 1: insample inference, 2: conditional inference */ int *smooth, int *param, int *mda, int *iBurnin, int *iKeep, int *verbose, /* options */ double *pdStore ) { /*** counters ***/ int n_samp = *iNsamp; /* sample size */ int n_gen = *iNgen; /* number of gibbs draws */ int n_cov = *iNcov; /* number of covariates */ int n_covo = *iNcovo; /* number of all covariates for outcome model */ int n_covoX = *iNcovoX; /* number of covariates excluding smooth terms */ int n11 = *iN11; /* number of compliers in the treament group */ /*** data ***/ double **X; /* covariates for the compliance model */ double **Xo; /* covariates for the outcome model */ double *W; /* latent variable */ int Ymax = *iYmax; /*** model parameters ***/ double *beta; /* coef for compliance model */ double *gamma; /* coef for outcomme model */ double *q; /* some parameters for sampling C */ double *pc; double *pn; double pcmean; double pnmean; double **SS; /* matrix folders for SWEEP */ double **SSo; // HJ commented it out on April 17, 2018 // double **SSr; double *meanb; /* means for beta and gamma */ double *meano; double *meanr; double **V; /* variances for beta and gamma */ double **Vo; double **Vr; double **A; double **Ao; double *tau; /* thresholds: tau_0, ..., tau_{Ymax-1} */ double *taumax; /* corresponding max and min for tau */ double *taumin; /* tau_0 is fixed to 0 */ double *treat; /* smooth function for treat */ /*** quantities of interest ***/ int n_comp, n_compC, n_ncompC; double *ITTc; double *base; /*** storage parameters and loop counters **/ int progress = 1; int keep = 1; int i, j, k, main_loop; int itemp, itempP = ftrunc((double) n_gen/10); double dtemp, ndraw, cdraw; double *vtemp; double **mtemp, **mtempo; /*** marginal data augmentation ***/ double sig2 = 1; int nu0 = 1; double s0 = 1; /*** get random seed **/ GetRNGstate(); /*** define vectors and matricies **/ X = doubleMatrix(n_samp+n_cov, n_cov+1); Xo = doubleMatrix(n_samp+n_covo, n_covo+1); W = doubleArray(n_samp); tau = doubleArray(Ymax); taumax = doubleArray(Ymax); taumin = doubleArray(Ymax); SS = doubleMatrix(n_cov+1, n_cov+1); SSo = doubleMatrix(n_covo+1, n_covo+1); // HJ commented it out on April 17, 2018 // SSr = doubleMatrix(4, 4); V = doubleMatrix(n_cov, n_cov); Vo = doubleMatrix(n_covo, n_covo); Vr = doubleMatrix(3, 3); beta = doubleArray(n_cov); gamma = doubleArray(n_covo); meanb = doubleArray(n_cov); meano = doubleArray(n_covo); meanr = doubleArray(3); q = doubleArray(n_samp); pc = doubleArray(n_samp); pn = doubleArray(n_samp); A = doubleMatrix(n_cov, n_cov); Ao = doubleMatrix(n_covo, n_covo); vtemp = doubleArray(n_samp); mtemp = doubleMatrix(n_cov, n_cov); mtempo = doubleMatrix(n_covo, n_covo); ITTc = doubleArray(Ymax+1); treat = doubleArray(n11); base = doubleArray(2); /*** read the data ***/ itemp = 0; for (j =0; j < n_cov; j++) for (i = 0; i < n_samp; i++) X[i][j] = dX[itemp++]; itemp = 0; for (j =0; j < n_covo; j++) for (i = 0; i < n_samp; i++) Xo[i][j] = dXo[itemp++]; /*** read the prior and it as additional data points ***/ itemp = 0; for (k = 0; k < n_cov; k++) for (j = 0; j < n_cov; j++) A[j][k] = dA[itemp++]; itemp = 0; for (k = 0; k < n_covo; k++) for (j = 0; j < n_covo; j++) Ao[j][k] = dAo[itemp++]; dcholdc(A, n_cov, mtemp); for(i = 0; i < n_cov; i++) { X[n_samp+i][n_cov]=0; for(j = 0; j < n_cov; j++) { X[n_samp+i][n_cov] += mtemp[i][j]*beta0[j]; X[n_samp+i][j] = mtemp[i][j]; } } dcholdc(Ao, n_covo, mtempo); for(i = 0; i < n_covo; i++) { Xo[n_samp+i][n_covo]=0; for(j = 0; j < n_covo; j++) { Xo[n_samp+i][n_covo] += mtempo[i][j]*gamma0[j]; Xo[n_samp+i][j] = mtempo[i][j]; } } /*** starting values ***/ for (i = 0; i < n_cov; i++) beta[i] = dBeta[i]; for (i = 0; i < n_covo; i++) gamma[i] = dGamma[i]; if (Ymax > 1) { tau[0] = 0.0; taumax[0] = 0.0; taumin[0] = 0.0; for (i = 1; i < Ymax; i++) tau[i] = tau[i-1]+2/(double)(Ymax-1); } for (i = 0; i < n_samp; i++) { pc[i] = unif_rand(); pn[i] = unif_rand(); } /*** Gibbs Sampler! ***/ itemp=0; for(main_loop = 1; main_loop <= n_gen; main_loop++){ /** COMPLIANCE MODEL **/ if (*mda) sig2 = s0/rchisq((double)nu0); /* Draw complier status for control group */ for(i = 0; i < n_samp; i++){ dtemp = 0; for(j = 0; j < n_cov; j++) dtemp += X[i][j]*beta[j]; if(Z[i] == 0){ q[i] = pnorm(dtemp, 0, 1, 1, 0); if(unif_rand() < (q[i]*pc[i]/(q[i]*pc[i]+(1-q[i])*pn[i]))) { C[i] = 1; Xo[i][1] = 1; } else { C[i] = 0; Xo[i][1] = 0; } } /* Sample W */ if(C[i]==0) W[i] = TruncNorm(dtemp-100,0,dtemp,1,0); else W[i] = TruncNorm(0,dtemp+100,dtemp,1,0); X[i][n_cov] = W[i]*sqrt(sig2); W[i] *= sqrt(sig2); } /* SS matrix */ for(j = 0; j <= n_cov; j++) for(k = 0; k <= n_cov; k++) SS[j][k]=0; for(i = 0; i < n_samp+n_cov; i++) for(j = 0; j <= n_cov; j++) for(k = 0; k <= n_cov; k++) SS[j][k] += X[i][j]*X[i][k]; /* SWEEP SS matrix */ for(j = 0; j < n_cov; j++) SWP(SS, j, n_cov+1); /* draw beta */ for(j = 0; j < n_cov; j++) meanb[j] = SS[j][n_cov]; if (*mda) sig2=(SS[n_cov][n_cov]+s0)/rchisq((double)n_samp+nu0); for(j = 0; j < n_cov; j++) for(k = 0; k < n_cov; k++) V[j][k] = -SS[j][k]*sig2; rMVN(beta, meanb, V, n_cov); /* rescale the parameters */ if(*mda) { for (i = 0; i < n_cov; i++) beta[i] /= sqrt(sig2); } /** OUTCOME MODEL **/ /* Sample W */ if (Ymax > 1) { /* tau_0=0, tau_1, ... */ for (j = 1; j < (Ymax - 1); j++) { taumax[j] = tau[j+1]; taumin[j] = tau[j-1]; } taumax[Ymax-1] = tau[Ymax-1]+100; taumin[Ymax-1] = tau[Ymax-2]; } if (*mda) sig2 = s0/rchisq((double)nu0); for (i = 0; i < n_samp; i++){ dtemp = 0; for (j = 0; j < n_covo; j++) dtemp += Xo[i][j]*gamma[j]; if (Ymiss[i] == 1) { W[i] = dtemp + norm_rand(); if (Ymax == 1) { /* binary probit */ if (W[i] > 0) Y[i] = 1; else Y[i] = 0; } else { /* ordered probit */ if (W[i] >= tau[Ymax-1]) Y[i] = Ymax; else { j = 0; while (W[i] > tau[j] && j < Ymax) j++; Y[i] = j; } } } else { if(Ymax == 1) { /* binary probit */ if(Y[i] == 0) W[i] = TruncNorm(dtemp-100,0,dtemp,1,0); else W[i] = TruncNorm(0,dtemp+100,dtemp,1,0); } else { /* ordered probit */ if (Y[i] == 0) W[i] = TruncNorm(dtemp-100, 0, dtemp, 1, 0); else if (Y[i] == Ymax) { W[i] = TruncNorm(tau[Ymax-1], dtemp+100, dtemp, 1, 0); if (W[i] < taumax[Ymax-1]) taumax[Ymax-1] = W[i]; } else { W[i] = TruncNorm(tau[Y[i]-1], tau[Y[i]], dtemp, 1, 0); if (W[i] > taumin[Y[i]]) taumin[Y[i]] = W[i]; if (W[i] < taumax[Y[i]-1]) taumax[Y[i]-1] = W[i]; } } } Xo[i][n_covo] = W[i]*sqrt(sig2); W[i] *= sqrt(sig2); } /* draw tau */ if (Ymax > 1) for (j = 1; j < Ymax; j++) tau[j] = runif(taumin[j], taumax[j])*sqrt(sig2); /* SS matrix */ for(j = 0; j <= n_covo; j++) for(k = 0; k <= n_covo; k++) SSo[j][k]=0; for(i = 0;i < n_samp+n_covo; i++) for(j = 0;j <= n_covo; j++) for(k = 0; k <= n_covo; k++) SSo[j][k] += Xo[i][j]*Xo[i][k]; /* SWEEP SS matrix */ for(j = 0; j < n_covo; j++) SWP(SSo, j, n_covo+1); /* draw gamma */ for(j = 0; j < n_covo; j++) meano[j] = SSo[j][n_covo]; if (*mda) sig2=(SSo[n_covo][n_covo]+s0)/rchisq((double)n_samp+nu0); for(j = 0; j < n_covo; j++) for(k = 0; k < n_covo; k++) Vo[j][k]=-SSo[j][k]*sig2; rMVN(gamma, meano, Vo, n_covo); /* rescaling the parameters */ if(*mda) { for (i = 0; i < n_covo; i++) gamma[i] /= sqrt(sig2); if (Ymax > 1) for (i = 1; i < Ymax; i++) tau[i] /= sqrt(sig2); } /* computing smooth terms */ if (*smooth) { for (i = 0; i < n11; i++) { treat[i] = 0; for (j = n_covoX; j < n_covo; j++) treat[i] += Xo[i][j]*gamma[j]; } } /** Compute probabilities **/ for(i = 0; i < n_samp; i++){ vtemp[i] = 0; for(j = 0; j < n_covo; j++) vtemp[i] += Xo[i][j]*gamma[j]; } for(i = 0; i < n_samp; i++){ if(Z[i]==0){ if (C[i] == 1) { pcmean = vtemp[i]; if (*smooth) pnmean = vtemp[i]-gamma[0]; else pnmean = vtemp[i]-gamma[1]; } else { if (*smooth) pcmean = vtemp[i]+gamma[0]; else pcmean = vtemp[i]+gamma[1]; pnmean = vtemp[i]; } if (Y[i] == 0){ pc[i] = pnorm(0, pcmean, 1, 1, 0); pn[i] = pnorm(0, pnmean, 1, 1, 0); } else { if (Ymax == 1) { /* binary probit */ pc[i] = pnorm(0, pcmean, 1, 0, 0); pn[i] = pnorm(0, pnmean, 1, 0, 0); } else { /* ordered probit */ if (Y[i] == Ymax) { pc[i] = pnorm(tau[Ymax-1], pcmean, 1, 0, 0); pn[i] = pnorm(tau[Ymax-1], pnmean, 1, 0, 0); } else { pc[i] = pnorm(tau[Y[i]], pcmean, 1, 1, 0) - pnorm(tau[Y[i]-1], pcmean, 1, 1, 0); pn[i] = pnorm(tau[Y[i]], pnmean, 1, 1, 0) - pnorm(tau[Y[i]-1], pnmean, 1, 1, 0); } } } } } /** Compute quantities of interest **/ n_comp = 0; n_compC = 0; n_ncompC = 0; base[0] = 0; base[1] = 0; for (i = 0; i <= Ymax; i++) ITTc[i] = 0; if (*smooth) { for(i = 0; i < n11; i++){ if(C[i] == 1) { n_comp++; if (Z[i] == 0) { n_compC++; base[0] += (double)Y[i]; } pcmean = vtemp[i]; pnmean = vtemp[i]-treat[i]+gamma[0]; ndraw = rnorm(pnmean, 1); cdraw = rnorm(pcmean, 1); if (*insample && Ymiss[i]==0) dtemp = (double)(Y[i]==0) - (double)(ndraw < 0); else dtemp = pnorm(0, pcmean, 1, 1, 0) - pnorm(0, pnmean, 1, 1, 0); ITTc[0] += dtemp; if (Ymax == 1) { /* binary probit */ if (*insample && Ymiss[i]==0) dtemp = (double)Y[i] - (double)(ndraw > 0); else dtemp = pnorm(0, pcmean, 1, 0, 0) - pnorm(0, pnmean, 1, 0, 0); ITTc[1] += dtemp; } else { /* ordered probit */ if (*insample && Ymiss[i]==0) dtemp = (double)(Y[i]==Ymax) - (double)(ndraw > tau[Ymax-1]); else dtemp = pnorm(tau[Ymax-1], pcmean, 1, 0, 0) - pnorm(tau[Ymax-1], pnmean, 1, 0, 0); ITTc[Ymax] += dtemp; for (j = 1; j < Ymax; j++) { if (*insample && Ymiss[i]==0) dtemp = (double)(Y[i]==j) - (double)(ndraw < tau[j] && ndraw > tau[j-1]); else dtemp = (pnorm(tau[j], pcmean, 1, 1, 0) - pnorm(tau[j-1], pcmean, 1, 1, 0)) - (pnorm(tau[j], pnmean, 1, 1, 0) - pnorm(tau[j-1], pnmean, 1, 1, 0)); ITTc[j] += dtemp; } } } else if (Z[i] == 0) { n_ncompC++; base[1] += (double)Y[i]; } } } else { for(i = 0; i < n_samp; i++){ if(C[i] == 1) { n_comp++; if (Z[i] == 1) { pcmean = vtemp[i]; pnmean = vtemp[i]-gamma[0]+gamma[1]; } else { n_compC++; base[0] += (double)Y[i]; pcmean = vtemp[i]+gamma[0]-gamma[1]; pnmean = vtemp[i]; } ndraw = rnorm(pnmean, 1); cdraw = rnorm(pcmean, 1); if (*insample && Ymiss[i]==0) { if (Z[i] == 1) dtemp = (double)(Y[i]==0) - (double)(ndraw < 0); else dtemp = (double)(cdraw < 0) - (double)(Y[i]==0); } else dtemp = pnorm(0, pcmean, 1, 1, 0) - pnorm(0, pnmean, 1, 1, 0); ITTc[0] += dtemp; if (Ymax == 1) { /* binary probit */ if (*insample && Ymiss[i]==0) { if (Z[i] == 1) dtemp = (double)Y[i] - (double)(ndraw > 0); else dtemp = (double)(cdraw > 0) - (double)Y[i]; } else dtemp = pnorm(0, pcmean, 1, 0, 0) - pnorm(0, pnmean, 1, 0, 0); ITTc[1] += dtemp; } else { /* ordered probit */ if (*insample && Ymiss[i]==0) { if (Z[i] == 1) dtemp = (double)(Y[i]==Ymax) - (double)(ndraw > tau[Ymax-1]); else dtemp = (double)(cdraw > tau[Ymax-1]) - (double)(Y[i]==Ymax); } else dtemp = pnorm(tau[Ymax-1], pcmean, 1, 0, 0) - pnorm(tau[Ymax-1], pnmean, 1, 0, 0); ITTc[Ymax] += dtemp; for (j = 1; j < Ymax; j++) { if (*insample && Ymiss[i]==0) { if (Z[i] == 1) dtemp = (double)(Y[i]==j) - (double)(ndraw < tau[j] && ndraw > tau[j-1]); else dtemp = (pnorm(tau[j], pcmean, 1, 1, 0) - pnorm(tau[j-1], pcmean, 1, 1, 0)) - (double)(Y[i]==j); } else dtemp = (pnorm(tau[j], pcmean, 1, 1, 0) - pnorm(tau[j-1], pcmean, 1, 1, 0)) - (pnorm(tau[j], pnmean, 1, 1, 0) - pnorm(tau[j-1], pnmean, 1, 1, 0)); ITTc[j] += dtemp; } } } else if (Z[i] == 0) { n_ncompC++; base[1] += (double)Y[i]; } } } /** storing the results **/ if (main_loop > *iBurnin) { if (keep == *iKeep) { pdStore[itemp++]=(double)n_comp/(double)n_samp; if (Ymax == 1) { pdStore[itemp++]=ITTc[1]/(double)n_comp; pdStore[itemp++]=ITTc[1]/(double)n_samp; pdStore[itemp++] = base[0]/(double)n_compC; pdStore[itemp++] = base[1]/(double)n_ncompC; pdStore[itemp++] = (base[0]+base[1])/(double)(n_compC+n_ncompC); } else { for (i = 0; i <= Ymax; i++) pdStore[itemp++]=ITTc[i]/(double)n_comp; for (i = 0; i <= Ymax; i++) pdStore[itemp++]=ITTc[i]/(double)n_samp; } if (*param) { for(i = 0; i < n_cov; i++) pdStore[itemp++]=beta[i]; if (*smooth) { for(i = 0; i < n_covoX; i++) pdStore[itemp++]=gamma[i]; for(i = 0; i < n11; i++) pdStore[itemp++]=treat[i]; } else for(i = 0; i < n_covo; i++) pdStore[itemp++]=gamma[i]; if (Ymax > 1) for (i = 0; i < Ymax; i++) pdStore[itemp++]=tau[i]; } keep = 1; } else keep++; } if(*verbose) { if(main_loop == itempP) { Rprintf("%3d percent done.\n", progress*10); itempP += ftrunc((double) n_gen/10); progress++; R_FlushConsole(); } } R_FlushConsole(); R_CheckUserInterrupt(); } /* end of Gibbs sampler */ /** write out the random seed **/ PutRNGstate(); /** freeing memory **/ FreeMatrix(X, n_samp+n_cov); FreeMatrix(Xo, n_samp+n_covo); free(W); free(beta); free(gamma); free(q); free(pc); free(pn); FreeMatrix(SS, n_cov+1); FreeMatrix(SSo, n_covo+1); free(meanb); free(meano); free(meanr); FreeMatrix(V, n_cov); FreeMatrix(Vo, n_covo); FreeMatrix(Vr, 3); FreeMatrix(A, n_cov); FreeMatrix(Ao, n_covo); free(tau); free(taumax); free(taumin); free(ITTc); free(vtemp); free(treat); free(base); FreeMatrix(mtemp, n_cov); FreeMatrix(mtempo, n_covo); } /* main */