[Depmix-commits] r403 - in pkg/depmixS4: . R data inst inst/doc man tests
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Mar 9 13:43:42 CET 2010
Author: ingmarvisser
Date: 2010-03-09 13:43:42 +0100 (Tue, 09 Mar 2010)
New Revision: 403
Added:
pkg/depmixS4/COPYING
pkg/depmixS4/DESCRIPTION
pkg/depmixS4/NAMESPACE
pkg/depmixS4/NEWS
pkg/depmixS4/R/EM.R
pkg/depmixS4/R/allGenerics.R
pkg/depmixS4/R/depmix-class.R
pkg/depmixS4/R/depmix.R
pkg/depmixS4/R/depmixAIC.R
pkg/depmixS4/R/depmixBIC.R
pkg/depmixS4/R/depmixfit-class.R
pkg/depmixS4/R/depmixfit.R
pkg/depmixS4/R/depmixsim-class.R
pkg/depmixS4/R/fb.R
pkg/depmixS4/R/forwardbackward.R
pkg/depmixS4/R/freepars.R
pkg/depmixS4/R/getpars.R
pkg/depmixS4/R/llratio.R
pkg/depmixS4/R/logLik.R
pkg/depmixS4/R/lystig.R
pkg/depmixS4/R/makeDepmix.R
pkg/depmixS4/R/makePriorModel.R
pkg/depmixS4/R/makeResponseModels.R
pkg/depmixS4/R/makeTransModels.R
pkg/depmixS4/R/mlogit.R
pkg/depmixS4/R/multinomial.R
pkg/depmixS4/R/nobs.R
pkg/depmixS4/R/pa2conr.R
pkg/depmixS4/R/response-class.R
pkg/depmixS4/R/responseGLM.R
pkg/depmixS4/R/responseGLMBINOM.R
pkg/depmixS4/R/responseGLMGAMMA.R
pkg/depmixS4/R/responseGLMMULTINOM.R
pkg/depmixS4/R/responseGLMPOISSON.R
pkg/depmixS4/R/responseMVN.R
pkg/depmixS4/R/responseNORM.R
pkg/depmixS4/R/setpars.R
pkg/depmixS4/R/stationary.R
pkg/depmixS4/R/transInit.R
pkg/depmixS4/R/viterbi.R
pkg/depmixS4/README
pkg/depmixS4/data/balance.rda
pkg/depmixS4/data/speed.rda
pkg/depmixS4/inst/CITATION
pkg/depmixS4/inst/doc/depmix-intro.pdf
pkg/depmixS4/man/AIC.Rd
pkg/depmixS4/man/GLMresponse.Rd
pkg/depmixS4/man/balance.Rd
pkg/depmixS4/man/depmix-class.Rd
pkg/depmixS4/man/depmix-internal.Rd
pkg/depmixS4/man/depmix-methods.Rd
pkg/depmixS4/man/depmix.Rd
pkg/depmixS4/man/depmix.fit.Rd
pkg/depmixS4/man/depmix.fitted-class.Rd
pkg/depmixS4/man/depmix.sim-class.Rd
pkg/depmixS4/man/depmixS4-package.Rd
pkg/depmixS4/man/forwardbackward.Rd
pkg/depmixS4/man/llratio.Rd
pkg/depmixS4/man/makeDepmix.Rd
pkg/depmixS4/man/mix-class.Rd
pkg/depmixS4/man/mix.Rd
pkg/depmixS4/man/mix.fitted-class.Rd
pkg/depmixS4/man/mix.sim-class.Rd
pkg/depmixS4/man/posterior.Rd
pkg/depmixS4/man/response-class.Rd
pkg/depmixS4/man/response-classes.Rd
pkg/depmixS4/man/responses.Rd
pkg/depmixS4/man/simulate.Rd
pkg/depmixS4/man/speed.Rd
pkg/depmixS4/man/transInit.Rd
pkg/depmixS4/tests/test1speed.R
pkg/depmixS4/tests/test1speed.Rout.save
pkg/depmixS4/tests/test2getsetpars.R
pkg/depmixS4/tests/test2getsetpars.Rout.save
pkg/depmixS4/tests/test3responses.R
Log:
Copied trunk to pkg directory
Copied: pkg/depmixS4/COPYING (from rev 398, trunk/COPYING)
===================================================================
--- pkg/depmixS4/COPYING (rev 0)
+++ pkg/depmixS4/COPYING 2010-03-09 12:43:42 UTC (rev 403)
@@ -0,0 +1,340 @@
+ GNU GENERAL PUBLIC LICENSE
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Copied: pkg/depmixS4/DESCRIPTION (from rev 398, trunk/DESCRIPTION)
===================================================================
--- pkg/depmixS4/DESCRIPTION (rev 0)
+++ pkg/depmixS4/DESCRIPTION 2010-03-09 12:43:42 UTC (rev 403)
@@ -0,0 +1,12 @@
+Package: depmixS4
+Version: 0.9-0
+Date: 2010-03-08
+Title: Dependent Mixture Models
+Author: Ingmar Visser <i.visser at uva.nl>, Maarten Speekenbrink <m.speekenbrink at ucl.ac.uk>
+Maintainer: Ingmar Visser <i.visser at uva.nl>
+Depends: R (>= 2.9.1), stats, nnet, methods, MASS, Rsolnp
+Suggests: Rdonlp2, gamlss, gamlss.dist
+Description: Fit latent (hidden) Markov models on mixed categorical and continuous (timeseries)
+ data, otherwise known as dependent mixture models
+License: GPL (>=2)
+URL: http://depmix.r-forge.r-project.org/
Copied: pkg/depmixS4/NAMESPACE (from rev 398, trunk/NAMESPACE)
===================================================================
--- pkg/depmixS4/NAMESPACE (rev 0)
+++ pkg/depmixS4/NAMESPACE 2010-03-09 12:43:42 UTC (rev 403)
@@ -0,0 +1,59 @@
+import(methods)
+
+importFrom(stats, predict, simulate, AIC, logLik)
+
+export(
+ makeDepmix,
+ makeMix,
+ lystig,
+ fb,
+ forwardbackward,
+ MVNresponse,
+ llratio,
+ multinomial,
+ em,
+ viterbi,
+ mlogit
+)
+
+exportClasses(
+ depmix,
+ depmix.sim,
+ mix,
+ mix.sim,
+ depmix.fitted,
+ mix.fitted,
+ response,
+ GLMresponse,
+ MVNresponse,
+ transInit
+)
+
+exportMethods(
+ AIC,
+ BIC,
+ fit,
+ getConstraints,
+ npar,
+ freepars,
+ nlin,
+ getdf,
+ nobs,
+ nresp,
+ ntimes,
+ nstates,
+ depmix,
+ mix,
+ posterior,
+ GLMresponse,
+ MVNresponse,
+ transInit,
+ setpars,
+ getpars,
+ logLik,
+ predict,
+ dens,
+ show,
+ simulate,
+ summary
+)
Copied: pkg/depmixS4/NEWS (from rev 398, trunk/NEWS)
===================================================================
--- pkg/depmixS4/NEWS (rev 0)
+++ pkg/depmixS4/NEWS 2010-03-09 12:43:42 UTC (rev 403)
@@ -0,0 +1,91 @@
+
+Changes in depmixS4 version 0.4-0
+
+ o added optimization using Rsolnp, which can be invoked by using
+ method="rsolnp" in calling fit on (dep-)mix objects. The Rsolnp
+ solver is currently available from r-forge.
+
+ o added documentation for control arguments that can be passed to
+ em algorithm.
+
+
+Changes in depmixS4 version 0.3-0
+
+ o added multinomial response function with identity link (no covariates
+ allowed in such a model); useful when (many) boundary values occur;
+ currently no constraints are used for such models, and hence only EM
+ can be used for optimization, or alternatively, if and when Rdonlp2
+ is used, sum constraints need to be added when fitting the model.
+ See ?GLMresponse for details.
+
+ o added an example of how to specify a model with multivariate normal
+ responses (and fixed a bug in MVNresponse that prevented such models
+ from being specified in the first place). See ?makeDepmix for an
+ example.
+
+Changes in depmixS4 version 0.2-2
+
+ o fixed a warning produced when specifying conrows.upper and .lower in
+ the fit function
+
+ o added error message in case the initial log likelihood is infeasible
+
+ o fixed a bug in the fit function for multinomial response models with
+ covariates (thanks to Gilles Dutilh for spotting this)
+
+Changes in depmixS4 version 0.2-1
+
+ o fixed a bug in the Viterbi algorithm used to compute posterior states
+ (this bug was introduced in version 0.2-0)
+
+ o restructured test files somewhat
+
+ o fixed a bug in the use of the conrows argument in the fit function (a
+ missing drop=FALSE statement)
+
+ o updated help files for mix classes
+
+ o fixed a bug in setting the starting values of regression coefficients in
+ prior and transInit models with covariates (thanks to Verena Schmittmann
+ for reporting this)
+
+ o added newx argument to predict function of transInit objects, to be used
+ for predicting probabilities depending on covariates (useful in eg plotting
+ transition probabilities as function of a covariate)
+
+ o added example of the use of conrows argument in fitting functions and other
+ minor updates in documentation
+
+Changes in depmixS4 version 0.2-0
+
+ o restructured R and Rd (help) files; added depmixS4 help with a short
+ overview of the package and links to appropriate help files
+
+ o added function 'simulate' to generate new data from a (fitted) model
+
+ o added function 'forwardbackward' to access the forward and backward
+ variables as well as the smoothed transition and state variables
+
+ o added new glm distributions: gamma, poisson
+
+ o added multivariate normal distribution
+
+ o freepars now works correctly on both depmix and depmix.fitted objects
+
+ o added function 'nlin' to compute the number of linear constraints in
+ a fitted model object
+
+ o added mix class for mixture and latent class models; the depmix class
+ extends this mix class and adds a transition model to it
+
+ o added help file for makeDepmix to provide full control in specifying
+ models
+
+ o minor changes to make depmixS4 compatible with R 2.7.1
+
+
+Changes in depmixS4 version 0.1-1
+
+ o adjusted for R 2.7.0
+
+First version released on CRAN: 0.1-0
Copied: pkg/depmixS4/R/EM.R (from rev 398, trunk/R/EM.R)
===================================================================
--- pkg/depmixS4/R/EM.R (rev 0)
+++ pkg/depmixS4/R/EM.R 2010-03-09 12:43:42 UTC (rev 403)
@@ -0,0 +1,206 @@
+#
+# Maarten Speekenbrink 23-3-2008
+#
+
+em <- function(object,maxit=100,tol=1e-8,crit=c("relative","absolute"),verbose=FALSE,...) {
+ if(!is(object,"mix")) stop("object is not of class '(dep)mix'")
+ call <- match.call()
+ if(is(object,"depmix")) {
+ call[[1]] <- as.name("em.depmix")
+ } else {
+ call[[1]] <- as.name("em.mix")
+ }
+ object <- eval(call, parent.frame())
+ object
+}
+
+# em for lca and mixture models
+em.mix <- function(object,maxit=100,tol=1e-8,crit=c("relative","absolute"),verbose=FALSE,...) {
+
+ if(!is(object,"mix")) stop("object is not of class 'mix'")
+
+ crit <- match.arg(crit)
+
+ ns <- object at nstates
+ ntimes <- ntimes(object)
+ lt <- length(ntimes)
+ et <- cumsum(ntimes)
+ bt <- c(1,et[-lt]+1)
+
+ converge <- FALSE
+ j <- 0
+
+ # compute responsibilities
+ B <- apply(object at dens,c(1,3),prod)
+ gamma <- object at init*B
+ LL <- sum(log(rowSums(gamma)))
+ # normalize
+ gamma <- gamma/rowSums(gamma)
+
+ LL.old <- LL + 1
+
+ while(j <= maxit & !converge) {
+
+ # maximization
+
+ # should become object at prior <- fit(object at prior)
+ object at prior@y <- gamma[bt,,drop=FALSE]
+ object at prior <- fit(object at prior, w=NULL,ntimes=NULL)
+ object at init <- dens(object at prior)
+
+ for(i in 1:ns) {
+ for(k in 1:nresp(object)) {
+ object at response[[i]][[k]] <- fit(object at response[[i]][[k]],w=gamma[,i])
+ # update dens slot of the model
+ object at dens[,k,i] <- dens(object at response[[i]][[k]])
+ }
+ }
+
+ # expectation
+ B <- apply(object at dens,c(1,3),prod)
+ gamma <- object at init*B
+ LL <- sum(log(rowSums(gamma)))
+ # normalize
+ gamma <- gamma/rowSums(gamma)
+
+ # print stuff
+ if(verbose&((j%%5)==0)) {
+ cat("iteration",j,"logLik:",LL,"\n")
+ }
+
+ if(LL >= LL.old) {
+ if((crit == "absolute" && LL - LL.old < tol) || (crit == "relative" && (LL.old - LL)/LL.old < tol)) {
+ cat("iteration",j,"logLik:",LL,"\n")
+ converge <- TRUE
+ }
+ } else {
+ # this should not really happen...
+ if(j > 0) warning("likelihood decreased on iteration",j)
+ }
+
+ LL.old <- LL
+ j <- j+1
+
+ }
+
+ class(object) <- "mix.fitted"
+
+ if(converge) {
+ object at message <- switch(crit,
+ relative = "Log likelihood converged to within tol. (relative change crit.)",
+ absolute = "Log likelihood converged to within tol. (absolute change crit.)"
+ )
+ } else object at message <- "'maxit' iterations reached in EM without convergence."
+
+ # no constraints in EM, except for the standard constraints ...
+ # which are produced by the following (only necessary for getting df right in logLik and such)
+ constraints <- getConstraints(object)
+ object at conMat <- constraints$lincon
+ object at lin.lower <- constraints$lin.l
+ object at lin.upper <- constraints$lin.u
+
+ object
+
+}
+
+# em for hidden markov models
+em.depmix <- function(object,maxit=100,tol=1e-8,crit=c("relative","absolute"),verbose=FALSE,...) {
+
+ if(!is(object,"depmix")) stop("object is not of class '(dep)mix'")
+ crit <- match.arg(crit)
+
+ ns <- object at nstates
+
+ ntimes <- ntimes(object)
+ lt <- length(ntimes)
+ et <- cumsum(ntimes)
+ bt <- c(1,et[-lt]+1)
+
+ converge <- FALSE
+ j <- 0
+
+ # A <- object at trDens
+ # B <- object at dens
+ # init <- object at init
+
+ # initial expectation
+ fbo <- fb(init=object at init,A=object at trDens,B=object at dens,ntimes=ntimes(object),stationary=object at stationary)
+ LL <- fbo$logLike
+ LL.old <- LL + 1
+
+ while(j <= maxit & !converge) {
+
+ # maximization
+
+ # should become object at prior <- fit(object at prior)
+ object at prior@y <- fbo$gamma[bt,,drop=FALSE]
+ object at prior <- fit(object at prior, w=NULL,ntimes=NULL)
+ object at init <- dens(object at prior)
+
+ trm <- matrix(0,ns,ns)
+ for(i in 1:ns) {
+ if(!object at stationary) {
+ object at transition[[i]]@y <- fbo$xi[,,i]/fbo$gamma[,i]
+ object at transition[[i]] <- fit(object at transition[[i]],w=as.matrix(fbo$gamma[,i]),ntimes=ntimes(object)) # check this
+ } else {
+ for(k in 1:ns) {
+ trm[i,k] <- sum(fbo$xi[-c(et),k,i])/sum(fbo$gamma[-c(et),i])
+ }
+ # FIX THIS; it will only work with specific trinModels??
+ object at transition[[i]]@parameters$coefficients <- switch(object at transition[[i]]@family$link,
+ identity = object at transition[[i]]@family$linkfun(trm[i,]),
+ mlogit = object at transition[[i]]@family$linkfun(trm[i,],base=object at transition[[i]]@family$base),
+ object at transition[[i]]@family$linkfun(trm[i,])
+ )
+ }
+ # update trDens slot of the model
+ object at trDens[,,i] <- dens(object at transition[[i]])
+ }
+
+ for(i in 1:ns) {
+ for(k in 1:nresp(object)) {
+ object at response[[i]][[k]] <- fit(object at response[[i]][[k]],w=fbo$gamma[,i])
+ # update dens slot of the model
+ object at dens[,k,i] <- dens(object at response[[i]][[k]])
+ }
+ }
+
+ # expectation
+ fbo <- fb(init=object at init,A=object at trDens,B=object at dens,ntimes=ntimes(object),stationary=object at stationary)
+ LL <- fbo$logLike
+
+ if(verbose&((j%%5)==0)) cat("iteration",j,"logLik:",LL,"\n")
+
+ if( (LL >= LL.old)) {
+ if((crit == "absolute" && LL - LL.old < tol) || (crit == "relative" && (LL.old - LL)/LL.old < tol)) {
+ cat("iteration",j,"logLik:",LL,"\n")
+ converge <- TRUE
+ }
+ } else {
+ # this should not really happen...
+ if(j > 0) warning("likelihood decreased on iteration",j)
+ }
+
+ LL.old <- LL
+ j <- j+1
+
+ }
+
+ class(object) <- "depmix.fitted"
+
+ if(converge) {
+ object at message <- switch(crit,
+ relative = "Log likelihood converged to within tol. (relative change crit.)",
+ absolute = "Log likelihood converged to within tol. (absolute change crit.)"
+ )
+ } else object at message <- "'maxit' iterations reached in EM without convergence."
+
+ # no constraints in EM, except for the standard constraints ...
+ # which are produced by the following (only necessary for getting df right in logLik and such)
+ constraints <- getConstraints(object)
+ object at conMat <- constraints$lincon
+ object at lin.lower <- constraints$lin.l
+ object at lin.upper <- constraints$lin.u
+
+ object
+}
Copied: pkg/depmixS4/R/allGenerics.R (from rev 398, trunk/R/allGenerics.R)
===================================================================
--- pkg/depmixS4/R/allGenerics.R (rev 0)
+++ pkg/depmixS4/R/allGenerics.R 2010-03-09 12:43:42 UTC (rev 403)
@@ -0,0 +1,79 @@
+
+#
+# Ingmar Visser, 23-3-2008
+#
+
+.First.lib <- function(lib, pkg) {
+ require(stats)
+ require(methods)
+ require(MASS)
+ require(nnet)
+}
+
+.Last.lib <- function(libpath) {}
+
+# Guess what: all generics
+
+setGeneric("depmix", function(response,data=NULL,nstates,transition=~1,family=gaussian(),prior=~1,initdata=NULL,
+ respstart=NULL,trstart=NULL,instart=NULL,ntimes=NULL, ...) standardGeneric("depmix"))
+
+setGeneric("GLMresponse", function(formula, data = NULL, family = gaussian(), pstart =
+ NULL, fixed = NULL, prob=TRUE, ...) standardGeneric("GLMresponse"))
+
+setGeneric("MVNresponse", function(formula, data = NULL,pstart=NULL,fixed=NULL,...) standardGeneric("MVNresponse"))
+
+setGeneric("transInit", function(formula, nstates, data = NULL, family = multinomial(),
+ pstart = NULL, fixed = NULL, prob=TRUE, ...) standardGeneric("transInit"))
+
+setGeneric("npar", function(object, ...) standardGeneric("npar"))
+
+setGeneric("nobs", function(object, ...) standardGeneric("nobs"))
+
+setGeneric("ntimes", function(object, ...) standardGeneric("ntimes"))
+
+setGeneric("nstates", function(object, ...) standardGeneric("nstates"))
+
+setGeneric("nresp", function(object, ...) standardGeneric("nresp"))
+
+setGeneric("freepars", function(object, ...) standardGeneric("freepars"))
+
+setGeneric("nlin", function(object, ...) standardGeneric("nlin"))
+
+# setGeneric("getModel", function(object, ...) standardGeneric("getModel"))
+
+# setGeneric("logLik", function(object, ...) standardGeneric("logLik"))
+
+setGeneric("fit", function(object, ...) standardGeneric("fit"))
+
+setGeneric("getConstraints", function(object, ...) standardGeneric("getConstraints"))
+
+setGeneric("posterior", function(object, ...) standardGeneric("posterior"))
+
+setGeneric("forwardbackward", function(object, ...) standardGeneric("forwardbackward"))
+
+setGeneric("simulate", function(object,nsim=1,seed=NULL, ...) standardGeneric("simulate"))
+
+setGeneric("predict", function(object, ...) standardGeneric("predict"))
+
+# setGeneric("AIC", function(object, ..., k=2) standardGeneric("AIC"))
+
+setGeneric("BIC", function(object, ...) standardGeneric("BIC"))
+
+setGeneric("getdf",function(object) standardGeneric("getdf"))
+
+setGeneric("setpars", function(object,values,which="pars",...) standardGeneric("setpars"))
+
+setGeneric("getpars", function(object,which="pars",...) standardGeneric("getpars"))
+
+setGeneric("logDens",function(object,...) standardGeneric("logDens"))
+
+setGeneric("dens",function(object,...) standardGeneric("dens"))
+
+setGeneric("summary")
+
+setGeneric("ntimes", function(object, ...) standardGeneric("ntimes"))
+
+setGeneric("nresp", function(object, ...) standardGeneric("nresp"))
+
+setGeneric("is.stationary", function(object,...) standardGeneric("is.stationary"))
+
Copied: pkg/depmixS4/R/depmix-class.R (from rev 398, trunk/R/depmix-class.R)
===================================================================
--- pkg/depmixS4/R/depmix-class.R (rev 0)
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/depmix -r 403
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