[Pomp-commits] r604 - in pkg: . R inst inst/doc man tests
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Jan 19 22:15:00 CET 2012
Author: kingaa
Date: 2012-01-19 22:14:59 +0100 (Thu, 19 Jan 2012)
New Revision: 604
Added:
pkg/man/sannbox.Rd
Modified:
pkg/DESCRIPTION
pkg/NAMESPACE
pkg/R/probe-match.R
pkg/R/sannbox.R
pkg/R/traj-match.R
pkg/inst/NEWS
pkg/inst/doc/manual.pdf
pkg/man/probe.Rd
pkg/man/traj-match.Rd
pkg/tests/ou2-trajmatch.R
pkg/tests/ou2-trajmatch.Rout.save
pkg/tests/ricker-probe.Rout.save
Log:
- add new 'traj.match.objfun' and 'probe.match.objfun' functions
- rearrange existing 'traj.match' and 'probe.match' codes to make use of these
- an improved 'sannbox' algorithm is now exported
Modified: pkg/DESCRIPTION
===================================================================
--- pkg/DESCRIPTION 2012-01-19 17:06:54 UTC (rev 603)
+++ pkg/DESCRIPTION 2012-01-19 21:14:59 UTC (rev 604)
@@ -1,13 +1,13 @@
Package: pomp
Type: Package
Title: Statistical inference for partially observed Markov processes
-Version: 0.40-3
-Date: 2012-01-19
+Version: 0.40-4
+Date: 2012-01-20
Author: Aaron A. King, Edward L. Ionides, Carles Breto, Steve Ellner, Bruce Kendall, Helen Wearing, Matthew J. Ferrari, Michael Lavine, Daniel C. Reuman
Maintainer: Aaron A. King <kingaa at umich.edu>
URL: http://pomp.r-forge.r-project.org
Description: Inference methods for partially-observed Markov processes
-Depends: R(>= 2.10.1), stats, methods, graphics, mvtnorm, subplex, deSolve
+Depends: R(>= 2.13.1), stats, methods, graphics, mvtnorm, subplex, deSolve
License: GPL(>= 2)
LazyLoad: true
LazyData: false
Modified: pkg/NAMESPACE
===================================================================
--- pkg/NAMESPACE 2012-01-19 17:06:54 UTC (rev 603)
+++ pkg/NAMESPACE 2012-01-19 21:14:59 UTC (rev 604)
@@ -85,5 +85,7 @@
probe.ccf,
probe.nlar,
probe.marginal,
- spect.match
+ sannbox,
+ spect.match,
+ traj.match.objfun
)
Modified: pkg/R/probe-match.R
===================================================================
--- pkg/R/probe-match.R 2012-01-19 17:06:54 UTC (rev 603)
+++ pkg/R/probe-match.R 2012-01-19 21:14:59 UTC (rev 604)
@@ -20,7 +20,6 @@
summary(as(object,"probed.pomp")),
list(
est=object at est,
- weights=object at weights,
value=object at value,
eval=object at evals,
convergence=object at convergence
@@ -30,180 +29,113 @@
}
)
-probe.mismatch <- function (par, est, object, probes, params,
- nsim = 1, seed = NULL,
- weights, datval,
- fail.value = NA) {
- if (missing(par)) par <- numeric(0)
- if (missing(est)) est <- integer(0)
+probe.match.objfun <- function (object, params, est, probes,
+ nsim = 1, seed = NULL, fail.value = NA, ...) {
+
+ if (missing(est)) est <- character(0)
+ if (!is.character(est)) stop(sQuote("est")," must be a vector of parameter names")
if (missing(params)) params <- coef(object)
+ if ((!is.numeric(params))||(is.null(names(params))))
+ stop(sQuote("params")," must be a named numeric vector")
+ par.est.idx <- match(est,names(params))
+ if (any(is.na(par.est.idx)))
+ stop("parameter(s): ",sQuote(est[is.na(par.est.idx)])," not found in ",sQuote("params"))
- params[est] <- par
+ if (!is.list(probes)) probes <- list(probes)
+ if (!all(sapply(probes,is.function)))
+ stop(sQuote("probes")," must be a function or a list of functions")
+ if (!all(sapply(probes,function(f)length(formals(f))==1)))
+ stop("each probe must be a function of a single argument")
+
+ datval <- .Call(apply_probe_data,object,probes) # apply probes to data
+
+ obj.fun <- function (par) {
+ params[par.est.idx] <- par
- ## apply probes to model simulations
- simval <- .Call(
- apply_probe_sim,
- object=object,
- nsim=nsim,
- params=params,
- seed=seed,
- probes=probes,
- datval=datval
- )
-
- ## compute a measure of the discrepancies between simulations and data
- sim.means <- colMeans(simval)
- simval <- sweep(simval,2,sim.means)
- discrep <- ((datval-sim.means)^2)/colMeans(simval^2)
- if ((length(weights)>1) && (length(weights)!=length(discrep)))
- stop(length(discrep)," probes have been computed, but ",length(weights)," have been supplied")
- if (!all(is.finite(discrep))) {
- mismatch <- fail.value
- } else if (length(weights)>1) {
- mismatch <- sum(discrep*weights)/sum(weights)
- } else {
- mismatch <- sum(discrep)
+ ## apply probes to model simulations
+ simval <- .Call(
+ apply_probe_sim,
+ object=object,
+ nsim=nsim,
+ params=params,
+ seed=seed,
+ probes=probes,
+ datval=datval
+ )
+
+ ll <- .Call(synth_loglik,simval,datval)
+ if (is.finite(ll)||is.na(fail.value)) -ll else fail.value
}
- mismatch
+ obj.fun
}
-neg.synth.loglik <- function (par, est, object, probes, params,
- nsim = 1, seed = NULL,
- weights, datval,
- fail.value = NA) {
- if (missing(par)) par <- numeric(0)
- if (missing(est)) est <- integer(0)
- if (missing(params)) params <- coef(object)
-
- params[est] <- par
-
- ## apply probes to model simulations
- simval <- .Call(
- apply_probe_sim,
- object=object,
- nsim=nsim,
- params=params,
- seed=seed,
- probes=probes,
- datval=datval
- )
-
- ll <- .Call(synth_loglik,simval,datval)
- -ll
-}
-
probe.match.internal <- function(object, start, est,
probes, weights,
nsim, seed,
method, verbose,
eval.only, fail.value, ...) {
- obj.fn <- neg.synth.loglik
+ if (eval.only) {
+ est <- character(0)
+ guess <- numeric(0)
+ } else {
+ if (!is.character(est)) stop(sQuote("est")," must be a vector of parameter names")
+ if (length(start)<1)
+ stop(sQuote("start")," must be supplied if ",sQuote("object")," contains no parameters")
+ if (is.null(names(start))||(!all(est%in%names(start))))
+ stop(sQuote("est")," must refer to parameters named in ",sQuote("start"))
+ guess <- start[est]
+ }
- if (!is.list(probes)) probes <- list(probes)
+ obj <- as(object,"pomp")
+ coef(obj) <- start
- if (!eval.only&&(length(est)<1))
- stop("parameters to be estimated must be specified in ",sQuote("est"))
- if (!is.character(est)|!all(est%in%names(start)))
- stop(sQuote("est")," must refer to parameters named in ",sQuote("start"))
- par.index <- which(names(start)%in%est)
-
- if (!all(sapply(probes,is.function)))
- stop(sQuote("probes")," must be a function or a list of functions")
- if (!all(sapply(probes,function(f)length(formals(f))==1)))
- stop("each probe must be a function of a single argument")
-
- params <- start
- guess <- params[par.index]
+ obj.fn <- probe.match.objfun(
+ obj,
+ est=est,
+ probes=probes,
+ nsim=nsim,
+ seed=seed,
+ fail.value=fail.value
+ )
- datval <- .Call(apply_probe_data,object,probes) # apply probes to data
if (eval.only) {
- val <- obj.fn(
- par=guess,
- est=par.index,
- object=object,
- probes=probes,
- params=params,
- nsim=nsim,
- seed=seed,
- weights=weights,
- datval=datval,
- fail.value=fail.value
- )
+
+ val <- obj.fn(guess)
conv <- NA
evals <- as.integer(c(1,0))
msg <- paste("no optimization performed")
+
} else {
- if (method == 'subplex') {
- opt <- subplex::subplex(
- par=guess,
- fn=obj.fn,
- est=par.index,
- object=object,
- probes=probes,
- params=params,
- nsim=nsim,
- seed=seed,
- weights=weights,
- datval=datval,
- fail.value=fail.value,
- control=list(...)
- )
+ if (method == 'subplex') {
+ opt <- subplex::subplex(par=guess,fn=obj.fn,control=list(...))
} else if (method=="sannbox") {
- opt <- sannbox(
- par=guess,
- fn=obj.fn,
- est=par.index,
- object=object,
- probes=probes,
- params=params,
- nsim=nsim,
- seed=seed,
- weights=weights,
- datval=datval,
- fail.value=fail.value,
- control=list(...)
- )
-
+ opt <- sannbox(par=guess,fn=obj.fn,control=list(...))
} else {
- opt <- optim(
- par=guess,
- fn=obj.fn,
- est=par.index,
- object=object,
- probes=probes,
- params=params,
- nsim=nsim,
- seed=seed,
- weights=weights,
- datval=datval,
- fail.value=fail.value,
- method=method,
- control=list(...)
- )
+ opt <- optim(par=guess,fn=obj.fn,method=method,control=list(...))
}
- val <- opt$value
- params[par.index] <- opt$par
+
+ if (!is.null(names(opt$par)) && !all(est==names(opt$par)))
+ stop("mismatch between parameter names returned by optimizer and ",sQuote("est"))
+ coef(obj,est) <- unname(opt$par)
+ msg <- if (is.null(opt$message)) character(0) else opt$message
conv <- opt$convergence
+ val <- opt$value
evals <- opt$counts
- msg <- opt$message
}
new(
"probe.matched.pomp",
probe(
- as(object,"pomp"),
+ obj,
probes=probes,
- params=params,
nsim=nsim,
seed=seed
),
est=as.character(est),
- weights=weights,
- fail.value=as.numeric(fail.value),
value=val,
convergence=as.integer(conv),
evals=as.integer(evals),
@@ -333,3 +265,66 @@
)
}
)
+
+probe.mismatch <- function (par, est, object, probes, params,
+ nsim = 1, seed = NULL,
+ weights, datval,
+ fail.value = NA) {
+ if (missing(par)) par <- numeric(0)
+ if (missing(est)) est <- integer(0)
+ if (missing(params)) params <- coef(object)
+
+ params[est] <- par
+
+ ## apply probes to model simulations
+ simval <- .Call(
+ apply_probe_sim,
+ object=object,
+ nsim=nsim,
+ params=params,
+ seed=seed,
+ probes=probes,
+ datval=datval
+ )
+
+ ## compute a measure of the discrepancies between simulations and data
+ sim.means <- colMeans(simval)
+ simval <- sweep(simval,2,sim.means)
+ discrep <- ((datval-sim.means)^2)/colMeans(simval^2)
+ if ((length(weights)>1) && (length(weights)!=length(discrep)))
+ stop(length(discrep)," probes have been computed, but ",length(weights)," have been supplied")
+ if (!all(is.finite(discrep))) {
+ mismatch <- fail.value
+ } else if (length(weights)>1) {
+ mismatch <- sum(discrep*weights)/sum(weights)
+ } else {
+ mismatch <- sum(discrep)
+ }
+
+ mismatch
+}
+
+neg.synth.loglik <- function (par, est, object, probes, params,
+ nsim = 1, seed = NULL,
+ weights, datval,
+ fail.value = NA) {
+ if (missing(par)) par <- numeric(0)
+ if (missing(est)) est <- integer(0)
+ if (missing(params)) params <- coef(object)
+
+ params[est] <- par
+
+ ## apply probes to model simulations
+ simval <- .Call(
+ apply_probe_sim,
+ object=object,
+ nsim=nsim,
+ params=params,
+ seed=seed,
+ probes=probes,
+ datval=datval
+ )
+
+ ll <- .Call(synth_loglik,simval,datval)
+ if (is.finite(ll)||is.na(fail.value)) -ll else fail.value
+}
Modified: pkg/R/sannbox.R
===================================================================
--- pkg/R/sannbox.R 2012-01-19 17:06:54 UTC (rev 603)
+++ pkg/R/sannbox.R 2012-01-19 21:14:59 UTC (rev 604)
@@ -22,6 +22,7 @@
tmax=10,
sched=NULL,
candidate.dist=NULL,
+ fnscale=1,
parscale=1,
lower=-Inf,
upper=Inf,
@@ -31,15 +32,24 @@
control <- control.default
if (is.null(control$sched)) # default cooling schedule
- control$sched <- function (k) control$temp/log(((k-1)%/%control$tmax)*control$tmax+exp(1))
+ control$sched <- function (k, temp, tmax) temp/log(((k-1)%/%tmax)*tmax+exp(1))
if (is.function(control$sched))
- temps <- vapply(seq_len(control$maxit),control$sched,numeric(1))
- else if (is.numeric(control$sched))
+ temps <- vapply(
+ seq_len(control$maxit),
+ FUN=control$sched,
+ FUN.VALUE=numeric(1),
+ temp=control$temp,
+ tmax=control$tmax
+ )
+ else if (is.numeric(control$sched)) {
temps <- control$sched
+ if (length(temps)<control$maxit)
+ stop("insufficiently many temperatures supplied in ",sQuote("control$sched"))
+ }
if (is.null(control$candidate.dist))
- candidate.dist <- function (temp) rnorm(n=npar,mean=0,sd=control$parscale*temp)
+ candidate.dist <- function (par, temp, scale) rnorm(n=npar,mean=par,sd=scale*temp)
if (length(control$lower)<npar)
control$lower <- rep(control$lower,npar)
@@ -49,7 +59,7 @@
## initialization for the algorithm
laststep <- 0
thetabest <- thetacurrent <- par
- ycurrent <- fn(thetacurrent,...)
+ ycurrent <- fn(thetacurrent,...)/control$fnscale
if (!is.finite(ycurrent)) ycurrent <- big
ybest <- ycurrent
neval <- 1
@@ -62,7 +72,7 @@
## main loop
for (k in seq_len(control$maxit)) {
## get a candidate thetacand
- thetacand <- thetacurrent+candidate.dist(temps[k])
+ thetacand <- candidate.dist(thetacurrent,temps[k],control$parscale)
## enforce box constraints
thetacand <- ifelse(
thetacand<control$lower,
@@ -74,7 +84,7 @@
control$upper,
thetacand
)
- ycand <- fn(thetacand,...)
+ ycand <- fn(thetacand,...)/control$fnscale
if (!is.finite(ycand)) ycand <- big
neval <- neval+1
@@ -102,6 +112,8 @@
if (control$trace>0)
cat("best val=",ybest,"\n")
+ names(thetacurrent) <- names(thetabest) <- names(par)
+
list(
counts=c(neval,NA),
convergence=0,
Modified: pkg/R/traj-match.R
===================================================================
--- pkg/R/traj-match.R 2012-01-19 17:06:54 UTC (rev 603)
+++ pkg/R/traj-match.R 2012-01-19 21:14:59 UTC (rev 604)
@@ -30,41 +30,58 @@
}
)
+traj.match.objfun <- function (object, params, est) {
+
+ if (missing(est)) est <- character(0)
+ if (!is.character(est)) stop(sQuote("est")," must be a vector of parameter names")
+ if (missing(params)) params <- coef(object)
+ if ((!is.numeric(params))||(is.null(names(params))))
+ stop(sQuote("params")," must be a named numeric vector")
+ par.est.idx <- match(est,names(params))
+ if (any(is.na(par.est.idx)))
+ stop("parameter(s): ",sQuote(est[is.na(par.est.idx)])," not found in ",sQuote("params"))
+ params <- as.matrix(params)
+
+ obj.fn <- function (par) {
+ params[par.est.idx,] <- par
+ X <- trajectory(object,params=params)
+ d <- dmeasure(
+ object,
+ y=object at data,
+ x=X,
+ times=time(object),
+ params=params,
+ log=TRUE
+ )
+ -sum(d)
+ }
+
+ obj.fn
+}
+
traj.match.internal <- function (object, start, est, method, gr, eval.only, ...) {
if (eval.only) {
- par.est <- integer(0)
+ est <- character(0)
+ guess <- numeric(0)
} else {
if (!is.character(est)) stop(sQuote("est")," must be a vector of parameter names")
+ if (length(start)<1)
+ stop(sQuote("start")," must be supplied if ",sQuote("object")," contains no parameters")
if (!all(est%in%names(start)))
stop(sQuote("traj.match")," error: parameters named in ",sQuote("est"),
" must exist in ",sQuote("start"),call.=FALSE)
- par.est <- which(names(start)%in%est)
- guess <- start[par.est]
+ guess <- start[est]
}
- t0 <- timezero(object)
obj <- as(object,"pomp")
coef(obj) <- start
- pmat <- as.matrix(start)
- obj.fn <- function (x, object, params, t0, ind) {
- params[ind,] <- x
- X <- trajectory(object,params=params,t0=t0)
- d <- dmeasure(
- object,
- y=object at data,
- x=X,
- times=time(object),
- params=params,
- log=TRUE
- )
- -sum(d)
- }
+ obj.fn <- traj.match.objfun(obj,est=est)
if (eval.only) {
- val <- obj.fn(numeric(0),object=obj,params=pmat,t0=t0,ind=par.est)
+ val <- obj.fn(guess)
conv <- NA
evals <- c(1,0)
msg <- "no optimization performed"
@@ -72,46 +89,16 @@
} else {
if (method=="subplex") {
-
- opt <- subplex::subplex(
- par=guess,
- fn=obj.fn,
- control=list(...),
- object=obj,
- params=pmat,
- t0=t0,
- ind=par.est
- )
-
+ opt <- subplex::subplex(par=guess,fn=obj.fn,control=list(...))
} else if (method=="sannbox") {
-
- opt <- sannbox(
- par=guess,
- fn=obj.fn,
- control=list(...),
- object=obj,
- params=pmat,
- t0=t0,
- ind=par.est
- )
-
+ opt <- sannbox(par=guess,fn=obj.fn,control=list(...))
} else {
-
- opt <- optim(
- par=guess,
- fn=obj.fn,
- gr=gr,
- method=method,
- control=list(...),
- object=obj,
- params=pmat,
- t0=t0,
- ind=par.est
- )
-
+ opt <- optim(par=guess,fn=obj.fn,gr=gr,method=method,control=list(...))
}
- coef(obj,names(opt$par)) <- unname(opt$par)
+ if (!is.null(names(opt$par)) && !all(est==names(opt$par)))
+ stop("mismatch between parameter names returned by optimizer and ",sQuote("est"))
+ coef(obj,est) <- unname(opt$par)
msg <- if (is.null(opt$message)) character(0) else opt$message
conv <- opt$convergence
evals <- opt$counts
@@ -120,7 +107,7 @@
}
## fill 'states' slot of returned object with the trajectory
- x <- trajectory(obj,t0=t0)
+ x <- trajectory(obj)
obj at states <- array(data=x,dim=dim(x)[c(1,3)])
rownames(obj at states) <- rownames(x)
@@ -144,7 +131,7 @@
"traj.match",
signature=signature(object="pomp"),
function (object, start, est,
- method = c("Nelder-Mead","sannbox","subplex"),
+ method = c("Nelder-Mead","subplex","SANN","BFGS","sannbox"),
gr = NULL, eval.only = FALSE, ...) {
if (missing(start)) start <- coef(object)
if (!eval.only && missing(est))
@@ -167,7 +154,7 @@
"traj.match",
signature=signature(object="traj.matched.pomp"),
function (object, start, est,
- method = c("Nelder-Mead","sannbox","subplex"),
+ method = c("Nelder-Mead","subplex","SANN","BFGS","sannbox"),
gr = NULL, eval.only = FALSE, ...) {
if (missing(start)) start <- coef(object)
if (missing(est)) est <- object at est
Modified: pkg/inst/NEWS
===================================================================
--- pkg/inst/NEWS 2012-01-19 17:06:54 UTC (rev 603)
+++ pkg/inst/NEWS 2012-01-19 21:14:59 UTC (rev 604)
@@ -1,4 +1,12 @@
NEWS
+0.40-4
+ o New functions 'traj.match.objfun' and 'probe.match.objfun' have been added.
+ These functions construct functions of one argument suitable for use as objective functions in 'optim'-like optimizers (iincluding 'subplex' and 'sannbox').
+ Minimizing these functions solves the trajectory-matching problem and probe-matching problem, respectively.
+ This allows the user much greater flexibility in choice of optimization algorithm than is afforded by 'traj.match' and 'probe.match'.
+
+ o The 'sannbox' optimizer, which performs simulated annealing with box constraints, is now exported and available for general use.
+
0.40-3
o The 'bsmc' method has been improved, due to the contributions of Pierre Jacob.
Specifically, 'bsmc' no longer reports a log-likelihood (which it never really computed anyway) but a log-evidence.
@@ -15,8 +23,6 @@
Specifically, dw=rgammwn(sigma,dt) is Gamma distributed with mean dt and variance sigma^2*dt.
In this case, mu*dw/dt is suitable for use as a random rate in an Euler-multinomial process.
- o The "Brent" method for trajectory, probe, and spectrum matching has been added.
-
0.40-2
o A bug to do with computation of the number of steps needed in discrete-time simulation and trajectory computations has been fixed.
This bug was introduced in version 0.40-1.
Modified: pkg/inst/doc/manual.pdf
===================================================================
--- pkg/inst/doc/manual.pdf 2012-01-19 17:06:54 UTC (rev 603)
+++ pkg/inst/doc/manual.pdf 2012-01-19 21:14:59 UTC (rev 604)
@@ -157,410 +157,425 @@
(rw2)
endobj
105 0 obj
-<< /S /GoTo /D (Rfn.simulate.Rdash.pomp.1) >>
+<< /S /GoTo /D (Rfn.sannbox.1) >>
endobj
108 0 obj
-(simulate-pomp)
+(sannbox)
endobj
109 0 obj
-<< /S /GoTo /D (Rfn.sir.1) >>
+<< /S /GoTo /D (Rfn.simulate.Rdash.pomp.1) >>
endobj
112 0 obj
-(sir)
+(simulate-pomp)
endobj
113 0 obj
-<< /S /GoTo /D (Rfn.sliceDesign.1) >>
+<< /S /GoTo /D (Rfn.sir.1) >>
endobj
116 0 obj
-(sliceDesign)
+(sir)
endobj
117 0 obj
-<< /S /GoTo /D (Rfn.sobol.1) >>
+<< /S /GoTo /D (Rfn.sliceDesign.1) >>
endobj
120 0 obj
-(sobol)
+(sliceDesign)
endobj
121 0 obj
-<< /S /GoTo /D (Rfn.spect.1) >>
+<< /S /GoTo /D (Rfn.sobol.1) >>
endobj
124 0 obj
-(spect)
+(sobol)
endobj
125 0 obj
-<< /S /GoTo /D (Rfn.traj.match.1) >>
+<< /S /GoTo /D (Rfn.spect.1) >>
endobj
128 0 obj
-(traj.match)
+(spect)
endobj
129 0 obj
-<< /S /GoTo /D (Rfn.trajectory.1) >>
+<< /S /GoTo /D (Rfn.traj.match.1) >>
endobj
132 0 obj
-(trajectory)
+(traj.match)
endobj
133 0 obj
-<< /S /GoTo /D (Rfn.verhulst.1) >>
+<< /S /GoTo /D (Rfn.trajectory.1) >>
endobj
136 0 obj
-(verhulst)
+(trajectory)
endobj
137 0 obj
-<< /S /GoTo /D (index.0) >>
+<< /S /GoTo /D (Rfn.verhulst.1) >>
endobj
140 0 obj
-(Index)
+(verhulst)
endobj
141 0 obj
-<< /S /GoTo /D [142 0 R /Fit ] >>
+<< /S /GoTo /D (index.0) >>
endobj
-152 0 obj <<
-/Length 1221
+144 0 obj
+(Index)
+endobj
+145 0 obj
+<< /S /GoTo /D [146 0 R /Fit ] >>
+endobj
+156 0 obj <<
+/Length 1218
/Filter /FlateDecode
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[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/pomp -r 604
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