103 lines
3.8 KiB
R
103 lines
3.8 KiB
R
#' (Slightly altered) old implementation
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#'
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#' @export
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kpir.base <- function(X, Fy, p, t, k = 1L, r = 1L, d1 = 1L, d2 = 1L,
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method = c("mle", "ls"),
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eps1 = 1e-10, eps2 = 1e-10, max.iter = 500L,
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logger = NULL
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) {
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log.likelihood <- function(par, X, Fy, Delta.inv, da, db) {
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alpha <- matrix(par[1:prod(da)], da[1L])
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beta <- matrix(par[(prod(da) + 1):length(par)], db[1L])
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error <- X - tcrossprod(Fy, kronecker(alpha, beta))
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sum(error * (error %*% Delta.inv))
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}
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# Validate method using unexact matching.
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method <- match.arg(method)
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# ## Step 1:
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# # OLS estimate of the model `X = F_y B + epsilon`.
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# B <- t(solve(crossprod(Fy), crossprod(Fy, X)))
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### Step 1: (Approx) Least Squares solution for `X = Fy B' + epsilon`
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cpFy <- crossprod(Fy)
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if (n <= k * r || qr(cpFy)$rank < k * r) {
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# In case of under-determined system replace the inverse in the normal
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# equation by the Moore-Penrose Pseudo Inverse
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B <- t(matpow(cpFy, -1) %*% crossprod(Fy, X))
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} else {
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# Compute OLS estimate by the Normal Equation
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B <- t(solve(cpFy, crossprod(Fy, X)))
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}
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# Estimate alpha, beta as nearest kronecker approximation.
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c(alpha, beta) %<-% approx.kronecker(B, c(t, r), c(p, k))
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if (method == "ls") {
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# Estimate Delta.
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B <- kronecker(alpha, beta)
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rank <- if (ncol(Fy) == 1) 1L else qr(Fy)$rank
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resid <- X - tcrossprod(Fy, B)
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Delta <- crossprod(resid) / (nrow(X) - rank)
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} else { # mle
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B <- kronecker(alpha, beta)
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# Compute residuals
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resid <- X - tcrossprod(Fy, B)
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# Estimate initial Delta.
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Delta <- crossprod(resid) / nrow(X)
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# call logger with initial starting value
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if (is.function(logger)) {
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# Transformed Residuals (using `matpow` as robust inversion algo,
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# uses Moore-Penrose Pseudo Inverse in case of singular `Delta`)
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resid.trans <- resid %*% matpow(Delta, -1)
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loss <- 0.5 * (nrow(X) * log(det(Delta)) + sum(resid.trans * resid))
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logger(0L, loss, alpha, beta, Delta, NA)
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}
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for (iter in 1:max.iter) {
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# Optimize log-likelihood for alpha, beta with fixed Delta.
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opt <- optim(c(alpha, beta), log.likelihood, gr = NULL,
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X, Fy, matpow(Delta, -1), c(t, r), c(p, k))
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# Store previous alpha, beta and Delta (for break consition).
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Delta.last <- Delta
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B.last <- B
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# Extract optimized alpha, beta.
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alpha <- matrix(opt$par[1:(t * r)], t, r)
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beta <- matrix(opt$par[(t * r + 1):length(opt$par)], p, k)
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# Calc new Delta with likelihood optimized alpha, beta.
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B <- kronecker(alpha, beta)
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resid <- X - tcrossprod(Fy, B)
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Delta <- crossprod(resid) / nrow(X)
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# call logger before break condition check
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if (is.function(logger)) {
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# Transformed Residuals (using `matpow` as robust inversion algo,
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# uses Moore-Penrose Pseudo Inverse in case of singular `Delta`)
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resid.trans <- resid %*% matpow(Delta, -1)
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loss <- 0.5 * (nrow(X) * log(det(Delta)) + sum(resid.trans * resid))
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logger(iter, loss, alpha, beta, Delta, NA)
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}
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# Check break condition 1.
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if (norm(Delta - Delta.last, 'F') < eps1 * norm(Delta, 'F')) {
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# Check break condition 2.
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if (norm(B - B.last, 'F') < eps2 * norm(B, 'F')) {
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break
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}
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}
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}
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}
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# calc final loss
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resid.trans <- resid %*% matpow(Delta, -1)
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loss <- 0.5 * (nrow(X) * log(det(Delta)) + sum(resid.trans * resid))
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list(loss = loss, alpha = alpha, beta = beta, Delta = Delta)
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}
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