## ----include = FALSE---------------------------------------------------------- knitr::opts_chunk$set( collapse = TRUE, comment = NULL ) ## ----eval = FALSE------------------------------------------------------------- # theta0 <- lapply(seq_len(N_chains),myfunction) ## ----echo = FALSE, eval = FALSE----------------------------------------------- # set.seed(123) ## ----setup, eval = TRUE, echo = FALSE----------------------------------------- library(XDNUTS) ## ----eval = TRUE-------------------------------------------------------------- #observed data X <- 50 #hyperparameteers a0 <- 10 b0 <- 10 #list of arguments arglist <- list(data = X, hyp = c(a0,b0)) ## ----eval = TRUE-------------------------------------------------------------- #function for the negative log posterior and its gradient #with respect to the continuous components nlp <- function(par,args,eval_nlp = TRUE){ if(eval_nlp){ #only the negative log posterior #overflow if(any(par > 30)) return(Inf) #conversion of the r value r <- ceiling(1 + args$data*plogis(par[2])) - 1 #output out <- sum(log(seq_len(r-1))) + (args$data + args$hyp[1] + args$hyp[2])*log(1+exp(-par[1])) + par[1]*(args$data - r + args$hyp[2]) + par[2] + 2*log(1+exp(-par[2])) if(r > 2) out <- out - sum(log(seq(args$data - r + 1,args$data - 1))) return(out) }else{ #only the gradient #overflow if(any(par > 30)) return(Inf) #conversion of the r value r <- ceiling(1 + args$data*plogis(par[2])) - 1 #output return( (args$data - r + args$hyp[2]) - (args$data + args$hyp[1] + args$hyp[2])*(1-plogis(par[1])) ) } } ## ----warning=FALSE, message=FALSE, eval = TRUE-------------------------------- #MCMC set.seed(1) chains <- xdnuts(theta0 = lapply(1:4,function(x) c(omega = rnorm(1),r_hat = rnorm(1))), nlp = nlp, args = arglist, k = 1, thin = 1, parallel = FALSE, method = "NUTS", hide = TRUE) ## ----------------------------------------------------------------------------- chains ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(chains) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(chains, type = 2, gg = FALSE) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(chains, type = 3) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(chains, type = 4) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(chains, type = 5) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(chains, type = 6) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(chains, type = 7) ## ----warning=FALSE, message=FALSE, out.width='70%',out.height='70%', eval = TRUE---- summary(chains) ## ----eval = TRUE, dpi = 300--------------------------------------------------- #MCMC set.seed(1) chains <- xdnuts(theta0 = lapply(1:4,function(x) rnorm(2)), nlp = nlp, args = arglist, k = 2, thin = 1, parallel = FALSE, method = "XHMC", hide = TRUE, tau = 0.01) ## ----eval = TRUE-------------------------------------------------------------- #define the function to be applied to each sample f <- function(x,XX) { c( plogis(x[1]), #inverse logistic for the probability ceiling(1 + XX*plogis(x[2])) - 1 #number of trials ) } original_chains <- xdtransform(X = chains, which = NULL, FUN = f,XX = arglist$data, new.names = c("p","r")) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(original_chains, type = 2, gg = FALSE) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(original_chains, type = 4) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(original_chains, type = 6) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- summary(original_chains) ## ----eval = TRUE-------------------------------------------------------------- data(viscosity) viscosity #create the list function arglist <- list(data = as.matrix(viscosity[,-1]), hyp = c(0, #mean a priori for mu 1000, #variance a priori for mu 0.5,1,0.5,1 #inverse gamma iperparameters ) ) ## ----eval = TRUE-------------------------------------------------------------- nlp <- function(par,args,eval_nlp = TRUE){ if(eval_nlp){ #only the negative log posterior #overflow if(any(abs(par[2:3]) > 30)) return(Inf) return(par[2] * ( prod(dim(args$data)) + args$hyp[3] ) + (sum( (args$data - par[-(1:3)])^2 ) + 2*args$hyp[4])*exp(-par[2])/2 + par[3] * (length(par[-(1:3)]) + args$hyp[5]) + (sum( (par[-(1:3)] - par[1])^2 ) + 2+args$hyp[6])*exp(-par[3])/2 + (par[1] - args$hyp[1])^2/2/args$hyp[2]) }else{ #only the gradient #overflow if(any(abs(par[2:3]) > 30)) return(rep(Inf,9)) c( -sum( par[-(1:3)] - par[1] )*exp(-par[3]) + ( par[1] - args$hyp[1])/args$hyp[2], #mu derivative prod(dim(args$data)) + args$hyp[3] - (sum( (args$data - par[-(1:3)])^2 ) + 2*args$hyp[4])*exp(-par[2])/2, #omega derivative length(par[-(1:3)]) + args$hyp[5] - (sum( (par[-(1:3)] - par[1])^2 ) + 2+args$hyp[6])*exp(-par[3])/2, #omega_a derivative -apply(args$data - par[-(1:3)],1,sum)*exp(-par[2]) + (par[-(1:3)] - par[1])*exp(-par[3]) #random effects gradient ) } } ## ----eval = TRUE-------------------------------------------------------------- #MCMC set.seed(1) chains <- xdnuts(theta0 = lapply(1:4,function(x) { out <- rnorm(3 + 6) names(out) <- c("mu","log_s2","log_s2_a", paste0("mu",1:6)) out}), nlp = nlp, args = arglist, k = 0, #no discontinuous components thin = 1, parallel = FALSE, method = "HMC", hide = TRUE, L = 31, control = set_parameters(L_jitter = 5, N_adapt = 1e3, keep_warm_up = TRUE)) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(chains,warm_up = TRUE) ## ----eval = TRUE-------------------------------------------------------------- original_chains <- xdtransform(X = chains,which = 2:3, FUN = exp,new.names = c("s2","s2_a")) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(original_chains, type = 3) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(original_chains, type = 2, which = 1:3, gg = FALSE, scale = 0.5)#fixed ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(original_chains, type = 2, which = 4:9, gg = FALSE, scale = 0.5)#random ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- plot(original_chains, type = 6) ## ----out.width='70%', out.height='70%', eval = TRUE--------------------------- summary(original_chains, q.val = c(0.05,0.5,0.95)) ## ----out.width='70%', out.height='70%', eval = TRUE, dpi = 300---------------- #extract samples into matrix theta <- xdextract(original_chains,collapse = TRUE) #compute prediction y_hat <- sapply(1:6, function(i){ rnorm(NROW(theta),theta[,3+i],sqrt(theta[,2])) }) #plot prediction op <- par(no.readonly = TRUE) par(mar=c(5.1, 4.1, 2.1, 4.1), xpd=TRUE) plot(NULL, xlim = c(1,6), ylim = c(15,85), xlab = "Subject", ylab = "Viscosity", bty = "L") for(i in 1:6){ #data points(rep(i,7),viscosity[i,-1], pch = 16) #data 95% credible intervals for the prediction lines(rep(i,2),quantile(y_hat[,i],c(0.025,0.975)), col = 3, lwd = 3) #random effects 95% credible intervals lines(rep(i,2),quantile(theta[,3+i],c(0.025,0.975)), col = 4, lwd = 4) } legend("topright",inset=c(-0.2,-0.2), lty = 1, lwd = 2, col = c(3,4), title = "95% Credible Intervals", legend = c("prediction","random effects"), bty = "n", bg = "transparent", cex = 0.8) par(op)