library(glmm) data(BoothHobert) clust <- makeCluster(2) set.seed(1234) mod.mcml1<-glmm(y~0+x1,list(y~0+z1),varcomps.names=c("z1"), data=BoothHobert, family.glmm=bernoulli.glmm, m=21, doPQL=TRUE, debug=TRUE, cluster=clust) mod.mcml<-mod.mcml1$mod.mcml z<-mod.mcml$z[[1]] x<-mod.mcml$x y<-mod.mcml$y stuff<-mod.mcml1$debug beta.pql<-stuff$beta.pql nu.pql<-stuff$nu.pql u.pql<-u.star<-stuff$u.star umat<-stuff$umat m1<-stuff$m1 family.glmm<-bernoulli.glmm objfun<-glmm:::objfun getEk<-glmm:::getEk addVecs<-glmm:::addVecs if(is.null(mod.mcml$weights)){ wts <- rep(1, length(y)) } else{ wts <- mod.mcml$weights } ############################################ #this should be the same as elc logfyuk<-function(eta,x,y){ value<-sum(y*eta)-sum(log(1+exp(eta))) Pi<-exp(eta)/(1+exp(eta)) gradient<-sum(y*x)-sum(x*Pi) hessian<-sum(x^2*(-Pi+Pi^2) ) list(value=value,gradient=gradient,hessian=hessian) } #compare elc and logfyuk for a value of eta eta<-rep(2,150) ntrials <- rep(1, 150) this<-.C(glmm:::C_elc,as.double(mod.mcml$y), as.double(mod.mcml$x), as.integer(nrow(mod.mcml$x)), as.integer(ncol(mod.mcml$x)), as.double(eta), as.integer(1), ntrials=as.integer(ntrials), wts=as.double(wts),value=double(1), gradient=double(ncol(mod.mcml$x)), hessian=double((ncol(mod.mcml$x)^2))) that<-logfyuk(eta,mod.mcml$x,mod.mcml$y) all.equal(as.numeric(this$value),as.numeric(that$value)) all.equal(as.numeric(this$gradient),as.numeric(that$gradient)) all.equal(as.numeric(this$hessian),as.numeric(that$hessian)) #compare elval to logfyuk this<-.C(glmm:::C_elval, as.double(mod.mcml$y), as.integer(nrow(mod.mcml$x)), as.integer(ncol(mod.mcml$x)), as.double(eta), as.integer(1), ntrials=as.integer(ntrials), wts=as.double(wts), value=double(1)) all.equal(as.numeric(this$value),as.numeric(that$value)) #compare elGH to logfyuk this<-.C(glmm:::C_elGH, as.double(mod.mcml$y), as.double(mod.mcml$x), as.integer(nrow(mod.mcml$x)), as.integer(ncol(mod.mcml$x)), as.double(eta), as.integer(1), ntrials=as.integer(ntrials), wts=as.double(wts), gradient=double(ncol(mod.mcml$x)), hessian=double((ncol(mod.mcml$x)^2))) all.equal(as.numeric(this$gradient),as.numeric(that$gradient)) all.equal(as.numeric(this$hessian),as.numeric(that$hessian)) ############################################ #want to check distRand when we use a normal distribution to get our random effects #check written for BH distRandCheck<-function(nu,uvec,muvec){ ukmuk<-sum((uvec-muvec)^2) value<- -length(uvec)*.5*log(2*pi)-5*log(nu)-ukmuk/(2*nu) gradient<- -5/nu +ukmuk/(2*nu^2) hessian<- 5/(nu^2)-ukmuk/(nu^3) hessian<-as.matrix(hessian) list(value=value,gradient=gradient,hessian=hessian) } #function written originally in R distRand <- function(nu,U,z.list,mu){ # T=number variance components T<-length(z.list) #nrandom is q_t nrand<-lapply(z.list,ncol) nrandom<-unlist(nrand) totnrandom<-sum(nrandom) mu.list<-U.list<-NULL if(T==1) { U.list[[1]]<-U mu.list[[1]]<-mu } if(T>1){ U.list[[1]]<-U[1:nrandom[1]] mu.list[[1]]<-mu[1:nrandom[1]] for(t in 2:T){ thing1<-sum(nrandom[1:t-1])+1 thing2<-sum(nrandom[1:t]) U.list[[t]]<-U[thing1:thing2] mu.list[[t]]<-mu[thing1:thing2] } } val<-gradient<-Hessian<-rep(0,T) #for each variance component for(t in 1:T){ you<-as.vector(U.list[[t]]) mew<-as.vector(mu.list[[t]]) Umu<-(you-mew)%*%(you-mew) val[t]<--length(you)*.5*log(2*pi)+ as.numeric(-.5*nrandom[t]*log(nu[t])-Umu/(2*nu[t])) gradient[t]<- -nrandom[t]/(2*nu[t])+Umu/(2*(nu[t])^2) Hessian[t]<- nrandom[t]/(2*(nu[t])^2)- Umu/((nu[t])^3) } value<-sum(val) if(T>1) hessian<-diag(Hessian) if(T==1) hessian<-matrix(Hessian,nrow=1,ncol=1) list(value=value,gradient=gradient,hessian=hessian) } you<-umat[1,] this<-distRandCheck(2,you,u.pql) that<-distRand(2,you,mod.mcml$z,u.pql) all.equal(this,that) #use finite diffs to make sure distRandCheck (and distRand) have correct derivs del<-10^(-9) thisdel<-distRandCheck(2+del,you,u.pql) firstthing<-thisdel$value-this$value secondthing<-as.vector(this$gradient%*%del) all.equal(firstthing,secondthing) #firstthing #secondthing #firstthing-secondthing #compare the gradient and hessian of the C functions by using these functions #(the value is checked in distRandGeneral) mynu<-2 mymu<-rep(0,10) T<-1 nrandom<-10 meow<-c(0,10) set.seed(1234) myyou<-rnorm(10) hohum<-.C(glmm:::C_distRand3C,as.double(mynu), as.double(mymu), as.integer(T), as.integer(nrandom), as.integer(meow), as.double(myyou), double(T), double(T^2)) drcheck<-distRandCheck(mynu,myyou,mymu) all.equal(drcheck$gradient,hohum[[7]]) all.equal(drcheck$hessian,matrix(hohum[[8]],nrow=T,byrow=F)) ############################################### #distRandGeneral in R first distRandGeneral<-function(uvec,mu,Sigma.inv){ logDetSigmaInv<-sum(log(eigen(Sigma.inv,symmetric=TRUE)$values)) umu<-uvec-mu piece2<-t(umu)%*%Sigma.inv%*%umu out<-as.vector(.5*(logDetSigmaInv-piece2)) const<-length(uvec)*.5*log(2*pi) out<-out-const out } D.star<-2*diag(10) D.star.inv<-.5*diag(10) A.star<-sqrt(2)*diag(10) this<-distRandGeneral(you,u.pql,D.star.inv) all.equal(this,that$value) #check distRandGenC logdet<-sum(log(eigen(D.star.inv)$values)) stuff<-.C(glmm:::C_distRandGenC,as.double(D.star.inv),as.double(logdet), as.integer(length(you)), as.double(you), as.double(u.pql), double(1))[[6]] all.equal(that$value,stuff) ############################################ #want to check that the value of objfun is the same for a value of nu and beta vars <- new.env(parent = emptyenv()) debug<-mod.mcml1$debug vars$m1 <- debug$m1 m2 <- debug$m2 m3 <- debug$m3 vars$zeta <- 5 vars$cl <- mod.mcml1$cluster registerDoParallel(vars$cl) #making cluster usable with foreach vars$no_cores <- length(vars$cl) vars$mod.mcml<-mod.mcml1$mod.mcml vars$nu.pql <- debug$nu.pql vars$umat<-debug$umat vars$newm <- nrow(vars$umat) vars$u.star<-debug$u.star D <- vars$D.star <- Dstarnotsparse<-2*diag(10) D.inv <- D.star.inv <-.5*diag(10) getEk<-glmm:::getEk addVecs<-glmm:::addVecs genRand<-glmm:::genRand vars$family.glmm<-mod.mcml1$family.glmm vars$ntrials<- rep(1, length(mod.mcml1$y) ) beta.pql <- debug$beta.pql vars$wts<-wts length(wts) == length(vars$ntrials) simulate <- function(vars, Dstarnotsparse, m2, m3, beta.pql, D.star.inv){ #generate m1 from t(0,D*) if(vars$m1>0) genData<-rmvt(ceiling(vars$m1/vars$no_cores),sigma=Dstarnotsparse,df=vars$zeta,type=c("shifted")) if(vars$m1==0) genData<-NULL #generate m2 from N(u*,D*) if(m2>0) genData2<-genRand(vars$u.star,vars$D.star,ceiling(m2/vars$no_cores)) if(m2==0) genData2<-NULL #generate m3 from N(u*,(Z'c''(Xbeta*+zu*)Z+D*^{-1})^-1) if(m3>0){ Z=do.call(cbind,vars$mod.mcml$z) eta.star<-as.vector(vars$mod.mcml$x%*%beta.pql+Z%*%vars$u.star) if(vars$family.glmm$family.glmm=="bernoulli.glmm") {cdouble<-vars$family.glmm$cpp(eta.star)} if(vars$family.glmm$family.glmm=="poisson.glmm"){cdouble<-vars$family.glmm$cpp(eta.star)} if(vars$family.glmm$family.glmm=="binomial.glmm"){cdouble<-vars$family.glmm$cpp(eta.star, vars$ntrials)} #still a vector cdouble<-Diagonal(length(cdouble),cdouble) Sigmuh.inv<- t(Z)%*%cdouble%*%Z+D.star.inv Sigmuh<-solve(Sigmuh.inv) genData3<-genRand(vars$u.star,Sigmuh,ceiling(m3/vars$no_cores)) } if(m3==0) genData3<-NULL # #these are from distribution based on data # if(distrib=="tee")genData<-genRand(sigma.gen,s.pql,mod.mcml$z,m1,distrib="tee",gamm) # if(distrib=="normal")genData<-genRand(sigma.pql,s.pql,mod.mcml$z,m1,distrib="normal",gamm) # #these are from standard normal # ones<-rep(1,length(sigma.pql)) # zeros<-rep(0,length(s.pql)) # genData2<-genRand(ones,zeros,mod.mcml$z,m2,distrib="normal",gamm) umat<-rbind(genData,genData2,genData3) m <- nrow(umat) list(umat=umat, m=m, Sigmuh.inv=Sigmuh.inv) } clusterSetRNGStream(vars$cl, 1234) clusterExport(vars$cl, c("vars", "Dstarnotsparse", "m2", "m3", "beta.pql", "D.star.inv", "simulate", "genRand"), envir = environment()) #installing variables on each core noprint <- clusterEvalQ(vars$cl, umatparams <- simulate(vars=vars, Dstarnotsparse=Dstarnotsparse, m2=m2, m3=m3, beta.pql=beta.pql, D.star.inv=D.star.inv)) vars$nbeta <- 1 vars$p1=vars$p2=vars$p3=1/3 objfun<-glmm:::objfun umats <- clusterEvalQ(vars$cl, umatparams$umat) umat <- Reduce(rbind, umats) Sigmuh.invs <- clusterEvalQ(vars$cl, umatparams$Sigmuh.inv) Sigmuh.inv <- Sigmuh.invs[[1]] Sigmuh <- solve(Sigmuh.inv) dbb<-db<-b<-rep(0,vars$newm) sigsq<-nu<-2 beta<-6 Z<-vars$mod.mcml$z[[1]] A<-sqrt(2)*diag(10) eta.star<-x*beta.pql+as.vector(Z%*%u.star) cdouble<-as.vector(bernoulli.glmm()$cpp(eta.star)) #still a vector cdouble<-diag(cdouble) piece3<-rep(0,3) #calculate objfun's value for comparison cache<-new.env(parent = emptyenv()) that<-objfun(c(beta,nu), cache=cache,vars=vars) #get t stuff ready tconstant<-glmm:::tconstant zeta<-5 tconst<-tconstant(zeta,10,diag(D.star.inv)) tdist2<-function(tconst,u, Dstarinv,zeta,myq){ inside<-1+t(u)%*%Dstarinv%*%u/zeta logft<-tconst - ((zeta+myq)/2)*log(inside) as.vector(logft) } #now go through row by row of umat #ie go through each vector of gen rand eff for(k in 1:vars$newm){ uvec<-umat[k,] eta<-x*beta+as.vector(Z%*%uvec) piece1<- logfyuk(eta,x,y)$value piece2<- distRandCheck(nu,uvec,rep(0,10))$value piece3[1]<-tdist2(tconst,uvec,D.star.inv,zeta,10) piece3[2]<- distRandGeneral(uvec, vars$u.star, D.star.inv) piece3[3]<-distRandGeneral(uvec,vars$u.star,Sigmuh.inv) damax<-max(piece3) blah<-sum(exp(piece3-damax)/3) lefoo<-damax+log(blah) b[k]<-piece1+piece2-lefoo } a<-max(b) top<-exp(b-a) value<-a+log(mean(top)) all.equal(value,that$value) #Given generated random effects, the value of the objective function is correct. #This plus the test of finite diffs for objfun should be enough. stopCluster(clust)