library("mlt") library("mvtnorm") set.seed(29) chk <- function(...) stopifnot(isTRUE(all.equal(..., tol = 1e-6, check.attributes = FALSE))) thischeck <- expression({ nm <- LETTERS[1:J] ltM <- function(x) ltMatrices(x, diag = FALSE, byrow = TRUE, names = nm) ltD <- function(x) ltMatrices(x, diag = TRUE, byrow = TRUE, names = nm) prm <- matrix(runif(J * (J - 1) / 2 * N), ncol = N) L <- ltM(prm) obs <- matrix(rnorm(J * N), ncol = N) rownames(obs) <- nm lwr <- -2 -abs(obs) upr <- 2 + abs(obs) fun <- mlt:::.ll(c(J, 0), standardize = FALSE) sum(fun$logLik(obs, L)) s <- fun$score(obs, L) f <- function(obs = obs, L = L) sum(fun$logLik(obs, ltM(L))) S <- matrix(grad(f, unclass(L), obs = obs), ncol = N) chk(S, Lower_tri(s$Lambda)) S <- matrix(grad(f, obs, L = L), ncol = N) chk(S, s$obs) fun <- mlt:::.ll(c(J, 0), standardize = TRUE) sum(fun$logLik(obs, L)) LD <- invcholD(L) sum(-colSums(Mult(LD, obs)^2 - log(diagonals(LD)^2))) C <- solve(L) CCt <- Tcrossprod(C, diag_only = TRUE) LD <- invcholD(L, D = sqrt(CCt)) sum(-colSums(Mult(LD, obs)^2 - log(CCt))) f <- function(obs, a) { LD <- ltMatrices(a, diag = TRUE, byrow = TRUE) sum(-colSums(Mult(LD, obs)^2 - log(diagonals(LD)^2))) } f(obs = obs, LD) sLD <- ltMatrices(matrix(grad(f, unclass(LD), obs = obs), ncol = N), diag = TRUE, byrow = TRUE) sobs <- matrix(grad(f, obs, a = unclass(LD)), ncol = N) sLDfun <- function(obs, LD) { cJ <- dim(LD)[2L] Y <- matrix(obs, byrow = TRUE, nrow = cJ, ncol = N * cJ) tmp <- -2 * Mult(LD, Mult(LD, obs), transpose = TRUE) ret <- - 2 * matrix(Mult(LD, obs)[, rep(1:N, each = cJ)] * Y, ncol = N) M <- matrix(1:(cJ^2), nrow = cJ, byrow = FALSE) ret <- ltMatrices(ret[M[lower.tri(M, diag = TRUE)],,drop = FALSE], diag = TRUE, byrow = FALSE) ret <- ltMatrices(ret, diag = TRUE, byrow = TRUE) diagonals(ret) <- diagonals(ret) + 2 / diagonals(LD) return(list(Lambda = ret, obs = tmp)) } s <- sLDfun(obs, LD) chk(s$Lambda, sLD) chk(s$obs, sobs) s <- fun$score(obs, L) f <- function(obs = obs, L = L) sum(fun$logLik(obs, ltM(L))) S <- matrix(grad(f, unclass(L), obs = obs), ncol = N) chk(S, Lower_tri(s$Lambda)) S <- matrix(grad(f, obs, L = L), ncol = N) chk(S, s$obs) w <- matrix(runif((J - 1) * M), ncol = M) fun <- mlt:::.ll(c(0, J), standardize = FALSE, list(w = w)) sum(fun$logLik(lower = lwr, upper = upr, Lambda = L)) s <- fun$score(lower = lwr, upper = upr, Lambda = L) f <- function(lwr = lwr, upr = upr, L = L) sum(fun$logLik(lower = lwr, upper = upr, Lambda = ltM(L))) S <- grad(f, unclass(L), lwr = lwr, upr = upr) chk(S, c(Lower_tri(s$Lambda))) S <- matrix(grad(f, lwr, upr = upr, L = L), ncol = N) chk(S, s$lower) S <- matrix(grad(f, upr, lwr = lwr, L = L), ncol = N) chk(S, s$upper) fun <- mlt:::.ll(c(0, J), standardize = TRUE, list(w = w)) sum(fun$logLik(lower = lwr, upper = upr, Lambda = L)) s <- fun$score(lower = lwr, upper = upr, Lambda = L) f <- function(lwr = lwr, upr = upr, L = L) sum(fun$logLik(lower = lwr, upper = upr, Lambda = ltM(L))) S <- matrix(grad(f, unclass(L), lwr = lwr, upr = upr), ncol = N) chk(S, Lower_tri(s$Lambda)) S <- matrix(grad(f, lwr, upr = upr, L = L), ncol = N) chk(S, s$lower) S <- matrix(grad(f, upr, lwr = lwr, L = L), ncol = N) chk(S, s$upper) w <- matrix(runif((dJ - 1) * M), ncol = M) fun <- mlt:::.ll(c(cJ, dJ), standardize = FALSE, list(w = w)) sum(fun$logLik(obs[1:cJ,,drop = FALSE], lwr[-(1:cJ),,drop = FALSE], upr[-(1:cJ),,drop = FALSE], L)) s <- fun$score(obs[1:cJ,,drop = FALSE], lwr[-(1:cJ),,drop = FALSE], upr[-(1:cJ),,drop = FALSE], L) f <- function(obs = obs[1:cJ,,drop = FALSE], lwr = lwr[-(1:cJ),,drop = FALSE], upr = upr[-(1:cJ),,drop = FALSE], L = L) sum(fun$logLik(obs, lwr, upr, ltM(L))) S <- matrix(grad(f, unclass(L), obs = obs[1:cJ,,drop = FALSE], lwr = lwr[-(1:cJ),,drop = FALSE], upr = upr[-(1:cJ),,drop = FALSE]), ncol = N) chk(S, Lower_tri(s$Lambda)) S <- matrix(grad(f, obs[1:cJ,,drop = FALSE], lwr = lwr[-(1:cJ),,drop = FALSE], upr = upr[-(1:cJ),,drop = FALSE], L = L), ncol = N) chk(S, s$obs) S <- matrix(grad(f, lwr[-(1:cJ),,drop = FALSE], obs = obs[1:cJ,,drop = FALSE], upr = upr[-(1:cJ),,drop = FALSE], L = L), ncol = N) chk(S, s$lower) S <- matrix(grad(f, upr[-(1:cJ),,drop = FALSE], obs = obs[1:cJ,,drop = FALSE], lwr = lwr[-(1:cJ),,drop = FALSE], L = L), ncol = N) chk(S, s$upper) fun <- mlt:::.ll(c(cJ, dJ), standardize = TRUE, list(w = w)) sum(fun$logLik(obs[1:cJ,,drop = FALSE], lwr[-(1:cJ),,drop = FALSE], upr[-(1:cJ),,drop = FALSE], L)) s <- fun$score(obs[1:cJ,,drop = FALSE], lwr[-(1:cJ),,drop = FALSE], upr[-(1:cJ),,drop = FALSE], L) f <- function(obs = obs[1:cJ,,drop = FALSE], lwr = lwr[-(1:cJ),,drop = FALSE], upr = upr[-(1:cJ),,drop = FALSE], L = L) sum(fun$logLik(obs, lwr, upr, ltM(L))) S <- matrix(grad(f, unclass(L), obs = obs[1:cJ,,drop = FALSE], lwr = lwr[-(1:cJ),,drop = FALSE], upr = upr[-(1:cJ),,drop = FALSE]), ncol = N) chk(S, Lower_tri(s$Lambda)) S <- matrix(grad(f, obs[1:cJ,,drop = FALSE], lwr = lwr[-(1:cJ),,drop = FALSE], upr = upr[-(1:cJ),,drop = FALSE], L = L), ncol = N) chk(S, s$obs) S <- matrix(grad(f, lwr[-(1:cJ),,drop = FALSE], obs = obs[1:cJ,,drop = FALSE], upr = upr[-(1:cJ),,drop = FALSE], L = L), ncol = N) chk(S, s$lower) S <- matrix(grad(f, upr[-(1:cJ),,drop = FALSE], obs = obs[1:cJ,,drop = FALSE], lwr = lwr[-(1:cJ),,drop = FALSE], L = L), ncol = N) chk(S, s$upper) }) if (require("numDeriv", quietly = TRUE)) { J <- (cJ <- 5) + (dJ <- 6) N <- 3 M <- 10 eval(thischeck) J <- (cJ <- 1) + (dJ <- 1) eval(thischeck) J <- (cJ <- 1) + (dJ <- 4) eval(thischeck) J <- (cJ <- 4) + (dJ <- 1) eval(thischeck) }