| pcls {mgcv} | R Documentation |
Solves least squares problems with quadratic penalties subject to linear equality and inequality constraints using quadratic programming.
pcls(M)
M |
is the single list argument to
|
This solves the problem:
min || W^0.5 (Xp-y) ||^2 + lambda_1 p'S_1 p + lambda_1 p'S_2 p + . . .
subject to constraints Cp=c and A_in p > b_in, w.r.t. p given the smoothing parameters lambda_i. X is a design matrix, p a parameter vector, y a data vector, W a diagonal weight matrix, S_i a positive semi-definite matrix of coefficients defining the ith penalty and C a matrix of coefficients defining the linear equality constraints on the problem. The smoothing parameters are the lambda_i. Note that X must be of full column rank, at least when projected into the null space of any equality constraints. A_in is a matrix of coefficients defining the inequality constraints, while b_in is a vector involved in defining the inequality constraints.
Quadratic programming is used to perform the solution. The method used is designed for maximum stability with least squares problems: i.e. X'X is not formed explicitly. See Gill et al. 1981.
The function returns an array containing the estimated parameter vector.
Simon N. Wood simon.wood@r-project.org
Gill, P.E., Murray, W. and Wright, M.H. (1981) Practical Optimization. Academic Press, London.
Wood, S.N. (1994) Monotonic smoothing splines fitted by cross validation SIAM Journal on Scientific Computing 15(5):1126-1133
http://www.maths.bath.ac.uk/~sw283/
# first an un-penalized example - fit E(y)=a+bx subject to a>0
set.seed(0)
n<-100
x<-runif(n);y<-x-0.2+rnorm(n)*0.1
M<-list(X=matrix(0,n,2),p=c(0.1,0.5),off=array(0,0),S=list(),
Ain=matrix(0,1,2),bin=0,C=matrix(0,0,0),sp=array(0,0),y=y,w=y*0+1)
M$X[,1]<-1;M$X[,2]<-x;M$Ain[1,]<-c(1,0)
pcls(M)->M$p
plot(x,y);abline(M$p,col=2);abline(coef(lm(y~x)),col=3)
# Penalized example: monotonic penalized regression spline .....
# Generate data from a monotonic truth.
x<-runif(100)*4-1;x<-sort(x);
f<-exp(4*x)/(1+exp(4*x));y<-f+rnorm(100)*0.1;plot(x,y)
dat<-data.frame(x=x,y=y)
# Show regular spline fit (and save fitted object)
f.ug<-gam(y~s(x,k=10,bs="cr"));lines(x,fitted(f.ug))
# Create Design matrix, constraints etc. for monotonic spline....
sm<-smoothCon(s(x,k=10,bs="cr"),dat,knots=NULL)[[1]]
F<-mono.con(sm$xp); # get constraints
G<-list(X=sm$X,C=matrix(0,0,0),sp=f.ug$sp,p=sm$xp,y=y,w=y*0+1)
G$Ain<-F$A;G$bin<-F$b;G$S<-sm$S;G$off<-0
p<-pcls(G); # fit spline (using s.p. from unconstrained fit)
fv<-Predict.matrix(sm,data.frame(x=x))%*%p
lines(x,fv,col=2)
# now a tprs example of the same thing....
f.ug<-gam(y~s(x,k=10));lines(x,fitted(f.ug))
# Create Design matrix, constriants etc. for monotonic spline....
sm<-smoothCon(s(x,k=10,bs="tp"),dat,knots=NULL)[[1]]
xc<-0:39/39 # points on [0,1]
nc<-length(xc) # number of constraints
xc<-xc*4-1 # points at which to impose constraints
A0<-Predict.matrix(sm,data.frame(x=xc))
# ... A0%*%p evaluates spline at xc points
A1<-Predict.matrix(sm,data.frame(x=xc+1e-6))
A<-(A1-A0)/1e-6
## ... approx. constraint matrix (A%*%p is -ve
## spline gradient at points xc)
G<-list(X=sm$X,C=matrix(0,0,0),sp=f.ug$sp,y=y,w=y*0+1,S=sm$S,off=0)
G$Ain<-A; # constraint matrix
G$bin<-rep(0,nc); # constraint vector
G$p<-rep(0,10);G$p[10]<-0.1
# ... monotonic start params, got by setting coefs of polynomial part
p<-pcls(G); # fit spline (using s.p. from unconstrained fit)
fv2<-Predict.matrix(sm,data.frame(x=x))%*%p
lines(x,fv2,col=3)
######################################
## monotonic additive model example...
######################################
## First simulate data...
set.seed(10)
f1 <- function(x) 5*exp(4*x)/(1+exp(4*x));
f2 <- function(x) {
ind <- x > .5
f <- x*0
f[ind] <- (x[ind] - .5)^2*10
f
}
f3 <- function(x) 0.2 * x^11 * (10 * (1 - x))^6 +
10 * (10 * x)^3 * (1 - x)^10
n <- 200
x <- runif(n); z <- runif(n); v <- runif(n)
mu <- f1(x) + f2(z) + f3(v)
y <- mu + rnorm(n)
## Preliminary unconstrained gam fit...
G <- gam(y~s(x)+s(z)+s(v,k=20),fit=FALSE)
b <- gam(G=G)
## generate constraints, by finite differencing
## using predict.gam ....
eps <- 1e-7
pd0 <- data.frame(x=seq(0,1,length=100),z=rep(.5,100),
v=rep(.5,100))
pd1 <- data.frame(x=seq(0,1,length=100)+eps,z=rep(.5,100),
v=rep(.5,100))
X0 <- predict(b,newdata=pd0,type="lpmatrix")
X1 <- predict(b,newdata=pd1,type="lpmatrix")
Xx <- (X1 - X0)/eps ## Xx %*% coef(b) must be positive
pd0 <- data.frame(z=seq(0,1,length=100),x=rep(.5,100),
v=rep(.5,100))
pd1 <- data.frame(z=seq(0,1,length=100)+eps,x=rep(.5,100),
v=rep(.5,100))
X0 <- predict(b,newdata=pd0,type="lpmatrix")
X1 <- predict(b,newdata=pd1,type="lpmatrix")
Xz <- (X1-X0)/eps
G$Ain <- rbind(Xx,Xz) ## inequality constraint matrix
G$bin <- rep(0,nrow(G$Ain))
G$sp <- b$sp
G$p <- coef(b)
G$off <- G$off-1 ## to match what pcls is expecting
## force inital parameters to meet constraint
G$p[11:18] <- G$p[2:9]<- 0
p <- pcls(G) ## constrained fit
par(mfrow=c(2,3))
plot(b) ## original fit
b$coefficients <- p
plot(b) ## constrained fit
## note that standard errors in preceding plot are obtained from
## unconstrained fit