Penalized Constrained Least Squares Fitting
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
require(mgcv) # 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$C = matrix(0,0,ncol(G$X)) 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
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