source: tol/tol_pkg/MhCnstrLinRegArima/_MhCnstrLinRegArima.tol @ 7faafd4e

/////////////////////////////////////////////////////////////////////////////
// FILE: _mhCnstrLinRegArima.tol
// PURPOSE: Metropolis-Hastings simulation of a linear regression with ARIMA 
// noise and linear inequality constraints
/////////////////////////////////////////////////////////////////////////////


//////////////////////////////////////////////////////////////////////////////
Class @MhCnstrLinRegArima
//////////////////////////////////////////////////////////////////////////////
{
  Static Text _.autodoc.description = "Basic class for Metropolis-Hastings "
  "simulation of a linear regression with ARIMA noise and linear inequality "
  "constraints:\n"
  "\n"
  "\n  Y = X*b + z"
  "\n  A*b <= a"
  "\n  Ar(B)*Dif(B):z = Ma(B):e"
  "\n  e ~ N(0, s^2)"
  "\n"
  "\nFor more details see mhCnstrLinRegArima.pdf (Sorry only spanish doc).";

  ////////////////////////////////////////////////////////////////////////////
  //Definition members
  ////////////////////////////////////////////////////////////////////////////
  VMatrix _.Y;       //Output matrix
  VMatrix _.X;       //Input matrix
  VMatrix _.A;       //Coefficients of inequation
  VMatrix _.a;       //Border of inequation
  Real    _.s2;      //Residuals variance
  Polyn   _.ar;      //Autoregressive polynomial
  Polyn   _.ma;      //Moving average polynomial
  Polyn   _.dif;     //Difference and deterministic structure
  NameBlock _.armaL; //ARMA filter

  ////////////////////////////////////////////////////////////////////////////
  //Auxiliar members
  ////////////////////////////////////////////////////////////////////////////
  //Data length
  Real _.m = 0;
  //Number of variables
  Real _.n = 0;
  //Number of inequations
  Real _.r = 0;
  //Residuals standard deviation
  Real _.s = ?;
  //The expected best ratio of candidates aceptation
  Real _.acceptRatioTarget=?;
  //Diagonal matrix with square root of inverse of sum of squares of each row 
  //of _.A used to calculate distances to the polytope _.A*b <= _.a
  VMatrix _.DAi = Rand(0,0,0,0);
  //Current number of tried candidates
  Real _.tryNumber = 0;
  //Current number of accepted candidates
  Real _.acceptNumber = 0;
  //Current ratio of candidates aceptation (_.acceptNumber / _.tryNumber)
  Real _.acceptRatio = 0; 
  //Last accepted candidate
  VMatrix _.b = Rand(0,0,0,0);
  //Current distance from _.b to polytope A*b<=a
  Real _.distance = ?;
  //Current ratio of hyperspheric candidate region with center in _.b
  Real _.ratio = ?;
  //Candidate density of last accepted candidate
  Real _.log.Q = -1/0;
  //Target density of last accepted candidate
  Real _.log.P = -1/0;
  //Maximum environment ratio
  Real _.g = ?; 

  ////////////////////////////////////////////////////////////////////////////
  //Configuration parameters
  ////////////////////////////////////////////////////////////////////////////
  //Initial value of maximum environment ratio
  Real _.gInitial = 0.01; 
  //Tuner factor for _.g that will be divided or multipled for this number
  //in order to get the target accept ratio
  Real _.gFactor = 1.1; 
  //Valid interval for accept ratio will be defined as 
  //  _.acceptRatioTarget*_.acceptRangeFactor <= 
  //  _.acceptNumber / _.tryNumber <= 
  //  _.acceptRatioTarget*_.acceptRangeFactor
  Real _.acceptRangeFactor = 1.10;
  //Maximum number of tries before accept a candidate
  Real _.maxIter = 10000;

  ////////////////////////////////////////////////////////////////////////////
  //Creates an instance of @MhCnstrLinRegArima
  Static @MhCnstrLinRegArima New(
    VMatrix Y,      //Output matrix
    VMatrix X,      //Input matrix
    VMatrix A,      //Coefficients of inequation
    VMatrix a,      //Border of inequation
    Real    s2,     //Residuals variance
    Polyn   ar,     //Autoregressive polynomial
    Polyn   ma,     //Moving average polynomial
    Polyn   dif     //Difference and deterministic structure
  )
  ////////////////////////////////////////////////////////////////////////////
  {
    @MhCnstrLinRegArima aux = 
    [[
      VMatrix _.Y = Y;
      VMatrix _.X = X;
      VMatrix _.A = A;
      VMatrix _.a = a;
      Real    _.s2 = s2; 
      Polyn   _.ar = ar;
      Polyn   _.ma = ma;
      Polyn   _.dif = dif;
      Real    _.m = VRows(_.X);
      Real    _.n = VColumns(_.X);
      Real    _.r = VRows(_.A);
      NameBlock _.armaL = ARMAProcess::FastCholeskiCovFactor(_.ar,_.ma,_.m)
    ]]
  };

  ////////////////////////////////////////////////////////////////////////////
  //Initializes a Markov chain
  Real initialize(VMatrix b0)
  ////////////////////////////////////////////////////////////////////////////
  {
    Text _MID = "@MhCnstrLinRegArima::initialize ";

    Real ok = Case(
    !_.m, 
    { WriteLn(_MID+"Invalid dimensions VRows(_.X)==0","E"); 0 },
    !_.n, 
    { WriteLn(_MID+"Invalid dimensions VColumns(_.X)==0","E"); 0 },
    VRows   (_.Y)!=_.m, 
    { WriteLn(_MID+"Invalid dimensions VRows(_.Y)!=VRows(_.X)","E"); 0 },
    VColumns(_.Y)!=  1, 
    { WriteLn(_MID+"Invalid dimensions VColumns(_.Y)!=1","E"); 0 },
    _.r & (VColumns(_.A)!=_.n), 
    { WriteLn(_MID+"Invalid dimensions VColumns(_.A)!=VColumns(_.X)","E"); 0 },
    _.r & (VRows   (_.a)!=_.r), 
    { WriteLn(_MID+"Invalid dimensions VRows(_.a)!=VRows(_.A)","E"); 0 },
    _.r & (VColumns(_.a)!=  1), 
    { WriteLn(_MID+"Invalid dimensions VColumns(_.a)!=1","E"); 0 },
    VRows(b0)!= _.n, 
    { WriteLn(_MID+"Invalid dimensions VRows(_.b)!=VColumns(_.X)","E"); 0 },
    VColumns(b0)!=  1, 
    { WriteLn(_MID+"Invalid dimensions VColumns(_.b)!=1","E"); 0 },
    1==1, 
    { True });
    If(!ok, False,
    {
      Real _.tryNumber := 0;
      Real _.acceptNumber := 0;
      Real _.acceptRatio := 0; 
      Real _.g := _.gInitial;
      Real _.s := Sqrt(_.s2);
      Real _.acceptRatioTarget := 0.234  + (0.5-0.234)*Exp(1-_.n);
      VMatrix If(_.r,
      _.DAi := Mat2VMat(SetCol(For(1,_.r,Real(Real j) 
      { 
        VMatrix Ai = SubRow(_.A,[[j]]);
        VMatMoment(Ai,2)^(-0.5)
      }))));
      Real setStore(b0);
      True
    })
  };

  ////////////////////////////////////////////////////////////////////////////
  //Stores an accepted candidate b_ and updates related members
  Real setStore(VMatrix b_)
  ////////////////////////////////////////////////////////////////////////////
  {
    VMatrix _.b := b_; 
    Real _.distance := If(!_.r, 1/0, eval.distance(_.b));
    Real _.ratio := If(!_.r, 1/0, Min(_.g, _.distance));
    Real _.log.Q := If(!_.r, 1, { -3*Log(_.ratio) });
    Real _.log.P := eval.log.density(_.b);
    True
  };

  ////////////////////////////////////////////////////////////////////////////
  //Calculates distance from a point b_ to the polytope A*b<=a
  Real eval.distance(VMatrix b_)
  ////////////////////////////////////////////////////////////////////////////
  {
    If(!_.r,1/0,
      VMatMin(Abs(_.A*b_-_.a) $* _.DAi))
  };

  ////////////////////////////////////////////////////////////////////////////
  //Calculates the ratio of the spheric region of candidates for a given 
  //point b_
  Real eval.ratio(VMatrix b_)
  ////////////////////////////////////////////////////////////////////////////
  {
    If(!_.r,1/0,
    {
      Real dist = eval.distance(b_);
      Min(_.g, dist)
    })
  };

  ////////////////////////////////////////////////////////////////////////////
  //Calculates candidate log of density Q(b0, b1).
  //If there are no restrictions Q is symmetric, so the value itŽs indiferent
  //In other case it is a uniform that depends just on position of b0 respect 
  //to the polytope A*b<=a
  //
  Real eval.candidate.log.density(VMatrix b0, VMatrix b1)
  ////////////////////////////////////////////////////////////////////////////
  {
    If(!_.r, 1,
    {
      -3*Log(eval.ratio(b0))
    })
  };

  Real _2pi = 2*Pi;

  ////////////////////////////////////////////////////////////////////////////
  //Generates a new candidate with
  VMatrix new.candidate(Real void)
  ////////////////////////////////////////////////////////////////////////////
  {
    Text _MID = "@MhCnstrLinRegArima::new.candidate ";
    If(!_.r,
    {
      VMatrix u = Gaussian(_.n,1,0,_.s*_.g);
      _.b + u            
    },
    {
      Real h = _.ratio*(Rand(0,1)^(1/_.n));
      VMatrix u = Gaussian(_.n,1,0,1);
      VMatrix v = u/(VMatDat(MtMSqr(u),1,1)^0.5);
      VMatrix w = v * h;
      VMatrix c_ = _.b + w;
      Real trace.all(Real void)
      {
        WriteLn("TRACE "+_MID+
          "\n"<<Matrix VMat2Mat(Tra(_.b|c_|w))<<"\n"<<
          "\t_.ratio="<< _.ratio<<
          "\th="<< h<<
          "\t||v||="<<Real(VMatDat(MtMSqr(v),1,1)^0.5)<<
          "\t||w||="<<Real(VMatDat(MtMSqr(w),1,1)^0.5));
        0
      };
    //Real trace.all(0);
      c_
    })
  };

  ////////////////////////////////////////////////////////////////////////////
  //Applies difference polynomial to a matrix
  VMatrix applyDif(VMatrix z)
  ////////////////////////////////////////////////////////////////////////////
  {
    Real d = Degree(_.dif);
    SubRow(DifEq(_.dif, z), Range(d+1,_.m, 1))
  };

  ////////////////////////////////////////////////////////////////////////////
  //Filters a noise vector to get standarized residuals N(0,I)
  VMatrix standarize(VMatrix z)
  ////////////////////////////////////////////////////////////////////////////
  {
    _.armaL::filter(applyDif(z/_.s))
  };

  ////////////////////////////////////////////////////////////////////////////
  //Evaluates logarithm of target density for a point b
  Real eval.log.density(VMatrix b)
  ////////////////////////////////////////////////////////////////////////////
  {
    VMatrix e = standarize(_.Y-_.X*b);
    - 0.5 * VMatDat(MtMSqr(e),1,1)

  };

  ////////////////////////////////////////////////////////////////////////////
  //Returns true if c matches all inequations A*c<=a
  Real isFeasible(VMatrix c)
  ////////////////////////////////////////////////////////////////////////////
  {
    If(!_.r, True, VMatMax(_.A*c-_.a)<=0)
  };

  ////////////////////////////////////////////////////////////////////////////
  //Tries a new candidate and returns true if it is accepted
  Real maxLikelihoodStep(Real maxIter)
  ////////////////////////////////////////////////////////////////////////////
  {
    Text _MID = "@MhCnstrLinRegArima::maxLikelihoodStep ";
    Real iter = 1;
    Real advance = False;
    While(iter<=maxIter,
    {    
      VMatrix c = new.candidate(0);
      Real log.P.c = eval.log.density(c);
      Real advance := log.P.c > _.log.P;
      Real trace.all(Real void)
      {
        WriteLn("TRACE "+_MID+
          "\t_.log.P=\t"<<_.log.P<<
          "\tlog.P.c=\t"<<log.P.c<<
          "\tadvance=\t"<<advance);
         0
      };
    //Real trace.all(0);
      If(advance, { setStore(c) });
      Real iter := iter+1
    });
    iter
  };

  ////////////////////////////////////////////////////////////////////////////
  //Tries a new candidate and returns true if it is accepted
  Real try(Real checkFeasible)
  ////////////////////////////////////////////////////////////////////////////
  {
    Text _MID = "@MhCnstrLinRegArima::try ";
    Real _.tryNumber := _.tryNumber + 1;
    VMatrix c = new.candidate(0);
    Real feasible = If(!checkFeasible, True, isFeasible(c));
    If(!feasible, 
    { 
      WriteLn(_MID+"Non feasible point","");
      False
    }, 
    {
      Real log.Q.c = eval.candidate.log.density(c,_.b);
      Real log.P.c = eval.log.density(c);
      Real log.w = Min(1,(log.P.c-_.log.P)+(_.log.Q-log.Q.c));
      Real w = Exp(log.w);
      Real r = Rand(0,1);
      Real accept = r <= w;
      Real _.acceptRatio := _.acceptNumber / _.tryNumber;
      Real trace.all(Real void)
      {
        WriteLn("TRACE "+_MID+
          "\n"<<Matrix VMat2Mat(Tra(_.b|c))<<"\n"<<
          "\taccept=\t"<<accept<<
          "\tacceptRatio=\t"<<_.acceptRatio<<If(!_.r,"",
          "\t_.g=\t"<<_.g<<
          "\t_.distance=\t"<<_.distance<<
          "\t_.ratio=\t"<<_.ratio<<
          "\t_.log.Q=\t"<<_.log.Q<<
          "\tlog.Q.c=\t"<<log.Q.c)<<
          "\t_.log.P=\t"<<_.log.P<<
          "\tlog.P.c=\t"<<log.P.c<<
          "\tw=\t"<<w);
         0
      };
    //Real trace.all(0);
      If(accept, 
      {
        Real _.acceptNumber := _.acceptNumber + 1;
        setStore(Copy(c))
      });
      Real mclra::tuner(0);
      accept
    })
  };

  ////////////////////////////////////////////////////////////////////////////
  //Modifies _.g in order to _.acceptRatio goes closer than 
  //_.acceptRatioTarget
  Real tuner(Real 0)
  //////////////////////////////////////////////////////////////////////////
  {
    Case(
    _.acceptRatio<_.acceptRatioTarget/_.acceptRangeFactor,
    {
      Real _.g := _.g/_.gFactor
    },
    _.acceptRatio>_.acceptRatioTarget*_.acceptRangeFactor,
    {
      Real _.g := _.g*_.gFactor
    },
    1==1,
    {
      _.g
    });
    Real trace.all(Real void)
    {
      WriteLn("["<<_.tryNumber+"]"+
              "_.acceptRatio="<<_.acceptRatio+" "+
              "_.g="<<_.g+" ");
      0
    }; 
  //Real trace.all(0);
    If(_.r,
    {
      Real _.ratio := Min(_.g, _.distance);
      Real _.log.Q := -3*Log(_.ratio)
    });
    _.g
  }
  
};


//VBR: UNDER CONSTRUCTION
////////////////////////////////////////////////////////////////////////////
Class @MhCnstrLinRegArimaStd : @MhCnstrLinRegArima
////////////////////////////////////////////////////////////////////////////
{
  Real _.sz;
  VMatrix _.Dx;
  VMatrix _.Dix;

  //////////////////////////////////////////////////////////////////////////
  Static @MhCnstrLinRegArimaStd New(@MhCnstrLinRegArima reg)
  //////////////////////////////////////////////////////////////////////////
  {
    VMatrix Y = reg::applyDif(reg::_.Y);
    VMatrix X = reg::applyDif(reg::_.X);
    VMatrix A = reg::_.A;
    VMatrix a = reg::_.a;
    Real    s2 = reg::_.s2; 
    Polyn   ar = reg::_.ar;
    Polyn   ma = reg::_.ma;
    Polyn   dif = reg::_.dif;
    Real    m = reg::_.m;
    Real    n = reg::_.n;
    Real    r = reg::_.r;

    Real sz = Sqrt(s2);
    Matrix dx = SetCol(For(1,n,Real(Real j) 
    { 
      VMatrix Xj = SubCol(X,[[j]]);
      Sqrt(VMatDat(MtMSqr(Xj),1,1))
    }));
    Matrix dxi = RPow(dx,-1);
    VMatrix Dx = Eye(n,n,0,Mat2VMat(dx));
    VMatrix Dix = Eye(n,n,0,Mat2VMat(dxi));

    @MhCnstrLinRegArimaStd aux = 
    [[
      VMatrix _.Y = Y;
      VMatrix _.X = X;
      VMatrix _.A = A;
      VMatrix _.a = a;
      Real    _.s2 = 1; 
      Polyn   _.ar = ar;
      Polyn   _.ma = ma;
      Polyn   _.dif = 1;
      NameBlock _.armaL = reg::_.armaL;
      Real    _.m = m;
      Real    _.n = n;
      Real    _.r = r;
      Real    _.sz = sz;
      VMatrix _.Dx = Dx;
      VMatrix _.Dix = Dix
    ]]
  };

  //////////////////////////////////////////////////////////////////////////
  VMatrix applyDif(VMatrix z)
  //////////////////////////////////////////////////////////////////////////
  {
    z
  };

  ////////////////////////////////////////////////////////////////////////////
  //Filters a noise vector to get standarized residuals N(0,I)
  VMatrix standarize(VMatrix z)
  ////////////////////////////////////////////////////////////////////////////
  {
    _.armaL::filter(z)
  }

};


/*
  ////////////////////////////////////////////////////////////////////////////
  //Tries a new candidate and returns true if it is accepted
  Real try.multiple(Real length)
  ////////////////////////////////////////////////////////////////////////////
  {
    Text _MID = "@MhCnstrLinRegArima::try ";
    Real _.tryNumber := _.tryNumber + 1;
    Set c = For(1, length, new.candidate);
        
      Real log.Q.c = eval.candidate.log.density(c,_.b);
      Real log.P.c = eval.log.density(c);
      Real log.w = Min(1,(log.P.c-_.log.P)+(_.log.Q-log.Q.c));
      Real w = Exp(log.w);
      Real r = Rand(0,1);
      Real accept = r <= w;

      If(accept, 
      {
        Real _.acceptNumber := _.acceptNumber + 1;
        setStore(c)
      });
      accept
    })
  };

/* */