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vlmc_tune.R
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vlmc_tune.R
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#' Fit an optimal Variable Length Markov Chain (VLMC)
#'
#' This function fits a Variable Length Markov Chain (VLMC) to a discrete time
#' series by optimizing an information criterion (BIC or AIC).
#'
#' This function automates the process of fitting a large VLMC to a discrete
#' time series with [vlmc()] and of pruning the tree (with [cutoff()] and
#' [prune()]) to get an optimal with respect to an information criterion. To
#' avoid missing long term dependencies, the function uses the `max_depth`
#' parameter as an initial guess but then relies on an automatic increase of the
#' value to make sure the initial context tree is only limited by the `min_size`
#' parameter. The initial value of the `cutoff` parameter of [vlmc()] is also
#' set to conservative values (depending on the criterion) to avoid prior
#' simplification of the context tree. This default value can be overridden
#' using the `cutoff_init` or `alpha_init` parameter.
#'
#' Once the initial VLMC is obtained, the [cutoff()] and [prune()] functions are
#' used to build all the VLMC models that could be generated using larger values
#' of the initial cut off parameter. The best model is selected from this
#' collection, including the initial complex tree, as the one that minimizes the
#' chosen information criterion.
#'
#' @param x an object that can be interpreted as a discrete time series, such
#' as an integer vector or a `dts` object (see [dts()]).
#' @param criterion criterion used to select the best model. Either `"BIC"`
#' (default) or `"AIC"` (see details).
#' @param initial specifies the likelihood function, more precisely the way the
#' first few observations for which contexts cannot be calculated are
#' integrated in the likelihood. Default to `"truncated"`. See
#' [loglikelihood()] for details.
#' @param alpha_init if non `NULL` used as the initial cut off parameter (in
#' quantile scale) to build the initial VLMC
#' @param cutoff_init if non `NULL` used as the initial cut off parameter to
#' build the initial VLMC. Takes precedence over `alpha_init` if specified.
#' @param min_size integer >= 1 (default: 2). Minimum number of observations for
#' a context in the growing phase of the initial context tree.
#' @param max_depth integer >= 1 (default: 100). Longest context considered in
#' growing phase of the initial context tree (see details).
#' @param backend backend "R" or "C++" (default: as specified by the
#' "mixvlmc.backend" option). Specifies the implementation used to represent
#' the context tree and to built it. See [vlmc()] for details.
#' @param verbose integer >= 0 (default: 0). Verbosity level of the pruning
#' process.
#' @param save specify which BIC models are saved during the pruning process.
#' The default value `"best"` asks the function to keep only the best model
#' according to the `criterion`. When `save="initial"` the function keeps *in
#' addition* the initial (complex) model which is then pruned during the
#' selection process. When `save="all"`, the function returns all the models
#' considered during the selection process.
#'
#' @returns a list with the following components:
#'
#' - `best_model`: the optimal VLMC
#' - `criterion`: the criterion used to select the optimal VLMC
#' - `initial`: the likelihood function used to select the optimal VLMC
#' - `results`: a data frame with details about the pruning process
#' - `saved_models`: a list of intermediate VLMCs if `save="initial"` or
#' `save="all"`. It contains an `initial` component with the large VLMC
#' obtained first and an `all` component with a list of all the *other* VLMC
#' obtained by pruning the initial one.
#'
#' @export
#' @seealso [vlmc()], [cutoff()] and [prune()]
#'
#' @examples
#' rdts <- sample(as.factor(c("A", "B", "C")), 100, replace = TRUE)
#' tune_result <- tune_vlmc(rdts)
#' draw(tune_result$best_model)
tune_vlmc <- function(x, criterion = c("BIC", "AIC"),
initial = c("truncated", "specific", "extended"),
alpha_init = NULL, cutoff_init = NULL,
min_size = 2L, max_depth = 100L,
backend = getOption("mixvlmc.backend", "R"),
verbose = 0,
save = c("best", "initial", "all")) {
criterion <- match.arg(criterion)
initial <- match.arg(initial)
backend <- match.arg(backend, c("R", "C++"))
save <- match.arg(save)
## make sure that x is a dts
if (!is_dts(x)) {
x <- dts(x)
}
if (is.null(alpha_init) && is.null(cutoff_init)) {
if (criterion == "BIC") {
cutoff <- 0.25 * log(length(x))
f_criterion <- stats::BIC
} else {
cutoff <- 1
f_criterion <- stats::AIC
}
} else {
if (is.null(cutoff_init)) {
if (is.null(alpha_init) || !is.numeric(alpha_init) || alpha_init <= 0 || alpha_init > 1) {
stop("the alpha_init parameter must be in (0, 1]")
}
## we need to compute the state model
cutoff <- to_native(alpha_init, length(states(x)))
} else {
## cutoff takes precedence
if (!is.numeric(cutoff_init) || cutoff_init < 0) {
stop("the cutoff_init parameter must be a non negative number")
}
cutoff <- cutoff_init
}
}
if (criterion == "BIC") {
f_criterion <- stats::BIC
} else {
f_criterion <- stats::AIC
}
if (verbose > 0) {
cat("Fitting a vlmc with max_depth=", max_depth, "and cutoff=", cutoff, "\n")
}
saved_models <- list()
base_model <- vlmc(x,
cutoff = cutoff, min_size = min_size,
max_depth = max_depth, backend = backend
)
while (base_model$max_depth) {
n_max_depth <- min(2 * max_depth, length(x) - 1)
if (n_max_depth > max_depth) {
if (verbose > 0) {
cat("Max depth reached, increasing it to", n_max_depth, "\n")
}
max_depth <- n_max_depth
base_model <- vlmc(x, cutoff = cutoff, min_size = min_size, max_depth = max_depth)
} else {
warning("cannot find a suitable value for max_depth")
break
}
}
cutoffs <- cutoff(base_model, scale = "native")
results <- data.frame(
cutoff = c(cutoff, cutoffs),
alpha = to_quantile(c(cutoff, cutoffs), length(states(base_model))),
depth = rep(NA, length(cutoffs) + 1),
nb_contexts = rep(NA, length(cutoffs) + 1),
loglikelihood = rep(NA, length(cutoffs) + 1),
AIC = rep(NA, length(cutoffs) + 1),
BIC = rep(NA, length(cutoffs) + 1)
)
k <- 1
model <- base_model
best_crit <- Inf
if (verbose > 0) {
cat("Initial criterion =", best_crit, "\n")
}
if (save == "all") {
all_models <- vector(mode = "list", length = length(cutoffs))
}
max_order <- depth(model)
repeat {
if (initial == "truncated") {
ll <- loglikelihood(model,
initial = "truncated", newdata = x,
ignore = max_order
)
} else {
ll <- stats::logLik(model, initial = initial)
}
crit <- f_criterion(ll)
if (crit <= best_crit) {
best_crit <- crit
best_model <- model
if (verbose > 0) {
cat(
"Improving criterion =", best_crit, "likelihood =", ll,
"df =", attr(ll, "df"),
"nobs = ", attr(ll, "nobs"), "\n"
)
}
}
results$depth[k] <- depth(model)
results$nb_contexts[k] <- context_number(model)
results$loglikelihood[k] <- ll
results$AIC[k] <- stats::AIC(ll)
results$BIC[k] <- stats::BIC(ll)
if (k <= length(cutoffs)) {
if (verbose > 0) {
cat("Pruning vlmc with cutoff =", cutoffs[k], "\n")
}
model <- prune(model, cutoff = cutoffs[k])
if (save == "all") {
all_models[[k]] <- model
}
k <- k + 1
} else {
break
}
}
pre_result <- list(
best_model = best_model,
criterion = criterion,
initial = initial,
results = results,
cutoffs = c(cutoff, cutoffs)
)
if (save == "all") {
pre_result[["saved_models"]] <- list(initial = base_model, all = all_models)
} else if (save == "initial") {
pre_result[["saved_models"]] <- list(initial = base_model)
}
structure(pre_result, class = "tune_vlmc")
}
#' @export
print.tune_vlmc <- function(x, ...) {
print(x$best_model)
cat(" Selected by", x$criterion, "(")
if (x$criterion == "BIC") {
cat(min(x$results$BIC))
} else {
cat(min(x$results$AIC))
}
cat(") with likelihood function \"", x$initial, "\" (", sep = "")
cat(loglikelihood(x$best_model))
cat(")\n")
invisible(x)
}