kaskr edited this page Dec 30, 2015 · 11 revisions

TMB is a tool for doing parameter estimation in latent variable models. Its basic functionality is the ability to calculate derivatives of (likelihood) functions. A TMB project contains two parts:

  • C++ file which defines the objective function (usually the negative log likelihood)
  • R file which sets up data, calls the C++ function, and minimizes the objective function. We assume familiarity with R but not so much with C++.

This tutorial explains how this works for a simple model where we have data X1,...,Xn ~ iid N(mu,sigma).

Writing the C++ function

The C++ code that evaluates the (negative) log likelihood in this model is:

#include <TMB.hpp>                                // Links in the TMB libraries

template<class Type>
Type objective_function<Type>::operator() ()
  DATA_VECTOR(x);                                 // Data vector transmitted from R
  PARAMETER(mu);                                  // Parameter value transmitted from R
  PARAMETER(sigma);                               //                 

  Type f;                                         // Declare the "objective function" (neg. log. likelihood)
  f = -sum(dnorm(x,mu,sigma,true));               // Use R-style call to normal density

  return f;

Recall that // marks the beginning of a comment in C++ (that extends to the end of line).

The variables of the model (parameters and data in statistical terminology)

  DATA_VECTOR(x);                                 // Our observations read from R
  PARAMETER(mu);                                  // Derivatives can ONLY be calculated for parameters

will be read from R when the function is called.

The return value is held by the variable f which must be declared explicitly:

  Type f;                                         // Declare the "objective function" (neg. log. likelihood)

You can name this variable whatever you like, e.g. nll. The Type keyword is the special TMB type that is used for all variables (except that int is allowed in some contexts). The macro DATA_VECTOR(x) amounts to vector<Type> x, while PARAMETER(mu) amounts to Type mu, and hence also adhere to this rule. The ordinary C++ types float and double are not used in TMB.

Finally, we evaluate the negative log likelihood:

  f = -sum(dnorm(x,mu,sigma,true));

The code used to calculate the normal density should be clear to R users. TMB attempts to provide R style probability distributions:

  • Vector arguments are allowed, but vectors must all be of the same length
  • The argument true above corresponds to log = TRUE in R.

Calling the function from R

Now that we have written the C++ function we can call it from R.

We start an R session and generate data

 n = 100
 x = rnorm(n=n,mean=0,sd=1)          # Generate data

We next compile and link the C++ function (which we have put in the file "tutorial.cpp")

 compile("tutorial.cpp")               # Compile the C++ file
 dyn.load(dynlib("tutorial"))               # Dynamically link the C++ code

We then construct an R object (f) that represents our C++ function.

 f = MakeADFun(data=list(x=x),parameters=list(mu=0,sigma=1))

This assigns values to the data vector (x) and default values to the parameters (mu and sigma). The variable names (x, mu and sigma) must correspond to those used in the C++ program, or otherwise TMB will complain.

We can now call the C++ function and compare to the value obtained internally in R:

 f$fn(list(mu=1,sigma=1))          # Call TMB function value
[1] 188.0919
 -sum(dnorm(x,mean=1,sd=1,log=T))  # Verify that we get the same in R
[1] 188.0919

Next we can calculate derivatives:

 f$gr(list(mu=1,sigma=1))          # First order derivatives (w.r.t mu and sigma)
outer mgc:  95.47669 
         [,1]      [,2]
[1,] 95.47669 -92.39614
 f$he(list(mu=1,sigma=1))          # Second order derivatives, i.e. the Hessian matrix
          [,1]      [,2]
[1,]  100.0000 -190.9534
[2,] -190.9534  477.1884

Finally we can maximize the likelihood function with respect to (wrt) the parameters (shortened output):

 fit = nlminb(f$par,f$fn,f$gr,lower=c(-10,0.0),upper=c(10.0,10.0))
        mu      sigma 
0.04523311 1.00617174 

Remember that this yields the maximum likelihood estimate of sigma (the one that divides by n rather than n-1). The corresponding estimate evaluated in R is

[1] 1.006172

Integrated likelihood

We shall now do something that may be surprising to you. One of the fundamental features of TMB is that it can apply the Laplace approximation to any of the model parameters, which amounts to integrating the likelihood with respect to this parameter. Why would we like to do this? In random effects models this is exactly how you deal with random parameters.

In our model there are no random parameters, but we can still formally integrate the likelihood. In R notation we shall integrate prod(dnorm(x=x,mean=mu,sd=sigma,log=FALSE)) wrt mu. To instruct TMB to do this we define a new object:

f_integrated = MakeADFun(data=list(x=x),parameters=list(mu=0,sigma=1),random="mu")

The difference is the random="mu" argument which tells TMB to integrate wrt mu. sigma is now the only parameter left (because mu has been integrated out):

 fit2 = nlminb(f_integrated$par,f_integrated$fn,f_integrated$gr,lower=c(0.00001),upper=c(10.0))

which happens to be the ordinary empirical standard deviation:

[1] 1.011241

Conclusion: the integration of the likelihood brings in the factor n/(n-1). Cool??? (It is called the REML estimator).

Where do I go from here?

The available documentation is summarized here.