pcls                  package:mgcv                  R Documentation

Penalized Constrained Least Squares Fitting

Description:

     Solves least squares problems with quadratic penalties subject to
     linear equality and inequality constraints using quadratic
     programming.

Usage:

     pcls(M)

Arguments:

       M: is the single list argument to 'pcls'. It should have  the 
          following elements:

        y The response data vector.

        w A vector of weights for the data (often proportional to the 
             reciprocal of the variance). 

        X The design matrix for the problem, note that 'ncol(M$X)' must
             give the number of model parameters, while 'nrow(M$X)' 
             should give the number of data.

        C Matrix containing any linear equality constraints  on the
             problem (e.g. C in Cp=c). If you have no equality
             constraints initialize this to a zero by zero matrix. Note
             that there is no need  to supply the vector c, it is
             defined implicitly by the  initial parameter estimates p.

        S A list of penalty matrices. 'S[[i]]' is the smallest
             contiguous matrix including  all the non-zero elements of
             the ith penalty matrix. The first parameter it penalizes
             is given by 'off[i]+1' (starting counting at 1). 

        off Offset values locating the elements of 'M$S' in the correct
             location within each penalty coefficient matrix. (Zero
             offset implies starting in first location)

        sp An array of  smoothing parameter estimates.

        p An array of feasible initial parameter estimates - these must
             satisfy the constraints, but should avoid satisfying the
             inequality constraints as equality constraints.

        Ain Matrix for the inequality constraints A_in p > b. 

        bin vector in the inequality constraints. 

Details:

     This solves the problem:


 minimise || 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.

Value:

     The function returns an array containing the estimated parameter
     vector.

Author(s):

     Simon N. Wood simon@stats.gla.ac.uk

References:

     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

     <URL: http://www.stats.gla.ac.uk/~simon/>

See Also:

     'mgcv' 'mono.con'

Examples:

     # 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=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<-smooth.construct(s(x,k=10,bs="cr"),dat,knots=NULL)
     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<-smooth.construct(s(x,k=10,bs="tp"),dat,knots=NULL)
     nc<-40         # number of constraints
     xc<-0:nc/nc # points on [0,1]  
     xc<-xc*4-1  # points at which to impose constraints
     A0<-Predict.matrix(sm,data.frame(x=xc)) 
     # ... A0
     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)

