[R] fit a "threshold" function with nls
Bert Gunter
gunter.berton at gene.com
Sat Oct 20 16:19:07 CEST 2012
Inline.
-- Bert
On Sat, Oct 20, 2012 at 6:44 AM, Véronique Boucher Lalonde
<veronique.boucher.lalonde at gmail.com> wrote:
> Thank you all for your help. I think I now understand the issue.
> I tried to write a likelihood function for my binomial model.
> Please excuse my ignorance if I am not doing this right; I do not have any
> statistical background.
Ignorance is excusable; failure to deal with it sensibly is not.
If you are not able to work with Ravi, get local statistical help.
Also. for such help (which this primarily seems to be) post on a
statistical help list like stats.stackexchange.com, not here.
-- Bert
>
> #Example data
> x <- seq(0, 1000)
> y <- ifelse(x < 300, 0, ifelse(x>700, 0, 1))
>
> #Function assuming binomial errors
> fn <- function(par) {
> y.pred = ifelse(x<par[1], 0, ifelse(x>par[2], 0, 1))
> -sum(dbinom(1-abs(y-y.pred), prob = mean(y.pred == y), size = 1, log = T))
> }
>
> optim(par=c(300,700), fn)
>
> Would the "Nelder-Mead" optimization method be appropriate?
>
> On Tue, Oct 16, 2012 at 11:28 AM, Ravi Varadhan <ravi.varadhan at jhu.edu>
> wrote:
>>
>> Veronique,
>>
>> Can you write down the likelihood function in R and send it to me (this is
>> very easy to do, but I don't want to do your work)? Also send me the code
>> for simulating the data. I will show you how to fit such models using
>> optimization tools.
>>
>> Best,
>> Ravi
>> ________________________________________
>> From: Vito Muggeo [vito.muggeo at unipa.it]
>> Sent: Tuesday, October 16, 2012 9:55 AM
>> To: Bert Gunter
>> Cc: Véronique Boucher Lalonde; r-help at r-project.org; Ravi Varadhan
>> Subject: Re: [R] fit a "threshold" function with nls
>>
>> Véronique,
>> in addition to Bert's comments, I would like to bring to your attention
>> that there are several packages that perform
>> threshold/breakpoint/changepoint estimation in R, including
>>
>> cumSeg, segmented, strucchange, and bcp for a Bayesian approach
>>
>> Moreover some packages, such as cghFLasso, perfom smoothing with a L1
>> penalty that can yield a step-function fit.
>>
>> I hope this helps you,
>>
>> vito
>>
>>
>> Il 15/10/2012 22.21, Bert Gunter ha scritto:
>> > Véronique:
>> >
>> > I've cc'ed this to a true expert (Ravi Varadhan) who is one of those
>> > who can give you a definitive response, but I **believe** the problem
>> > is that threshhold type function fits have objective functions whose
>> > derivatives are discontinuous,and hence gradient -based methods can
>> > run into the sorts of problems that you see.
>> >
>> > **If** this is so, then you might do better using an explicit
>> > non-gradient optimizer = rss minimizer via one of the optim() suite of
>> > functions (maybe even the default Nelder-Mead); but this is definitely
>> > where the counsel of an expert would be valuable. Also check out the
>> > CRAN Optimization Task View for advice on optimization options.
>> >
>> > Cheers,
>> > Bert
>> >
>> > On Mon, Oct 15, 2012 at 9:43 AM, Véronique Boucher Lalonde
>> > <veronique.boucher.lalonde at gmail.com> wrote:
>> >> I am trying to model a dependent variable as a threshold function of
>> >> my independent variable.
>> >> What I mean is that I want to fit different intercepts to y following 2
>> >> breakpoints, but with fixed slopes.
>> >> I am trying to do this with using ifelse statements in the nls
>> >> function.
>> >> Perhaps, this is not an appropriate approach.
>> >>
>> >> I have created a very simple example to illustrate what I am trying to
>> >> do.
>> >>
>> >> #Creating my independent variable
>> >> x <- seq(0, 1000)
>> >> #Creating my dependent variable, where all values below threshold #1
>> >> are 0,
>> >> all values above threshold #2 are 0 and all values within the two
>> >> thresholds are 1
>> >> y <- ifelse(x < 300, 0, ifelse(x>700, 0, 1))
>> >> #Adding noise to my dependent variable
>> >> y <- y + rnorm(length(y), 0, 0.01)
>> >> #I am having trouble clearly explaining the model I want to fit but
>> >> perhaps
>> >> the plot is self explanatory
>> >> plot(x, y)
>> >> #Now I am trying to adjust a nonlinear model to fit the two
>> >> breakpoints,
>> >> with known slopes between the breakpoints (here, respectively 0, 1 and
>> >> 0)
>> >> threshold.model <- nls(y~ifelse(x<b1, 0, ifelse(x>b2, 0, 1)),
>> >> start=list(b1=300, b2=700), trace=T)
>> >>
>> >> I have played around with this function quite a bit and systematically
>> >> get
>> >> an error saying: singular gradient matrix at initial parameter
>> >> estimates
>> >> I admit that I don't fully understand what a singular gradient matrix
>> >> implies.
>> >> But it seems to me that both my model and starting values are sensible
>> >> given the data, and that the break points are in fact estimable.
>> >> Could someone point to what I am doing wrong?
>> >>
>> >> More generally, I am interested in knowing
>> >> (1) whether I can use such ifelse statements in the function nls
>> >> (1) whether I can even use nls for this model
>> >> (3) whether I can model this with a function that would allow me to
>> >> assume
>> >> that the errors are binomial, rather than normally distributed
>> >> (ultimately I want to use such a model on binomial data)
>> >>
>> >> I am using R version 2.15.1 on 64-bit Windows 7
>> >>
>> >> Any guidance would be greatly appreciated.
>> >> Veronique
>> >>
>> >> [[alternative HTML version deleted]]
>> >>
>> >> ______________________________________________
>> >> R-help at r-project.org mailing list
>> >> https://stat.ethz.ch/mailman/listinfo/r-help
>> >> PLEASE do read the posting guide
>> >> http://www.R-project.org/posting-guide.html
>> >> and provide commented, minimal, self-contained, reproducible code.
>> >
>> >
>> >
>>
>> --
>> ====================================
>> Vito M.R. Muggeo
>> Dip.to Sc Statist e Matem `Vianelli'
>> Università di Palermo
>> viale delle Scienze, edificio 13
>> 90128 Palermo - ITALY
>> tel: 091 23895240
>> fax: 091 485726
>> http://dssm.unipa.it/vmuggeo
>> ====================================
>
>
--
Bert Gunter
Genentech Nonclinical Biostatistics
Internal Contact Info:
Phone: 467-7374
Website:
http://pharmadevelopment.roche.com/index/pdb/pdb-functional-groups/pdb-biostatistics/pdb-ncb-home.htm
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