[R] weighted regression inside FOREACH loop

[William Dunlap]

foreach's '.export' argument lists the objects that should be copied to the
environment in which the expression is to be evaluated, which is not the
global environment.  In your example, environment(formula) is the global
environment so lm(formula, data=d, weights=weights) only looks in the
data.frame d and the global environment for a variable called 'weights'.

The following example uses the subset argument instead of weights.  Note
that all the variables involved are exported, but to the environment in
which coef(lm(...)) will be evaluated, not the global environment, hence
they are not found by lm (really, model.frame) when it looks in
environment(formula).

> d <- data.frame(x=log(1:4), y=1:4)
> formula <- y ~ x
> subsets <- list(1:2, 2:3, 3:4)
> foreach(k=1, .combine=list) %dopar% { list(
    FormulaObjects=objects(environment(formula), all=TRUE),
    LocalObjects=objects(environment(), all=TRUE),
    tryCatch(error=function(e)conditionMessage(e), coef(lm(data=d, formula,
subset=subsets[[k]])))) }
$FormulaObjects
[1] ".Random.seed"

$LocalObjects
[1] "d"       "formula" "k"       "subsets"

[[3]]
[1] "object 'subsets' not found"

Using the temporary child environment for things like this is helpful is
lots of situations, not just when using foreach.


Bill Dunlap
TIBCO Software
wdunlap tibco.com

On Fri, Oct 7, 2016 at 9:23 AM, Bos, Roger <roger.bos at rothschild.com> wrote:

> Bill,
>
>
>
> Thanks for your help.  Not that I ever doubted you, but I tried your
> method on my actual data and I can confirm it does work.  I guess I am
> still wondering why using .export in foreach doesn’t allow the variable to
> be found as that method would seem to be the most straightforward.
>
>
>
> Thanks again for your help!
>
>
>
> Roger
>
>
>
>
>
> This message and any attachments are for the intended recipient’s use
> only.
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> print or copy any part of this message or any attachments if you are not
>
> the intended recipient.
>
> *From:* William Dunlap [mailto:wdunlap at tibco.com]
> *Sent:* Friday, October 07, 2016 11:57 AM
> *To:* Bos, Roger
> *Cc:* R-help
> *Subject:* Re: [R] weighted regression inside FOREACH loop
>
>
>
> Using the temporary child environment works because model.frame, hence lm,
> looks for the variables used in the formula, subset, and weights arguments
> first in the data argument and then, if the data argument is not an
> environment, in the environment of the formula argument.
>
>
> Bill Dunlap
> TIBCO Software
> wdunlap tibco.com
>
>
>
> On Fri, Oct 7, 2016 at 8:18 AM, William Dunlap <wdunlap at tibco.com> wrote:
>
> A more general way is to change the environment of your formula to
>
> a child of its original environment and add variables like 'weights' or
>
> 'subset' to the child environment.  Since you change the environment
>
> inside a function call it won't affect the formula outside of the function
> call.
>
> E.g.
>
>
>
> fmla <- as.formula("y ~ .")
>
>
>
> models <- foreach(d=1:10, .combine=rbind, .errorhandling='remove') %dopar%
> {
>
>   datdf <- data.frame(y = 1:100+2*rnorm(100), x = 1:100+rnorm(100))
>
>   localEnvir <- new.env(parent=environment(fmla))
>
>   environment(fmla) <- localEnvir
>
>   localEnvir$weights <- rep(c(1,2), 50)
>
>   mod <- lm(fmla, data=datdf, weights=weights)
>
>   return(mod$coef)
>
> }
>
> models
>
> #          (Intercept)         x
>
> #result.1  -0.16910860 1.0022022
>
> #result.2   0.03326814 0.9968325
>
> #result.3  -0.08177174 1.0022907
>
> #...
>
> environment(fmla)
>
> #<environment: R_GlobalEnv>
>
>
>
>
>
>
> Bill Dunlap
> TIBCO Software
> wdunlap tibco.com
>
>
>
> On Fri, Oct 7, 2016 at 7:44 AM, Bos, Roger <roger.bos at rothschild.com>
> wrote:
>
> All,
>
> I figured out how to get it to work, so I am posting the solution in case
> anyone is interested.  I had to use attr to set the weights as an attribute
> of the data object for the linear model.  Seems convoluted, but anytime I
> tried to pass a named vector as the weights the foreach loop could not find
> the variable, even if I tried exporting it.  If anybody knows of a better
> way please let me know as this does not seem ideal to me, but it works.
>
> library(doParallel)
> cl <- makeCluster(4)
> registerDoParallel(cl)
> fmla <- as.formula("y ~ .")
> models <- foreach(d=1:10, .combine=rbind, .errorhandling='pass') %dopar% {
>   datdf <- data.frame(y = 1:100+2*rnorm(100), x = 1:100+rnorm(100))
>   attr(datdf, "weights") <- rep(c(1,2), 50)
>   mod <- lm(fmla, data=datdf, weights=attr(data, "weights"))
>   return(mod$coef)
> }
> Models
>
>
>
>
>
> -----Original Message-----
> From: R-help [mailto:r-help-bounces at r-project.org] On Behalf Of Bos, Roger
> Sent: Friday, October 07, 2016 9:25 AM
> To: R-help
> Subject: [R] weighted regression inside FOREACH loop
>
> I have a foreach loop that runs regressions in parallel and works fine,
> but when I try to add the weights parameter to the regression the
> coefficients don’t get stored in the “models” variable like they are
> supposed to.  Below is my reproducible example:
>
> library(doParallel)
> cl <- makeCluster(4)
> registerDoParallel(cl)
> fmla <- as.formula("y ~ .")
> models <- foreach(d=1:10, .combine=rbind, .errorhandling='remove') %dopar%
> {
>   datdf <- data.frame(y = 1:100+2*rnorm(100), x = 1:100+rnorm(100))
>   weights <- rep(c(1,2), 50)
>   mod <- lm(fmla, data=datdf, weights=weights)
>   #mod <- lm(fmla, data=datdf)
>   return(mod$coef)
> }
> models
>
> You can change the commenting on the two “mod <-“ lines to see that the
> non-weighted one works and the weighted regression doesn’t work.  I tried
> using .export="weights" in the foreach line, but R says that weights is
> already being exported.
>
> Thanks in advance for any suggestions.
>
>
>
>
>
> ***************************************************************
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> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> 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.
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