abart {BART}

AFT BART for time-to-event outcomes

Description

BART is a Bayesian “sum-of-trees” model.
For a numeric response y, we have y = f(x) + \epsilon, where \epsilon \sim N(0,\sigma^2).

f is the sum of many tree models. The goal is to have very flexible inference for the uknown function f.

In the spirit of “ensemble models”, each tree is constrained by a prior to be a weak learner so that it contributes a small amount to the overall fit.

Usage

abart(
      x.train, times, delta,
      x.test=matrix(0,0,0), K=100,
      type='abart', ntype=1,
      sparse=FALSE, theta=0, omega=1,
      a=0.5, b=1, augment=FALSE, rho=NULL,
      xinfo=matrix(0,0,0), usequants=FALSE,
      rm.const=TRUE,
      sigest=NA, sigdf=3, sigquant=0.90,
      k=2, power=2, base=0.95,
      
      lambda=NA, tau.num=c(NA, 3, 6)[ntype], 
      offset=NULL, w=rep(1, length(times)),
      ntree=c(200L, 50L, 50L)[ntype], numcut=100L,
      
      ndpost=1000L, nskip=100L, 
      keepevery=c(1L, 10L, 10L)[ntype],
      printevery=100L, transposed=FALSE,
      mc.cores = 1L, ## mc.abart only
      nice = 19L,    ## mc.abart only
      seed = 99L     ## mc.abart only
)

mc.abart(
         x.train, times, delta,
         x.test=matrix(0,0,0), K=100,
         type='abart', ntype=1,
         sparse=FALSE, theta=0, omega=1,
         a=0.5, b=1, augment=FALSE, rho=NULL,
         xinfo=matrix(0,0,0), usequants=FALSE,
         rm.const=TRUE,
         sigest=NA, sigdf=3, sigquant=0.90,
         k=2, power=2, base=0.95,
         
         lambda=NA, tau.num=c(NA, 3, 6)[ntype], 
         offset=NULL, w=rep(1, length(times)),
         
         ntree=c(200L, 50L, 50L)[ntype], numcut=100L,
         ndpost=1000L, nskip=100L, 
         keepevery=c(1L, 10L, 10L)[ntype],
         printevery=100L, transposed=FALSE,
         mc.cores = 2L, nice = 19L, seed = 99L
)

Arguments

x.train

Explanatory variables for training (in sample) data.
May be a matrix or a data frame, with (as usual) rows corresponding to observations and columns to variables.
If a variable is a factor in a data frame, it is replaced with dummies. Note that q dummies are created if q>2 and one dummy created if q=2 where q is the number of levels of the factor. abart will generate draws of f(x) for each x which is a row of x.train.

times

The time of event or right-censoring.
If y.train is NULL, then times (and delta) must be provided.

delta

The event indicator: 1 is an event while 0 is censored.
If y.train is NULL, then delta (and times) must be provided.

x.test

Explanatory variables for test (out of sample) data. Should have same structure as x.train. abart will generate draws of f(x) for each x which is a row of x.test.

K

If provided, then coarsen times per the quantiles 1/K, 2/K, ..., K/K.

type

You can use this argument to specify the type of fit. 'abart' for AFT BART.

ntype

The integer equivalent of type where 'abart' is 1.

sparse

Whether to perform variable selection based on a sparse Dirichlet prior rather than simply uniform; see Linero 2016.

theta

Set theta parameter; zero means random.

omega

Set omega parameter; zero means random.

a

Sparse parameter for Beta(a, b) prior: 0.5<=a<=1 where lower values inducing more sparsity.

b

Sparse parameter for Beta(a, b) prior; typically, b=1.

rho

Sparse parameter: typically rho=p where p is the number of covariates under consideration.

augment

Whether data augmentation is to be performed in sparse variable selection.

xinfo

You can provide the cutpoints to BART or let BART choose them for you. To provide them, use the xinfo argument to specify a list (matrix) where the items (rows) are the covariates and the contents of the items (columns) are the cutpoints.

usequants

If usequants=FALSE, then the cutpoints in xinfo are generated uniformly; otherwise, if TRUE, uniform quantiles are used for the cutpoints.

rm.const

Whether or not to remove constant variables.

sigest

The prior for the error variance (sigma^2) is inverted chi-squared (the standard conditionally conjugate prior). The prior is specified by choosing the degrees of freedom, a rough estimate of the corresponding standard deviation and a quantile to put this rough estimate at. If sigest=NA then the rough estimate will be the usual least squares estimator. Otherwise the supplied value will be used. Not used if y is binary.

sigdf

Degrees of freedom for error variance prior. Not used if y is binary.

sigquant

The quantile of the prior that the rough estimate (see sigest) is placed at. The closer the quantile is to 1, the more aggresive the fit will be as you are putting more prior weight on error standard deviations (sigma) less than the rough estimate. Not used if y is binary.

k

For numeric y, k is the number of prior standard deviations E(Y|x) = f(x) is away from +/-0.5. For binary y, k is the number of prior standard deviations f(x) is away from +/-3. The bigger k is, the more conservative the fitting will be.

power

Power parameter for tree prior.

base

Base parameter for tree prior.

lambda

The scale of the prior for the variance. Not used if y is binary.

tau.num

The numerator in the tau definition, i.e., tau=tau.num/(k*sqrt(ntree)).

offset

Continous BART operates on y.train centered by offset which defaults to mean(y.train). With binary BART, the centering is P(Y=1 | x) = F(f(x) + offset) where offset defaults to F^{-1}(mean(y.train)). You can use the offset parameter to over-ride these defaults.

w

Vector of weights which multiply the standard deviation. Not used if y is binary.

ntree

The number of trees in the sum.

numcut

The number of possible values of c (see usequants). If a single number if given, this is used for all variables. Otherwise a vector with length equal to ncol(x.train) is required, where the i^{th} element gives the number of c used for the i^{th} variable in x.train. If usequants is false, numcut equally spaced cutoffs are used covering the range of values in the corresponding column of x.train. If usequants is true, then min(numcut, the number of unique values in the corresponding columns of x.train - 1) values are used.

ndpost

The number of posterior draws returned.

nskip

Number of MCMC iterations to be treated as burn in.

printevery

As the MCMC runs, a message is printed every printevery draws.

keepevery

Every keepevery draw is kept to be returned to the user.

transposed

When running abart in parallel, it is more memory-efficient to transpose x.train and x.test, if any, prior to calling mc.abart.

seed

Setting the seed required for reproducible MCMC.

mc.cores

Number of cores to employ in parallel.

nice

Set the job niceness. The default niceness is 19: niceness goes from 0 (highest) to 19 (lowest).

Details

BART is a Bayesian MCMC method. At each MCMC interation, we produce a draw from the joint posterior (f,\sigma) | (x,y) in the numeric y case and just f in the binary y case.

Thus, unlike a lot of other modelling methods in R, we do not produce a single model object from which fits and summaries may be extracted. The output consists of values f^*(x) (and \sigma^* in the numeric case) where * denotes a particular draw. The x is either a row from the training data, x.train or the test data, x.test.

Value

abart returns an object of type abart which is essentially a list. In the numeric y case, the list has components:

yhat.train

A matrix with ndpost rows and nrow(x.train) columns. Each row corresponds to a draw f^* from the posterior of f and each column corresponds to a row of x.train. The (i,j) value is f^*(x) for the i^{th} kept draw of f and the j^{th} row of x.train.
Burn-in is dropped.

yhat.test

Same as yhat.train but now the x's are the rows of the test data.

yhat.train.mean

train data fits = mean of yhat.train columns.

yhat.test.mean

test data fits = mean of yhat.test columns.

sigma

post burn in draws of sigma, length = ndpost.

first.sigma

burn-in draws of sigma.

varcount

a matrix with ndpost rows and nrow(x.train) columns. Each row is for a draw. For each variable (corresponding to the columns), the total count of the number of times that variable is used in a tree decision rule (over all trees) is given.

sigest

The rough error standard deviation (\sigma) used in the prior.

See Also

wbart

Examples

N = 1000
P = 5       #number of covariates
M = 8

set.seed(12)
x.train=matrix(runif(N*P, -2, 2), N, P)
mu = x.train[ , 1]^3
y=rnorm(N, mu)
offset=mean(y)
T=exp(y)
C=rexp(N, 0.05)
delta=(T<C)*1
table(delta)/N
times=(T*delta+C*(1-delta))

##test BART with token run to ensure installation works
set.seed(99)
post1 = abart(x.train, times, delta, nskip=5, ndpost=10)

## Not run: 

post1 = mc.abart(x.train, times, delta,
                 mc.cores=M, seed=99)
post2 = mc.abart(x.train, times, delta, offset=offset,
                 mc.cores=M, seed=99)

Z=8

plot(mu, post1$yhat.train.mean, asp=1,
     xlim=c(-Z, Z), ylim=c(-Z, Z))
abline(a=0, b=1)

plot(mu, post2$yhat.train.mean, asp=1,
     xlim=c(-Z, Z), ylim=c(-Z, Z))
abline(a=0, b=1)

plot(post1$yhat.train.mean, post2$yhat.train.mean, asp=1,
     xlim=c(-Z, Z), ylim=c(-Z, Z))
abline(a=0, b=1)


## End(Not run)