mlm.spike {BoomSpikeSlab}  R Documentation 
MCMC algorithm for multinomial logist models with a 'spikeandslab' prior that places some amount of posterior probability at zero for a subset of the regression coefficients.
mlm.spike(subject.formula, choice.formula = NULL, niter, data, choice.name.separator = ".", contrasts = NULL, subset, prior = NULL, ping = niter / 10, proposal.df = 3, rwm.scale.factor = 1, nthreads = 1, mh.chunk.size = 10, proposal.weights = c("DA" = .5, "RWM" = .25, "TIM" = .25), seed = NULL, ...)
subject.formula 
A model 
choice.formula 
A model 
niter 
The number of MCMC iterations to run. Be sure to include enough so you can discard a burnin set. 
data 
A data frame containing the data referenced in

choice.name.separator 
The character used to separate the predictor names from the choice values for the choicelevel predictor variables in 'data'. 
contrasts 
An optional list. See the 
subset 
An optional vector specifying a subset of observations to be used in the fitting process. 
prior 
An object of class
A convenience function: 
ping 
The frequency with which status updates are printed to the
console. Measured in MCMC iterations. If 
proposal.df 
The "degrees of freedom" parameter that the
MetropolisHastings algorithm should use for the multivariate T
proposal distribution. If 
rwm.scale.factor 
The scale factor to use for random walk Metropolis updates. See details. 
nthreads 
The number of CPUthreads to use for data augmentation. 
mh.chunk.size 
The maximum number of coefficients to draw in a single "chunk" of a MetropolisHastings update. See details. 
proposal.weights 
A vector of 3 probabilities (summing to 1) indicating the probability of each type of MH proposal during each iteration. The weights should be given names "DA", "RWM", and "TIM" for clarity. 
seed 
Seed to use for the C++ random number generator. It
should be 
... 
Extra arguments to be passed to 
A multinomial logit model has two sets of predictors: one measuring characterisitcs of the subject making the choice, and the other measuring characteristics of the items being chosen. The model can be written
Pr(y[i] = m) (proportional to) exp(beta.subject[, m] * x.subject[i, ] + beta.choice * x.choice[i, , m])
The coefficients in this model are beta.subject and beta.choice. beta.choice is a subject.xdim by ('nchoices'  1) matrix. Each row multiplies the design matrix produced by subject.formula for a particular choice level, where the first choice level is omitted (logically set to zero) for identifiability. beta.choice is a vector multiplying the design matrix produced by choice.formula, and thre are 'nchoices' of such matrices.
The coefficient vector 'beta' is the concatenation c(beta.subject, beta.choice), where beta.subject is vectorized by stacking its columns (in the usual R fashion). This means that the first contiguous region of beta contains the subjectlevel coefficients for choice level 2.
The MCMC algorithm randomly moves between three tyes of updates: data augmentation, random walk Metropolis (RWM), and tailored independence Metropolis (TIM).
DA: Each observation in the model is associated with a set of latent variables that renders the complete data posterior distribution conditionally Gaussian. The augmentation scheme is described in Tuchler (2008). The data augmentation algorithm conditions on the latent data, and integrates out the coefficients, to sample the inclusion vector (i.e. the vector of indicators showing which coefficients are nonzero) using Gibbs sampling. Then the coefficients are sampled given complete data conditional on inclusion. This is the only move that attemps a dimension change.
RWM: A chunk of the coefficient vector (up to mh.chunk.size) is selected. The proposal distribution is either multivariate normal or multivariate T (depending on 'proposal.df') centered on current values of this chunk. The precision parameter of the normal (or T) is the negative Hessian of the unnormalized log posterior, evaluated at the current value. The precision is divided by rwm.scale.factor. Only coefficients currently included in the model at the time of the proposal will be modified.
TIM: A chunk of the coefficient vector (up to mh.chunk.size) is selected. The proposal distribution is constructed by locating the posterior mode (using the current value as a starting point). The proposal is a Gaussian (or multivariate T) centered on the posterior mode, with precision equal to the negative Hessian evaluated at the mode. This is an expensive, but effective step. If the posterior mode finding fails (for numerical reasons) then a RWM proposal will be attempted instead.
Returns an object of class mlm.spike
, which inherits from
logit.spike
and lm.spike
. The returned object is a list
with the following elements
beta 
A 
prior 
The prior used to fit the model. If a 
MH.accounting 
A summary of the amount of time spent in each type of MCMC move, and the acceptance rate for each move type. 
Steven L. Scott
Tuchler (2008), "Bayesian Variable Selection for Logistic Models Using Auxiliary Mixture Sampling", Journal of Computational and Graphical Statistics, 17 76 – 94.
lm.spike
SpikeSlabPrior
,
plot.lm.spike
,
summary.lm.spike
,
predict.lm.spike
.
rmulti < function (prob) { ## Sample from heterogeneous multinomial distributions. if (is.vector(prob)) { S < length(prob) return(sample(1:S, size = 1, prob = prob)) } nc < apply(prob, 1, sum) n < nrow(prob) S < ncol(prob) u < runif(n, 0, nc) alive < rep(TRUE, n) z < numeric(n) p < rep(0, n) for (s in 1:S) { p < p + prob[, s] indx < alive & (u < p) alive[indx] < FALSE z[indx] < s if (!any(alive)) break } return(z) } ## Define sizes for the problem subject.predictor.dimension < 3 choice.predictor.dimension < 4 nchoices < 5 nobs < 1000 ## The response can be "a", "b", "c", ... choice.levels < letters[1:nchoices] ## Create "subject level characteristics". subject.x < matrix(rnorm(nobs * (subject.predictor.dimension  1)), nrow = nobs) subject.beta < cbind( 0, matrix(rnorm(subject.predictor.dimension * (nchoices  1)), ncol = nchoices  1)) colnames(subject.x) < state.name[1:ncol(subject.x)] ## Create "choice level characteristics". choice.x < matrix(rnorm(nchoices * choice.predictor.dimension * nobs), nrow = nobs) choice.characteristics < c("foo", "bar", "baz", "qux") choice.names < as.character(outer(choice.characteristics, choice.levels, FUN = paste, sep = ":")) colnames(choice.x) < choice.names choice.beta < rnorm(choice.predictor.dimension) ## Combine an intercept term, subject data, and choice data. X < cbind(1, subject.x, choice.x) p < ncol(X) true.beta < c(subject.beta[, 1], choice.beta) Beta < matrix(nrow = nchoices, ncol = p) for (m in 1:nchoices) { Beta[m, ] < rep(0, p) Beta[m, 1:subject.predictor.dimension] < subject.beta[, m] begin < subject.predictor.dimension + 1 + (m1) * choice.predictor.dimension end < begin + choice.predictor.dimension  1 Beta[m, begin:end] < choice.beta } eta < X %*% t(Beta) prob < exp(eta) prob < prob / rowSums(prob) response < as.factor(choice.levels[rmulti(prob)]) simulated.data < as.data.frame(X[, 1]) simulated.data$response < response # NOTE: The number of MCMC iterations is artificially small to reduce # the run time. model < mlm.spike(response ~ Alabama + Alaska, response ~ foo + bar + baz + qux, niter = 100, choice.name.separator = ":", expected.subject.model.size = 1, expected.choice.model.size = 1, data = simulated.data, proposal.weights = c("DA" = .8, "RWM" = .1, "TIM" = .1))