R: Model Specification Time

Model.Specification.Time {LaplacesDemon}

R Documentation

Model Specification Time

Description

The Model.Spec.Time function returns the time in minutes to evaluate a model specification a number of times, as well as the evaluations per minute, and componentwise iterations per minute.

Usage

Model.Spec.Time(Model, Initial.Values, Data, n=1000)

Arguments

`Model`	This requried argument is a model specification function. For more information, see `LaplacesDemon`.
`Initial.Values`	This required argument is a vector of initial values for the parameters.
`Data`	This required argument is a list of data. For more information, see `LaplacesDemon`.
`n`	This is the number of evaluations of the model specification, and accuracy increases with `n`.

Details

The largest single factor to affect the run-time of an algorithm – whether it is with IterativeQuadrature, LaplaceApproximation, LaplacesDemon, PMC, or VariationalBayes – is the time that it takes to evaluate the model specification. This has also been observed in Rosenthal (2007). It is highly recommended that a user of the LaplacesDemon package should attempt to reduce the run-time of the model specification, usually by testing alternate forms of code for speed. This is especially true with big data, such as with the BigData function.

Every function in the LaplacesDemon package is byte-compiled, which is a recent option in R. This reduces run-time, thanks to Tierney's compiler package in base R. The model specification, however, is specified by the user, and should be byte-compiled. The reduction in run-time may range from mild to dramatic, depending on the model. It is highly recommended that users concerned with run-time activate the compiler package and use the cmpfun function, as per the example below.

A model specification function that is optimized for speed and involves many records may result in a model update run-time that is considerably less than other popular MCMC-based software algorithms that loop through records, even when those algorithms are coded in C or other fast languages. For a comparison, see the “Laplace's Demon Tutorial” vignette.

However, if a model specification function in the LaplacesDemon package is not fully vectorized (contains for loops and apply functions), then run-time will typically be slower than other popular MCMC-based software algorithms.

The speed of calculating the model specification function is affected by parameter constraints, such as with the interval function. Parameter constraints may add considerable variability to the speed of this calculation, and usually more variation occurs with initial values that are far from the target distributions.

Distributions in the LaplacesDemon package usually have logical checks to ensure correctness. These checks may slow the calculation of the density, for example. If the user is confident these checks are unnecessary for their model, then the user may copy the code to a new function name and comment-out the checks to improve speed.

When speed is of paramount importance, a user is encouraged to experiment with writing the model specification function in another language such as in C++ with the Rcpp package, and calling drop-in replacement functions from within the Model function, or re-writing the model function entirely in C++. For an introduction to including C++ in LaplacesDemon, see https://web.archive.org/web/20150227225556/http://www.bayesian-inference.com/softwarearticlescppsugar.

When a model specification function is computationally expensive, another approach to reduce run-time may be for the user to write parallelized code within the model, splitting up difficult tasks and assigning each to a separate CPU.

Another use for Model.Spec.Time is to allow the user to make an informed decision about which MCMC algorithm to select, given the speed of their model specification. For example, the Adaptive Metropolis-within-Gibbs (AMWG) of Roberts and Rosenthal (2009) is currently the adaptive MCMC algorithm of choice in general in many cases, but this choice is conditional on run-time. While other MCMC algorithms in LaplacesDemon evaluate the model specification function once per iteration, componentwise algorithms such as in the MWG family evaluate it once per parameter per iteration, significantly increasing run-time per iteration in large models. The Model.Spec.Time function may forewarn the user of the associated run-time, and if it should be decided to go with an alternate MCMC algorithm, such as AMM, in which each element of its covariance matrix must stabilize for the chains to become stationary. AMM, for example, will require many more iterations of burn-in (for more information, see the burnin function), but with numerous iterations, allows more thinning. A general recommendation may be to use AMWG when Componentwise.Iters.per.Minute >= 1000, but this is subjective and best determined by each user for each model. A better decision may be made by comparing MCMC algorithms with the Juxtapose function for a particular model.

Following are a few common suggestions for increasing the speed of R code in the model specification function. There are often exceptions to these suggestions, so case-by-case experimentation is also suggested.

Replace exponents with multiplied terms, such as x^2 with x*x.
Replace mean(x) with sum(x)/length(x).
Replace parentheses (when possible) with curly brackets, such as x*(a+b) with x*{a+b}.
Replace tcrossprod(Data$X, t(beta)) with Data$X %*% beta when there are few predictors, and avoid tcrossprod(beta, Data$X), which is always slowest.
Vectorize functions and eliminate apply and for functions. There are often specialized functions. For example, max.col(X) is faster than apply(X, 1, which.max).

When seeking speed, things to consider beyond the LaplacesDemon package are the Basic Linear Algebra System (BLAS) and hardware. The ATLAS (Automatically Tuned Linear Algebra System) should be worth installing (and there are several alternatives), but this discussion is beyond the scope of this documentation. Lastly, the speed at which the computer can process iterations is limited by its hardware, and more should be considered than merely the CPU (Central Processing Unit). Again, though, this is beyond the scope of this documentation.

Value

The Model.Spec.Time function returns a list with three components:

`Time`	This is the time in minutes to evaluate the model specification `n` times.
`Evals.per.Minute`	This is the number of evaluations of the model specification per minute: `n` / `Time`. This is also the number of iterations per minute in an algorithm that is not componentwise, where one evaluation occurs per iteration.
`Componentwise.Iters.per.Minute`	This is the number of iterations per minute in a componentwise MCMC algorithm, such as AMWG or MWG. It is the evaluations per minute divided by the number of parameters, since an evaluation must occur for each parameter, for each iteration.

Author(s)

Statisticat, LLC.

References

Roberts, G.O. and Rosenthal, J.S. (2009). "Examples of Adaptive MCMC". Computational Statistics and Data Analysis, 18, p. 349–367.

Examples

# The accompanying Examples vignette is a compendium of examples.
####################  Load the LaplacesDemon Library  #####################
library(LaplacesDemon)

##############################  Demon Data  ###############################
data(demonsnacks)
y <- log(demonsnacks$Calories)
X <- cbind(1, as.matrix(log(demonsnacks[,c(1,4,10)]+1)))
J <- ncol(X)
for (j in 2:J) {X[,j] <- CenterScale(X[,j])}

#########################  Data List Preparation  #########################
mon.names <- "LP"
parm.names <- as.parm.names(list(beta=rep(0,J), sigma=0))
pos.beta <- grep("beta", parm.names)
pos.sigma <- grep("sigma", parm.names)
PGF <- function(Data) return(c(rnormv(Data$J,0,10), rhalfcauchy(1,5)))
MyData <- list(J=J, PGF=PGF, X=X, mon.names=mon.names,
     parm.names=parm.names, pos.beta=pos.beta, pos.sigma=pos.sigma, y=y)

##########################  Model Specification  ##########################
Model <- function(parm, Data)
     {
     ### Parameters
     beta <- parm[Data$pos.beta]
     sigma <- interval(parm[Data$pos.sigma], 1e-100, Inf)
     parm[Data$pos.sigma] <- sigma
     ### Log of Prior Densities
     beta.prior <- sum(dnormv(beta, 0, 1000, log=TRUE))
     sigma.prior <- dhalfcauchy(sigma, 25, log=TRUE)
     ### Log-Likelihood
     mu <- tcrossprod(Data$X, t(beta))
     LL <- sum(dnorm(Data$y, mu, sigma, log=TRUE))
     ### Log-Posterior
     LP <- LL + beta.prior + sigma.prior
     Modelout <- list(LP=LP, Dev=-2*LL, Monitor=LP,
          yhat=rnorm(length(mu), mu, sigma), parm=parm)
     return(Modelout)
     }

set.seed(666)

############################  Initial Values  #############################
Initial.Values <- GIV(Model, MyData, PGF=TRUE)

############################  Model.Spec.Time  ############################
### Not byte-compiled
Model.Spec.Time(Model, Initial.Values, MyData)
### Byte-compiled
library(compiler)
Model <- cmpfun(Model)
Model.Spec.Time(Model, Initial.Values, MyData)

[Package LaplacesDemon version 16.1.6 Index]