R: Bayesian inference of an ADMB model using the no-U-turn...

sample_nuts {adnuts}

R Documentation

Bayesian inference of an ADMB model using the no-U-turn sampler (NUTS) or random walk Metropolis (RWM) algorithms.

Description

Draw Bayesian posterior samples from an AD Model Builder (ADMB) model using an MCMC algorithm. 'sample_nuts' and 'sample_rwm' generates posterior samples from which inference can be made.

Usage

sample_nuts(
  model,
  path = getwd(),
  iter = 2000,
  init = NULL,
  chains = 3,
  warmup = NULL,
  seeds = NULL,
  thin = 1,
  mceval = FALSE,
  duration = NULL,
  parallel = FALSE,
  cores = NULL,
  control = NULL,
  skip_optimization = TRUE,
  verbose = TRUE,
  skip_monitor = FALSE,
  skip_unbounded = TRUE,
  admb_args = NULL,
  extra.args = NULL
)

sample_rwm(
  model,
  path = getwd(),
  iter = 2000,
  init = NULL,
  chains = 3,
  warmup = NULL,
  seeds = NULL,
  thin = 1,
  mceval = FALSE,
  duration = NULL,
  parallel = FALSE,
  cores = NULL,
  control = NULL,
  skip_optimization = TRUE,
  verbose = TRUE,
  skip_monitor = FALSE,
  skip_unbounded = TRUE,
  admb_args = NULL,
  extra.args = NULL
)

Arguments

`model`	Name of model (i.e., 'model' for model.tpl). For non-Windows systems this will automatically be converted to './model' internally. For Windows, long file names are sometimes shortened from e.g., 'long_model_filename' to 'LONG_~1'. This should work, but will throw warnings. Please shorten the model name. See https://en.wikipedia.org/wiki/8.3_filename.
`path`	Path to model executable. Defaults to working directory. Often best to have model files in a separate subdirectory, particularly for parallel.
`iter`	The number of samples to draw.
`init`	A list of lists containing the initial parameter vectors, one for each chain or a function. It is strongly recommended to initialize multiple chains from dispersed points. A of NULL signifies to use the starting values present in the model (i.e., `obj$par`) for all chains.
`chains`	The number of chains to run.
`warmup`	The number of warmup iterations.
`seeds`	A vector of seeds, one for each chain.
`thin`	The thinning rate to apply to samples. Typically not used with NUTS.
`mceval`	Whether to run the model with `-mceval` on samples from merged chains.
`duration`	The number of minutes after which the model will quit running.
`parallel`	A deprecated argument, use cores=1 for serial execution or cores>1 for parallel (default is to parallel with cores equal to the available-1)
`cores`	The number of cores to use for parallel execution. Default is number available in the system minus 1. If `cores=1`, serial execution occurs (even if `chains>1`), otherwise parallel execution via package snowfall is used. For slow analyses it is recommended to set `chains`<=`cores` so each core needs to run only a single chain.
`control`	A list to control the sampler. See details for further use.
`skip_optimization`	Whether to run the optimizer before running MCMC. This is rarely need as it is better to run it once before to get the covariance matrix, or the estimates are not needed with adaptive NUTS.
`verbose`	Flag whether to show console output (default) or suppress it completely except for warnings and errors. Works for serial or parallel execution.
`skip_monitor`	Whether to skip calculating diagnostics (effective sample size, Rhat) via the `rstan::monitor` function. This can be slow for models with high dimension or many iterations. The result is used in plots and summaries so it is recommended to turn on. If model run with `skip_monitor=FALSE` you can recreate it post-hoc by setting `fit$monitor=rstan::monitor(fit$samples, fit$warmup, print=FALSE)`.
`skip_unbounded`	Whether to skip returning the unbounded version of the posterior samples in addition to the bounded ones. It may be advisable to set to FALSE for very large models to save space.
`admb_args`	A character string which gets passed to the command line, allowing finer control
`extra.args`	Deprecated, use a `admb_args` instead.

Details

Adaptation schemes are used with NUTS so specifying tuning parameters is not necessary. See vignette for options for adaptation of step size and mass matrix. The RWM algorithm provides no new functionality not available from previous versions of ADMB. However, 'sample_rwm' has an improved console output, is setup for parallel execution, and a smooth workflow for diagnostics.

Parallel chains will be run if argument 'cores' is greater than one. This entails copying the folder, and starting a new R session to run that chain, which are then merged back together. Note that console output is inconsistent when using parallel, and may not show. On Windows the R terminal shows output live, but the GUI does not. RStudio is a special case and will not show live, and instead is captured and returned at the end. It is strongly recommended to start with serial execution as debugging parallel chains is very difficult.

Note that the algorithm code is in the ADMB source code, and 'adnuts' provides a wrapper for it. The command line arguments are returned and can be examined by the user. See vignette for more information.

This function implements algorithm 6 of Hoffman and Gelman (2014), and loosely follows package rstan. The step size can be adapted or specified manually. The metric (i.e., mass matrix) can be unit diagonal, adapted diagonal (default and recommended), a dense matrix specified by the user, or an adapted dense matrix. Further control of algorithms can be specified with the control argument. Elements are:

adapt_delta: The target acceptance rate. D
metric: The mass metric to use. Options are: "unit" for a unit diagonal matrix; NULL to estimate a diagonal matrix during warmup; a matrix to be used directly (in untransformed space).
adapt_delta: Whether adaptation of step size is turned on.
adapt_mass: Whether adaptation of mass matrix is turned on. Currently only allowed for diagonal metric.
adapt_mass_dense: Whether dense adaptation of mass matrix is turned on.
max_treedepth: Maximum treedepth for the NUTS algorithm.
stepsize: The stepsize for the NUTS algorithm. If NULL it will be adapted during warmup.
adapt_init_buffer: The initial buffer size during mass matrix adaptation where sample information is not used (default 50)
adapt_term_buffer: The terminal buffer size (default 75) during mass matrix adaptation (final fast phase)
adapt_window: The initial size of the mass matrix adaptation window, which gets doubled each time thereafter.
refresh: The rate at which to refresh progress to the console. Defaults to even 10 progress updates.

The adaptation scheme (step size and mass matrix) is based heavily on those by the software Stan, and more details can be found in that documentation and this vignette.

Warning

The user is responsible for specifying the model properly (priors, starting values, desired parameters fixed, etc.), as well as assessing the convergence and validity of the resulting samples (e.g., through the coda package), or with function launch_shinytmb before making inference. Specifically, priors must be specified in the template file for each parameter. Unspecified priors will be implicitly uniform.

Author(s)

Cole Monnahan

Examples

## Not run: 
## This is the packaged simple regression model
path.simple <- system.file('examples', 'simple', package='adnuts')
## It is best to have your ADMB files in a separate folder and provide that
## path, so make a copy of the model folder locally.
path <- 'simple'
dir.create(path)
trash <- file.copy(from=list.files(path.simple, full.names=TRUE), to=path)
## Compile and run model
oldwd <- getwd()
setwd(path)
system('admb simple.tpl')
system('simple')
setwd('..')
init <- function() rnorm(2)
## Run NUTS with defaults
fit <- sample_nuts(model='simple', init=init, path=path)
unlink(path, TRUE) # cleanup folder
setwd(oldwd)

## End(Not run)

[Package adnuts version 1.1.2 Index]