R: Functions to create or change hyperparameters

phi.fun.toy {calibrator}

R Documentation

Functions to create or change hyperparameters

Description

Function to create (phi.fun.toy) or modify (phi.change) toy hyperparameters \phi in a form suitable for passing to the other functions in the library.

The user should never make \phi by hand; always use one of these functions

Usage

phi.fun.toy(rho, lambda, psi1, psi1.apriori, psi2, psi2.apriori,
  theta.apriori)
phi.change(phi.fun, old.phi = NULL, rho = NULL, lambda = NULL,
          psi1 = NULL, psi1.apriori=NULL,  psi1.apriori.mean=NULL,
          psi1.apriori.sigma=NULL, psi2 = NULL, psi2.apriori=NULL,
          psi2.apriori.mean=NULL,  psi2.apriori.sigma=NULL,
          theta.apriori=NULL, theta.apriori.mean=NULL,
          theta.apriori.sigma=NULL)

Arguments

`phi.fun`	In `phi.change()`, the name of the function that creates the hyperparameters. Use `phi.fun.toy()` for the toy dataset
`old.phi`	In function `phi.change()`, the hyperparameter object `\phi` to be modified
`rho`	Correlation hyperparameter appearing in main equation
`lambda`	Noise hyperparameter
`psi1`	Roughness lengths hyperparameter for design matrix `D1`. Internal function `pdm.maker.psi1()` takes `psi1` as an argument and returns `omega_x`, `omega_t` and `sigma1squared`. Recall that `\Omega_x` and `Omega_t` are arbitrary functions of `\psi_1`. In this case, the values are `omega_x=psi1[1:2]`, `omega_t=psi1[3:4]` and `sigma1squared=psi1[6]`
`psi1.apriori`	A priori PDF for `\psi_1`. In the form of a two element list with first element (`mean`) the mean and second element (`sigma`) the covariance matrix; distribution of the logarithms is assumed to be multivariate normal. In the toy example, the mean is a vector of length six (the first five are `\psi_1` and the sixth is for `\sigma_1^2`), and the variance is the corresponding six-by-six matrix. Use function `prob.psi1()` to calculate the apriori probability density for a particular value of `\psi_1`
`psi1.apriori.mean`	In function `phi.change.toy()`, use this argument to change just the mean of `psi1` (and leave the value of `sigma` unchanged)
`psi1.apriori.sigma`	In function `phi.change.toy()`, use this argument to change just the variance matrix of `psi1`
`psi2`	Roughness lengths hyperparameter for `D2`. Internal function `pdm.maker.psi2()` takes `psi2` as an argument and returns `omegastar_x` and `sigma2squared`. In `phi.fun.toy()`, the values are `omegastar_x=psi2[1:2]` and `sigma2squared=psi2[3]`. NB: function `stage2()` optimizes more than just `psi2`. It simultaneously optimizes `psi2` and `lambda` and `rho`
`psi2.apriori`	A priori PDF for `\psi_2` and hyperparameters `\rho` and `\lambda` (in that order). As for `psi1.apriori`, this is in the form of a list with the first element (`mean`) the mean and second element (`sigma`) the covariance matrix; the logs are multivariate normal. In the toy example, the mean is a vector of length five. The first and second elements of the mean are the apriori mean of `\rho` and `\lambda` respectively; the third and fourth elements are the apriori mean of `\psi_2` (that is, `x` and `y` respectively); and the fifth is the mean of `\sigma_2^2`. The second element of `phi.toy$psi2.apriori`, `sigma`, is the corresponding four-by-four variance matrix. Use function `prob.psi2()` to calculate the apriori probability density of a particular value of `\psi_2`
`psi2.apriori.mean`	In `phi.change.toy()`, use to change just the mean of `psi2`
`psi2.apriori.sigma`	In `phi.change.toy()`, use to change just the variance matrix of `psi2`
`theta.apriori`	Apriori PDF for `\theta`. As above, in the form of a list with elements for the mean and covariance. The distribution is multivariate normal (NB: The distribution is multivariate normal and NOT lognormal! To be explicit: `\log(\theta)` is lognormally distributed). Use function `prob.theta()` to calculate the apriori probability density of a particular value of `\theta`
`theta.apriori.mean`	In `phi.change.toy()`, use to change just the mean of `theta`
`theta.apriori.sigma`	In `phi.change.toy()`, use to change just the variance matrix of `theta`

Details

Note that this toy function contains within itself pdm.maker.toy() which extracts omega_x and omega_t and sigma1squared from psi1. This will need to be changed for real-world applications.

Earlier versions of the package had pdm.maker.toy() defined separately.

Value

Returns a list of several elements:

`rho`	Correlation hyperparameter
`lambda`	Noise hyperparameter
`psi1`	Roughness lengths hyperparameter for `D1`
`psi1.apriori`	Apriori mean and variance matrix for `psi1`
`psi2`	Roughness lengths hyperparameter for `D2`
`psi2.apriori`	Apriori mean and variance matrix for `psi2`
`theta.apriori`	Apriori mean and variance matrix for the parameters
`omega_x`	Positive definite matrix for the lat/long part of `D1`, whose diagonal is `psi1[1:2]`
`omega_t`	Positive definite matrix for the code parameters theta, whose diagonal is `psi1[3:5]`
`omegastar_x`	Positive definite matrix for use in equation 13 of the supplement; represents distances between rows of `D2`
`sigma1squared`	variance
`sigma2squared`	variance
`omega_x.upper`	Upper triangular Cholesky decomposition for `omega_x`
`omega_x.lower`	Lower triangular Cholesky decomposition for `omega_x`
`omega_t.upper`	Upper triangular Cholesky decomposition for `omega_t`
`omega_t.lower`	Lower triangular Cholesky decomposition for `omega_t`
`a`	Precalculated matrix for use in `Edash.theta(...,fast.but.opaque=TRUE)`
`b`	Precalculated matrix for use in `Edash.theta(...,fast.but.opaque=TRUE)`
`c`	Precalculated scalar for use in `ht.fun(...,fast.but.opaque=TRUE)`
`A`	Precalculated scalarfor use in `tt.fun()`
`A.upper`	Upper triangular Cholesky decomposition for `A`
`A.lower`	Lower triangular Cholesky decomposition for `A`

Author(s)

Robin K. S. Hankin

References

M. C. Kennedy and A. O'Hagan 2001. Bayesian calibration of computer models. Journal of the Royal Statistical Society B, 63(3) pp425-464
M. C. Kennedy and A. O'Hagan 2001. Supplementary details on Bayesian calibration of computer models, Internal report, University of Sheffield. Available at http://www.tonyohagan.co.uk/academic/ps/calsup.ps
R. K. S. Hankin 2005. Introducing BACCO, an R bundle for Bayesian analysis of computer code output, Journal of Statistical Software, 14(16)

Examples


phi.fun.toy(100,101,1:6,list(mean=rep(1,6),sigma=1+diag(6)),50:55,
list(mean=rep(0,4),sigma=0.1+diag(4)),
list(mean=0.1+(1:3),sigma=2.1+diag(3)))

phi.fun.toy(rho=1, lambda=1,
    psi1 = structure(c(1.1, 1.2, 1.3, 1.4, 1.5, 0.7),
            .Names = c("x", "y", "A","B", "C","s1sq")),
    psi1.apriori  = list(
             mean=rep(0,6), sigma=0.4+diag(6)),
             psi2=structure(c(2.1, 2.2), .Names = c("x","y")),
             psi2.apriori  = list(mean=rep(0,5),sigma=0.2+diag(5)),
             theta.apriori = list(mean=0.1+(1:3),sigma=2.1+diag(3))
)

data(toys)
phi.change(phi.fun=phi.fun.toy, old.phi = phi.toy, rho = 100)
phi.change(phi.fun=phi.fun.toy, old.phi = phi.toy,
     theta.apriori.sigma = 4*diag(3))

identical(phi.toy, phi.change(phi.fun=phi.fun.toy, old.phi=phi.toy))

[Package calibrator version 1.2-8 Index]