ADFun {scorematchingad}

A Class for Storing a CppAD Tape (ADFun) Object

Description

This is a low level object useful for implementing score matching estimators. An R6 class for storing a 'pointer' to a CppAD tape in ⁠C++⁠ (also called an ADFun) and associated information. Currently tools for modifying this information are not available in this package, however tools for creating new ADFun objects from an existing ADFun are available. Typically an ADFun object will be created by buildsmdtape().

Introduction to CppAD Tapes

This package uses version 2024000.5 of the algorithmic differentiation library CppAD (Bell 2023) to build score matching estimators. Full help for CppAD can be found at https://cppad.readthedocs.io/.

Differentiation proceeds by taping the basic (atomic) operations performed on the independent variables and dynamic parameters. The atomic operations include multiplication, division, addition, sine, cosine, exponential and many more. Example values for the variables and parameters are used to conduct this taping, so care must be taken with any conditional (e.g. if-then) operations, and CppAD has a special tool for this called CondExp (short for ⁠conditional expressions⁠). The result of taping is an object of class ADFun in CppAD and is often called a tape. This ADFun object can be evaluated, differentiated, used for further taping (via CppAD's base2ad()), solving differential equations and more. The differentiation is with respect to the independent variables, however the dynamic parameters can be altered which allows for creating a new ADFun object where the dynamic parameters become independent variables (see tapeSwap()). For the purposes of score matching, there are also fixed parameters, which are the elements of the model's parameter vector that are given and not estimated.

Warning: multiple CPU

Each time a tape is evaluated the corresponding ⁠C++⁠ object is altered. Parallel use of the same ADFun object thus requires care and is not tested. For now I recommend creating a new ADFun object for each CPU.

Active bindings

ptr

A Rcpp external pointer to a CppAD ADFun object.

xtape

The (numeric) vector of independent variable values used for taping.

dyntape

The (numeric) vector of dynamic parameters used for taping.

usertheta

A (numeric) vector of NA values and fixed values specifying the parameters of taped function that were considered dynamic parameters or fixed parameters respectively.

name

An easy to read name for the taped function

Methods

Public methods

• ADFun$new()

Method new()

Create a new ADFun object from an external pointer to a CppAD ADFun object.

Usage

ADFun$new(
  ptr,
  name = NULL,
  xtape = vector("numeric"),
  dyntape = vector("numeric"),
  usertheta = rep(NA_real_, length(dyntape))
)

Arguments

ptr

A Rcpp external pointer to a CppAD ADFun object.

name

An easy to read name for the taped function

xtape

The (numeric) vector of independent variables used for taping.

dyntape

The (numeric) vector of dynamic parameters used for taping.

usertheta

A (numeric) vector of NA values and fixed values specifying the inputs of the taped function that were considered independent variables or dynamic parameters respectively.

Examples

tapes <- buildsmdtape(
  "sim", "sqrt", "sph",
  ll = "ppi",
  ytape =  rep(1/3, 3),
  usertheta = ppi_paramvec(p=3),
  bdryw = "minsq",
  acut = 0.01,
  verbose = FALSE)
tapes$smdtape$xtape
tapes$smdtape$dyntape
tapes$smdtape$name
tapes$smdtape$ptr