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Compute the hyper-posterior distribution for each cluster in MagmaClust

Source: R/prediction.R
hyperposterior_clust.Rd

Recompute the E-step of the VEM algorithm in MagmaClust for a new set of reference Input. Once training is completed, it can be necessary to evaluate the hyper-posterior distributions of the mean processes at specific locations, for which we want to make predictions. This process is directly implemented in the pred_magmaclust function but the user might want to use hyperpost_clust for a tailored control of the prediction procedure.

Usage

hyperposterior_clust(
  trained_model = NULL,
  data = NULL,
  mixture = NULL,
  hp_k = NULL,
  hp_i = NULL,
  kern_k = NULL,
  kern_i = NULL,
  prior_mean_k = NULL,
  grid_inputs = NULL,
  pen_diag = 1e-10
)

Arguments

trained_model

A list, containing the information coming from a Magma model, previously trained using the train_magma function. If trained_model is not provided, the arguments data, mixture, hp_k, hp_i, kern_k, and kern_i are all required.

data

A tibble or data frame. Required columns: ID, Input , Output. Additional columns for covariates can be specified. The ID column contains the unique names/codes used to identify each individual/task (or batch of data). The Input column should define the variable that is used as reference for the observations (e.g. time for longitudinal data). The Output column specifies the observed values (the response variable). The data frame can also provide as many covariates as desired, with no constraints on the column names. These covariates are additional inputs (explanatory variables) of the models that are also observed at each reference Input. Recovered from trained_model if not provided.

mixture

A tibble or data frame, indicating the mixture probabilities of each cluster for each individual. Required column: ID. Recovered from trained_model if not provided.

hp_k

A tibble or data frame of hyper-parameters associated with kern_k. Recovered from trained_model if not provided.

hp_i

A tibble or data frame of hyper-parameters associated with kern_i. Recovered from trained_model if not provided.

kern_k

A kernel function, associated with the mean GPs. Several popular kernels (see The Kernel Cookbook) are already implemented and can be selected within the following list:

  • "SE": (default value) the Squared Exponential Kernel (also called Radial Basis Function or Gaussian kernel),

  • "LIN": the Linear kernel,

  • "PERIO": the Periodic kernel,

  • "RQ": the Rational Quadratic kernel. Compound kernels can be created as sums or products of the above kernels. For combining kernels, simply provide a formula as a character string where elements are separated by whitespaces (e.g. "SE + PERIO"). As the elements are treated sequentially from the left to the right, the product operator '*' shall always be used before the '+' operators (e.g. 'SE * LIN + RQ' is valid whereas 'RQ + SE * LIN' is not). Recovered from trained_model if not provided.

kern_i

A kernel function, associated with the individual GPs. ("SE", "LIN", PERIO" and "RQ" are also available here). Recovered from trained_model if not provided.

prior_mean_k

The set of hyper-prior mean parameters (m_k) for the K mean GPs, one value for each cluster. cluster. This argument can be specified under various formats, such as:

  • NULL (default). All hyper-prior means would be set to 0 everywhere.

  • A numerical vector of the same length as the number of clusters. Each number is associated with one cluster, and considered to be the hyper-prior mean parameter of the cluster (i.e. a constant function at all Input).

  • A list of functions. Each function is associated with one cluster. These functions are all evaluated at all Input values, to provide specific hyper-prior mean vectors for each cluster.

grid_inputs

A vector or a data frame, indicating the grid of additional reference inputs on which the mean process' hyper-posterior should be evaluated.

pen_diag

A number. A jitter term, added on the diagonal to prevent numerical issues when inverting nearly singular matrices.

Value

A list containing the parameters of the mean processes' hyper-posterior distribution, namely:

  • mean: A list of tibbles containing, for each cluster, the hyper-posterior mean parameters evaluated at each Input.

  • cov: A list of matrices containing, for each cluster, the hyper-posterior covariance parameter of the mean process.

  • mixture: A tibble, indicating the mixture probabilities in each cluster for each individual.

Examples

TRUE
#> [1] TRUE