## partly moved from ../man/smooth.spline.Rd , quite system-specific. ##-- artificial example y18 <- c(1:3, 5, 4, 7:3, 2*(2:5), rep(10, 4)) (b.64 <- (Sys.info()[["machine"]] == "x86_64")) ## i386-Linux: Df ~= (even! > ) 18 : interpolating -- much smaller PRESS ## It is the too low 'low = -3' which "kills" the algo; low= -2.6 still ok ## On other platforms, e.g., x64, ends quite differently (and fine) ## typically with Df = 8.636 (s2. <- smooth.spline(y18, cv = TRUE, control = list(trace=TRUE, tol = 1e-6, low = if(b.64) -3 else -2))) plot(y18) xx <- seq(1,length(y18), len=201) lines(predict(s2., xx), col = 4) mtext(deparse(s2.$call,200), side= 1, line= -1, cex= 0.8, col= 4) (sdf8 <- smooth.spline(y18, df = 8, control=list(trace=TRUE)))# 11 iter. sdf8$df - 8 # -0.0009159978 (sdf8. <- smooth.spline(y18, df = 8, control=list(tol = 1e-8)))# 14 iter. ## This gave error: "... spar 'way too large'" -- now sees in dpbfa() that it can't factorize ## --> and gives *warning* about too large spar only ## e <- try(smooth.spline(y18, spar = 50)) #>> error ## stopifnot(inherits(e, "try-error")) ss50 <- try(smooth.spline(y18, spar = 50)) #>> warning only (in R >= 3.4.0) -- ?? FIXME e <- try(smooth.spline(y18, spar = -9)) #>> error : .. too small' stopifnot(if(b.64) inherits(e, "try-error") else TRUE) ## I see (in 32 bit Windows), b.64 || inherits(ss50, "try-error") # TRUE .. always? ## "extreme" range of spar, i.e., 'lambda' directly (" spar = c(lambda = *) "): ## --------------------- --> problem/bug for too large lambda e10 <- c(-20, -10, -7, -4:4, 7, 10) (lams <- setNames(10^e10, paste0("lambda = 10^", e10))) lamExp <- as.expression(lapply(e10, function(E) substitute(lambda == 10^e, list(e = E)))) sspl <- lapply(lams, function(LAM) try(smooth.spline(y18, lambda = LAM))) sspl ok <- vapply(sspl, class, "") == "smooth.spline" stopifnot(ok[e10 <= 7]) ssok <- sspl[ok] ssGet <- function(ch) t(sapply(ssok, `[` , ch)) ssGet1 <- function(ch) sapply(ssok, `[[`, ch) stopifnot(all.equal(ssGet1("crit"), ssGet1("cv.crit"), tol = 1e-10))# seeing rel.diff = 6.57e-12 ## Interesting: for really large lambda, solution "diverges" from the straight line ssGet(c("lambda", "df", "crit", "pen.crit")) plot(y18); lines(predict(s2., xx), lwd = 5, col = adjustcolor(4, 1/4)) invisible(lapply(seq_along(ssok), function(i) lines(predict(ssok[[i]], xx), col=i))) i18 <- 1:18 abline(lm(y18 ~ i18), col = adjustcolor('tomato',1/2), lwd = 5, lty = 3) ## --> lambda = 10^10 is clearly wrong: a *line* but not the L.S. one legend("topleft", lamExp[ok], ncol = 2, bty = "n", col = seq_along(ssok), lty=1) ##--- Explore 'all.knots' and 'keep.stuff' s2 <- smooth.spline(y18, cv = TRUE, keep.stuff=TRUE) s2.7 <- smooth.spline(y18, cv = TRUE, keep.stuff=TRUE, nknots = 7) s2.11 <- smooth.spline(y18, cv = TRUE, keep.stuff=TRUE, nknots = 11) plot(y18) lines(predict(s2, xx), lwd = 5, col = adjustcolor(4, 1/4)) lines(predict(s2.7, xx), lwd = 3, col = adjustcolor("red", 1/4)) lines(predict(s2.11, xx), lwd = 2, col = adjustcolor("forestgreen", 1/4)) ## s2.11 is very close to 's2' if(!requireNamespace("Matrix") && !interactive()) q("no") aux2Mat <- function(auxM) { stopifnot(is.list(auxM), identical(vapply(auxM, class, ""), setNames(rep("numeric", 4), c("XWy", "XWX", "Sigma", "R")))) ## requireNamespace("Matrix")# want sparse matrices nk <- length(XWy <- auxM[["XWy"]]) list(XWy = XWy, XWX = Matrix::bandSparse(nk, k= 0:3, diagonals= matrix(auxM[[ "XWX" ]], nk,4), symmetric=TRUE), Sigma= Matrix::bandSparse(nk, k= 0:3, diagonals= matrix(auxM[["Sigma"]], nk,4), symmetric=TRUE)) } ## "Prove" basic property : ## ## \hat{\beta} = (X'W X + \lambda \Sigma)^{-1} X'W y ## --------------------------------------------------- ## chkB <- function(smspl, tol = 1e-10) { stopifnot(inherits(smspl, "smooth.spline")) if(!is.list(smspl$auxM)) stop("need result of smooth.spline(., keep.stuff = TRUE)") lM <- aux2Mat(smspl$auxM) beta.hat <- solve(lM$XWX + smspl$lambda * lM$Sigma, lM$XWy) all.equal(as.vector(beta.hat), smspl$fit$coef, tolerance = tol) } stopifnot(chkB(s2)) stopifnot(chkB(s2.7)) stopifnot(chkB(s2.11)) lM <- aux2Mat(s2$auxM) A <- lM$XWX + s2$lambda * lM$Sigma R <- Matrix::chol(A) c. <- s2$fit$coef stopifnot(all.equal(c., as.vector( solve(A, lM$XWy))) ) ## c' Sigma c = pen <- as.vector(c. %*% lM$Sigma %*% c.) c(unscaled.penalty = pen, scaled.penalty = s2$lambda * pen) Sigma.tit <- quote(list(Sigma == Omega, "where"~~ Omega[list(j,k)] == integral({B[j]*second}(t)~{B[k]*second}(t)~dt))) Matrix::image(lM$XWX, main = quote({X*minute}*W*X)) Matrix::image(lM$Sigma, main = Sigma.tit) Matrix::image(A, main = quote({X*minute}*W*X + lambda*Sigma)) Matrix::image(R, main = quote(R == chol({X*minute}*W*X + lambda*Sigma))) ## Specifying 'all.knots' ourselves ## 1) compatibly : s2.7.k <- smooth.spline(y18, cv = TRUE, keep.stuff=TRUE, all.knots = s2.7$fit$knot[3+ 1:7]) ii <- names(s2.7) != "call" stopifnot( all.equal(s2.7 [ii], s2.7.k[ii])) ## 2) "free" but approximately in [0,1] s2.9f <- smooth.spline(y18, cv = TRUE, keep.stuff=TRUE, all.knots = seq(0, 1, length.out = 9)) lines(predict(s2.9f, xx), lwd = 2, lty=3, col = adjustcolor("tomato", 1/2)) ## knots partly outside [0,1] --- is not quite right, see below !! s2.7f <- smooth.spline(y18, cv = TRUE, keep.stuff=TRUE, all.knots = c(-1,1,3,5,7,9,12)/10) plot(y18) lines(predict(s2.7f, xx), lwd = 2, lty=3, col = adjustcolor("blue", 1/2)) if(FALSE) { ## not allowed (currently) ## knots partly *inside* [0,1] i.e. data outside knots s2.5f <- smooth.spline(y18, cv = TRUE, keep.stuff=TRUE, control=list(trace=TRUE), all.knots = c(1,3,5,7,9)/10) ## ------ OOOPS! Segmentation fault ... "in attrib.c" {when returning from .Fortran()} lines(predict(s2.5f, xx), lwd = 2, lty=3, col = adjustcolor("brown", 1/2)) } ##' back-transform knots to "data-scale": dScale <- function(smsp, drop.ends=TRUE) { stopifnot(inherits(smsp, "smooth.spline")) sf <- smsp$fit kk <- sf$knot; if(drop.ends) kk <- kk[4:(length(kk)-3)] sf$min + sf$range * kk } xe <- seq(-5, 25, length=256) str(m2 <- predict(s2.7f, x=xe, deriv=2)) # \hat{m''}(x) plot(m2, type="l", col=2, lwd = 2, main = "m''(x) -- for m(.) := smooth.spl(*, all.knots=c(..))", sub = "(knots shown as vertical dotted lines)") ## The following shows that something is not quite right: ## The data boundaries are still used even when the knots are a bit outside.: abline(v = dScale(s2.7f), lty=3, col=adjustcolor("black", 1/2)) abline(h = 0, v = c(1,18), lty=4, col="skyblue4")