BART (version 2.8)

mc.pbart: Probit BART for dichotomous outcomes with Normal latents and parallel computation

Description

BART is a Bayesian “sum-of-trees” model. For a binary response \(y\), \(P(Y=1 | x) = F(f(x))\), where \(F\) denotes the standard normal cdf (probit link).

In both cases, \(f\) is the sum of many tree models. The goal is to have very flexible inference for the uknown function \(f\).

In the spirit of “ensemble models”, each tree is constrained by a prior to be a weak learner so that it contributes a small amount to the overall fit.

Usage

mc.pbart(
   x.train, y.train, x.test=matrix(0.0,0,0),
   sparse=FALSE, theta=0, omega=1,
   a=0.5, b=1, augment=FALSE, rho=NULL,
   xinfo=matrix(0.0,0,0), usequants=FALSE,
   cont=FALSE, rm.const=TRUE,
   k=2.0, power=2.0, base=.95,
   binaryOffset=NULL,
   ntree=50L, numcut=100L,
   ndpost=1000L, nskip=100L,
   keepevery=1L, printevery=100,
   keeptrainfits=TRUE, transposed=FALSE,

   mc.cores = 2L, nice = 19L,
   seed = 99L
)

Arguments

x.train

Explanatory variables for training (in sample) data. May be a matrix or a data frame, with (as usual) rows corresponding to observations and columns to variables. If a variable is a factor in a data frame, it is replaced with dummies. Note that q dummies are created if q>2 and one dummy is created if q=2, where q is the number of levels of the factor. pbart will generate draws of \(f(x)\) for each \(x\) which is a row of x.train.

y.train

Binary dependent variable for training (in sample) data.

x.test

Explanatory variables for test (out of sample) data. Should have same structure as x.train. pbart will generate draws of \(f(x)\) for each \(x\) which is a row of x.test.

sparse

Whether to perform variable selection based on a sparse Dirichlet prior rather than simply uniform; see Linero 2016.

theta

Set \(theta\) parameter; zero means random.

omega

Set \(omega\) parameter; zero means random.

a

Sparse parameter for \(Beta(a, b)\) prior: \(0.5<=a<=1\) where lower values inducing more sparsity.

b

Sparse parameter for \(Beta(a, b)\) prior; typically, \(b=1\).

rho

Sparse parameter: typically \(rho=p\) where \(p\) is the number of covariates under consideration.

augment

Whether data augmentation is to be performed in sparse variable selection.

xinfo

You can provide the cutpoints to BART or let BART choose them for you. To provide them, use the xinfo argument to specify a list (matrix) where the items (rows) are the covariates and the contents of the items (columns) are the cutpoints.

usequants

If usequants=FALSE, then the cutpoints in xinfo are generated uniformly; otherwise, if TRUE, uniform quantiles are used for the cutpoints.

cont

Whether or not to assume all variables are continuous.

rm.const

Whether or not to remove constant variables.

k

For binary y, k is the number of prior standard deviations \(f(x)\) is away from +/-3. The bigger k is, the more conservative the fitting will be.

power

Power parameter for tree prior.

base

Base parameter for tree prior.

binaryOffset

Used for binary \(y\). The model is \(P(Y=1 | x) = F(f(x) + binaryOffset)\).

ntree

The number of trees in the sum.

numcut

The number of possible values of c (see usequants). If a single number if given, this is used for all variables. Otherwise a vector with length equal to ncol(x.train) is required, where the \(i^{th}\) element gives the number of c used for the \(i^{th}\) variable in x.train. If usequants is false, numcut equally spaced cutoffs are used covering the range of values in the corresponding column of x.train. If usequants is true, then min(numcut, the number of unique values in the corresponding columns of x.train - 1) c values are used.

ndpost

The number of posterior draws returned.

nskip

Number of MCMC iterations to be treated as burn in.

keepevery

Every keepevery draw is kept to be returned to the user.

printevery

As the MCMC runs, a message is printed every printevery draws.

keeptrainfits

Whether to keep yhat.train or not.

transposed

When running pbart in parallel, it is more memory-efficient to transpose x.train and x.test, if any, prior to calling mc.pbart.

seed

Setting the seed required for reproducible MCMC.

mc.cores

Number of cores to employ in parallel.

nice

Set the job niceness. The default niceness is 19: niceness goes from 0 (highest) to 19 (lowest).

Value

mc.pbart returns an object of type pbart which is essentially a list.

yhat.train

A matrix with ndpost rows and nrow(x.train) columns. Each row corresponds to a draw \(f^*\) from the posterior of \(f\) and each column corresponds to a row of x.train. The \((i,j)\) value is \(f^*(x)\) for the \(i^{th}\) kept draw of \(f\) and the \(j^{th}\) row of x.train. Burn-in is dropped.

yhat.test

Same as yhat.train but now the x's are the rows of the test data.

%% \item{yhat.train.mean}{train data fits = mean of yhat.train columns.} %% \item{yhat.test.mean}{test data fits = mean of yhat.test columns.}

varcount

a matrix with ndpost rows and nrow(x.train) columns. Each row is for a draw. For each variable (corresponding to the columns), the total count of the number of times that variable is used in a tree decision rule (over all trees) is given.

In addition the list has a binaryOffset component giving the value used.

Note that in the binary y, case yhat.train and yhat.test are f(x) + binaryOffset. If you want draws of the probability P(Y=1 | x) you need to apply the normal cdf (pnorm) to these values.

Details

BART is an Bayesian MCMC method. At each MCMC interation, we produce a draw from \(f\) in the binary \(y\) case.

Thus, unlike a lot of other modelling methods in R, we do not produce a single model object from which fits and summaries may be extracted. The output consists of values \(f^*(x)\) where * denotes a particular draw. The \(x\) is either a row from the training data (x.train) or the test data (x.test).

References

Chipman, H., George, E., and McCulloch R. (2010) Bayesian Additive Regression Trees. The Annals of Applied Statistics, 4,1, 266-298 <doi: 10.1214/09-AOAS285>.

Friedman, J.H. (1991) Multivariate adaptive regression splines. The Annals of Statistics, 19, 1--67.

Gramacy, RB and Polson, NG (2012) Simulation-based regularized logistic regression. Bayesian Analysis, 7, 567--590.

Holmes, C and Held, L (2006) Bayesian auxiliary variable models for binary and multinomial regression. Bayesian Analysis, 1, 145--68.

Linero, A.R. (2018) Bayesian regression trees for high dimensional prediction and variable selection. JASA, 113, 626--36.

See Also

pbart

Examples

# NOT RUN {
set.seed(99)
n=5000
x = sort(-2+4*runif(n))
X=matrix(x,ncol=1)
f = function(x) {return((1/2)*x^3)}
FL = function(x) {return(exp(x)/(1+exp(x)))}
pv = FL(f(x))
y = rbinom(n,1,pv)
np=100
xp=-2+4*(1:np)/np
Xp=matrix(xp,ncol=1)

## parallel::mcparallel/mccollect do not exist on windows
if(.Platform$OS.type=='unix') {
##test BART with token run to ensure installation works
    mf = mc.pbart(X, y, nskip=5, ndpost=5, mc.cores=1, seed=99)
}

# }
# NOT RUN {
set.seed(99)
pf = pbart(X,y,Xp)

## plot(f(Xp), pf$yhat.test.mean, xlim=c(-4, 4), ylim=c(-4, 4),
##      xlab='True f(x)', ylab='BART f(x)')
## lines(c(-4, 4), c(-4, 4))

mf = mc.pbart(X,y,Xp, mc.cores=4, seed=99)

## plot(f(Xp), mf$yhat.test.mean, xlim=c(-4, 4), ylim=c(-4, 4),
##      xlab='True f(x)', ylab='BART f(x)')
## lines(c(-4, 4), c(-4, 4))

par(mfrow=c(2,2))

plot(range(xp),range(pf$yhat.test),xlab='x',ylab='f(x)',type='n')
lines(x,f(x),col='blue',lwd=2)
lines(xp,apply(pf$yhat.test,2,mean),col='red')
qpl = apply(pf$yhat.test,2,quantile,probs=c(.025,.975))
lines(xp,qpl[1,],col='green',lty=1)
lines(xp,qpl[2,],col='green',lty=1)
title(main='BART::pbart f(x) with 0.95 intervals')

plot(range(xp),range(mf$yhat.test),xlab='x',ylab='f(x)',type='n')
lines(x,f(x),col='blue',lwd=2)
lines(xp,apply(mf$yhat.test,2,mean),col='red')
qpl = apply(mf$yhat.test,2,quantile,probs=c(.025,.975))
lines(xp,qpl[1,],col='green',lty=1)
lines(xp,qpl[2,],col='green',lty=1)
title(main='BART::mc.pbart f(x) with 0.95 intervals')

## plot(pf$yhat.test.mean,apply(mf$yhat.test,2,mean),xlab='BART::pbart',ylab='BART::mc.pbart')
## abline(0,1,col='red')
## title(main="BART::pbart f(x) vs. BART::mc.pbart f(x)")
# }