bkmr and bkmrhatbkmr is a package to implement Bayesian kernel machine regression (BKMR) using Markov chain Monte Carlo (MCMC). Notably, bkmr is missing some key features in Bayesian inference and MCMC diagnostics: 1) no facility for running multiple chains in parallel 2) no inference across multiple chains 3) limited posterior summary of parameters 4) limited diagnostics. The bkmrhat package is a lightweight set of function that fills in each of those gaps by enabling post-processing of bkmr output in other packages and building a small framework for parallel processing.
bkmrhat packagekmbaryes function from bkmr, or use multiple parallel chains kmbayes_parallel from bkmrhatkmbayes_diagnose function (uses functions from the rstan package) OR convert the BKMR fit(s) to mcmc (one chain) or mcmc.list (multiple chains) objects from the coda package using as.mcmc or as.mcmc.list from the bkmrhat package. The coda package has a whole host of inference and diagnostic procedures (but may lag behind some of the diagnostics functions from rstan).coda functions or combine chains from a kmbayes_parallel fit using kmbayes_combine. Final posterior inferences can be made on the combined object, which enables use of bkmr package functions for visual summaries of independent and joint effects of exposures in the bkmr model.First, simulate some data from the bkmr function
library("bkmr")
library("bkmrhat")
library("coda")
set.seed(111)
dat <- bkmr::SimData(n = 50, M = 5, ind=1:3, Zgen="realistic")
y <- dat$y
Z <- dat$Z
X <- cbind(dat$X, rnorm(50))
head(cbind(y,Z,X))
## y z1 z2 z3 z4 z5
## [1,] 4.1379128 -0.06359282 -0.02996246 -0.14190647 -0.44089352 -0.1878732
## [2,] 12.0843607 -0.07308834 0.32021690 1.08838691 0.29448354 -1.4609837
## [3,] 7.8859254 0.59604857 0.20602329 0.46218114 -0.03387906 -0.7615902
## [4,] 1.1609768 1.46504863 2.48389356 1.39869461 1.49678590 0.2837234
## [5,] 0.4989372 -0.37549639 0.01159884 1.17891641 -0.05286516 -0.1680664
## [6,] 5.0731242 -0.36904566 -0.49744932 -0.03330522 0.30843805 0.6814844
##
## [1,] 1.0569172 -1.0503824
## [2,] 4.8158570 0.3251424
## [3,] 2.6683461 -2.1048716
## [4,] -0.7492096 -0.9551027
## [5,] -0.5428339 -0.5306399
## [6,] 1.6493251 0.8274405
There is some overhead in parallel processing when using the future package, so the payoff when using parallel processing may vary by the problem. Here it is about a 2-4x speedup, but you can see more benefit at higher iterations. Note that this may not yield as many usable iterations as a single large chain if a substantial burnin period is needed, but it will enable useful convergence diagnostics. Note that the future package can implement sequential processing, which effectively turns the kmbayes_parallel into a loop, but still has all other advantages of multiple chains.
# enable parallel processing (up to 4 simultaneous processes here)
future::plan(strategy = future::multisession)
# single run of 4000 observations from bkmr package
set.seed(111)
system.time(kmfit <- suppressMessages(kmbayes(y = y, Z = Z, X = X, iter = 4000, verbose = FALSE, varsel = FALSE)))
## user system elapsed
## 4.259 0.264 4.531
# 4 runs of 1000 observations from bkmrhat package
set.seed(111)
system.time(kmfit5 <- suppressMessages(kmbayes_parallel(nchains=4, y = y, Z = Z, X = X, iter = 1000, verbose = FALSE, varsel = FALSE)))
## Chain 1
## Chain 2
## Chain 3
## Chain 4
## user system elapsed
## 0.042 0.003 2.108
The diagnostics from the rstan package come from the monitor function (see the help files for that function in the rstan pacakge)
# Using rstan functions (set burnin/warmup to zero for comparability with coda numbers given later
# posterior summaries should be performed after excluding warmup/burnin)
singlediag = kmbayes_diagnose(kmfit, warmup=0, digits_summary=2)
## Single chain
## Inference for the input samples (1 chains: each with iter = 4000; warmup = 0):
##
## Q5 Q50 Q95 Mean SD Rhat Bulk_ESS Tail_ESS
## beta1 1.9 2.0 2.1 2.0 0.0 1.00 2820 3194
## beta2 0.0 0.1 0.3 0.1 0.1 1.00 3739 3535
## lambda 3.9 10.0 22.3 11.2 5.9 1.00 346 222
## r1 0.0 0.0 0.1 0.0 0.1 1.01 129 173
## r2 0.0 0.0 0.1 0.0 0.1 1.00 182 181
## r3 0.0 0.0 0.0 0.0 0.0 1.01 158 112
## r4 0.0 0.0 0.1 0.0 0.1 1.03 176 135
## r5 0.0 0.0 0.0 0.0 0.1 1.00 107 114
## sigsq.eps 0.2 0.3 0.5 0.4 0.1 1.00 1262 1563
##
## For each parameter, Bulk_ESS and Tail_ESS are crude measures of
## effective sample size for bulk and tail quantities respectively (an ESS > 100
## per chain is considered good), and Rhat is the potential scale reduction
## factor on rank normalized split chains (at convergence, Rhat <= 1.05).
# Using rstan functions (multiple chains enable R-hat)
multidiag = kmbayes_diagnose(kmfit5, warmup=0, digits_summary=2)
## Parallel chains
## Inference for the input samples (4 chains: each with iter = 1000; warmup = 0):
##
## Q5 Q50 Q95 Mean SD Rhat Bulk_ESS Tail_ESS
## beta1 1.9 2.0 2.1 2.0 0.0 1.00 1951 1652
## beta2 0.0 0.1 0.3 0.1 0.1 1.00 3204 2578
## lambda 4.5 9.7 24.0 11.4 6.5 1.01 359 510
## r1 0.0 0.0 0.1 0.1 0.2 1.02 133 66
## r2 0.0 0.0 0.2 0.1 0.2 1.02 116 71
## r3 0.0 0.0 0.1 0.0 0.2 1.02 87 92
## r4 0.0 0.0 0.1 0.0 0.1 1.03 119 78
## r5 0.0 0.0 0.5 0.1 0.2 1.07 49 44
## sigsq.eps 0.2 0.3 0.5 0.3 0.1 1.01 655 431
##
## For each parameter, Bulk_ESS and Tail_ESS are crude measures of
## effective sample size for bulk and tail quantities respectively (an ESS > 100
## per chain is considered good), and Rhat is the potential scale reduction
## factor on rank normalized split chains (at convergence, Rhat <= 1.05).
# using coda functions, not using any burnin (for demonstration only)
kmfitcoda = as.mcmc(kmfit, iterstart = 1)
kmfit5coda = as.mcmc.list(kmfit5, iterstart = 1)
# single chain trace plot
traceplot(kmfitcoda)
The trace plots look typical, and fine, but trace plots don't give a full picture of convergence. Note that there is apparent quick convergence for a couple of parameters demonstrated by movement away from the starting value and concentration of the rest of the samples within a narrow band.
Seeing visual evidence that different chains are sampling from the same marginal distributions is reassuring about the stability of the results.
# multiple chain trace plot
traceplot(kmfit5coda)
Now examine “cross correlation”, which can help identify highly correlated parameters in the posterior, which can be problematic for MCMC sampling. Here there is a block {r3,r4,r5} which appear to be highly correlated. All other things equal, having highly correlated parameters in the posterior means that more samples are needed than would be needed with uncorrelated parameters.
# multiple cross-correlation plot (combines all samples)
crosscorr(kmfit5coda)
## beta1 beta2 lambda r1 r2
## beta1 1.00000000 0.11196556 0.01818948 0.12780730 0.14054380
## beta2 0.11196556 1.00000000 -0.09886613 -0.07629748 -0.08187748
## lambda 0.01818948 -0.09886613 1.00000000 0.05928473 0.08790397
## r1 0.12780730 -0.07629748 0.05928473 1.00000000 0.80592328
## r2 0.14054380 -0.08187748 0.08790397 0.80592328 1.00000000
## r3 0.15885857 -0.04824946 0.08800776 0.55926182 0.72804955
## r4 0.24884624 -0.02522362 0.03561473 0.68618114 0.76089188
## r5 0.10629353 -0.05275125 0.08188335 0.65339395 0.83482001
## sigsq.eps -0.04299566 0.05842240 -0.32711124 -0.20915310 -0.22953148
## r3 r4 r5 sigsq.eps
## beta1 0.15885857 0.24884624 0.10629353 -0.04299566
## beta2 -0.04824946 -0.02522362 -0.05275125 0.05842240
## lambda 0.08800776 0.03561473 0.08188335 -0.32711124
## r1 0.55926182 0.68618114 0.65339395 -0.20915310
## r2 0.72804955 0.76089188 0.83482001 -0.22953148
## r3 1.00000000 0.74099838 0.76235821 -0.15141692
## r4 0.74099838 1.00000000 0.67017793 -0.14066748
## r5 0.76235821 0.67017793 1.00000000 -0.17857737
## sigsq.eps -0.15141692 -0.14066748 -0.17857737 1.00000000
crosscorr.plot(kmfit5coda)
Now examine “autocorrelation” to identify parameters that have high correlation between subsequent iterations of the MCMC sampler, which can lead to inefficient MCMC sampling. All other things equal, having highly autocorrelated parameters in the posterior means that more samples are needed than would be needed with low-autocorrelation parameters.
# multiple chain trace plot
#autocorr(kmfit5coda) # lots of output
autocorr.plot(kmfit5coda)
Graphical tools can be limited, and are sometimes difficult to use effectively with scale parameters (of which bkmr has many). Additionally, no single diagnostic is perfect, leading many authors to advocate the use of multiple, complementary diagnostics. Thus, more formal diagnostics are helpful.
Gelman's r-hat diagnostic gives an interpretable diagnostic: the expected reduction in the standard error of the posterior means if you could run the chains to an infinite size. These give some idea about when is a fine idea to stop sampling. There are rules of thumb about using r-hat to stop sampling that are available from several authors (for example you can consult the help files for rstan and coda).
Effective sample size is also useful - it estimates the amount of information in your chain, expressed in terms of the number of independent posterior samples it would take to match that information (e.g. if we could just sample from the posterior directly).
# Gelman's r-hat using coda estimator (will differ from rstan implementation)
gelman.diag(kmfit5coda)
## Potential scale reduction factors:
##
## Point est. Upper C.I.
## beta1 1.00 1.00
## beta2 1.00 1.00
## lambda 1.01 1.02
## r1 1.04 1.11
## r2 1.06 1.11
## r3 1.05 1.09
## r4 1.03 1.05
## r5 1.06 1.16
## sigsq.eps 1.00 1.00
##
## Multivariate psrf
##
## 1.05
# effective sample size
effectiveSize(kmfitcoda)
## beta1 beta2 lambda r1 r2 r3 r4
## 2411.61878 2865.78299 431.49158 87.11091 260.29419 328.45388 181.61903
## r5 sigsq.eps
## 123.06100 1719.70679
effectiveSize(kmfit5coda)
## beta1 beta2 lambda r1 r2 r3 r4
## 1993.69268 3572.49076 399.59987 130.58132 118.60085 139.37144 190.52199
## r5 sigsq.eps
## 89.01537 1246.93322
Posterior kernel marginal densities, 1 chain
# posterior kernel marginal densities using `mcmc` and `mcmc` objects
densplot(kmfitcoda)
Posterior kernel marginal densities, multiple chains combined. Look for multiple modes that may indicate non-convergence of some chains
# posterior kernel marginal densities using `mcmc` and `mcmc` objects
densplot(kmfit5coda)
Other diagnostics from the coda package are available here.
Finally, the chains from the original kmbayes_parallel fit can be combined into a single chain (see the help files for how to deal with burn-in, the default in bkmr is to use the first half of the chain, which is respected here). The kmbayes_combine function smartly first combines the burn-in iterations and then combines the iterations after burnin, such that the burn-in rules of subsequent functions within the bkmr package are respected. Note that unlike the as.mcmc.list function, this function combines all iterations into a single chain, so trace plots will not be good diagnotistics in this combined object, and it should be used once one is assured that all chains have converged and the burn-in is acceptable.
With this combined set of samples, you can follow any of the post-processing functions from the bkmr functions, which are described here: https://jenfb.github.io/bkmr/overview.html. For example, see below the estimation of the posterior mean difference along a series of quantiles of all exposures in Z.
# posterior summaries using `mcmc` and `mcmc` objects
summary(kmfitcoda)
##
## Iterations = 1:4000
## Thinning interval = 1
## Number of chains = 1
## Sample size per chain = 4000
##
## 1. Empirical mean and standard deviation for each variable,
## plus standard error of the mean:
##
## Mean SD Naive SE Time-series SE
## beta1 1.98349 0.04392 0.0006945 0.0008944
## beta2 0.11999 0.08532 0.0013490 0.0015937
## lambda 11.18052 5.90540 0.0933725 0.2842909
## r1 0.03010 0.06385 0.0010095 0.0068408
## r2 0.03656 0.05690 0.0008997 0.0035270
## r3 0.02131 0.04065 0.0006427 0.0022429
## r4 0.02855 0.06641 0.0010500 0.0049278
## r5 0.02904 0.09543 0.0015089 0.0086023
## sigsq.eps 0.35283 0.08228 0.0013009 0.0019840
##
## 2. Quantiles for each variable:
##
## 2.5% 25% 50% 75% 97.5%
## beta1 1.90086 1.95474 1.98287 2.01177 2.07218
## beta2 -0.04513 0.06141 0.12001 0.17716 0.28713
## lambda 3.23941 7.01814 10.00979 14.12075 25.93332
## r1 0.01022 0.01232 0.01807 0.02767 0.09818
## r2 0.01018 0.01433 0.02172 0.04049 0.12353
## r3 0.01015 0.01180 0.01488 0.02198 0.05655
## r4 0.01040 0.01299 0.01670 0.02582 0.08533
## r5 0.01025 0.01219 0.01532 0.01951 0.07021
## sigsq.eps 0.22855 0.29302 0.34057 0.39833 0.54838
summary(kmfit5coda)
##
## Iterations = 1:1000
## Thinning interval = 1
## Number of chains = 4
## Sample size per chain = 1000
##
## 1. Empirical mean and standard deviation for each variable,
## plus standard error of the mean:
##
## Mean SD Naive SE Time-series SE
## beta1 1.98295 0.04719 0.0007461 0.001226
## beta2 0.11392 0.08811 0.0013931 0.001492
## lambda 11.38060 6.53246 0.1032873 0.348441
## r1 0.05443 0.16140 0.0025520 0.018642
## r2 0.07067 0.17568 0.0027778 0.018080
## r3 0.04722 0.15141 0.0023941 0.014086
## r4 0.04203 0.11633 0.0018393 0.008849
## r5 0.06256 0.18346 0.0029008 0.025725
## sigsq.eps 0.34866 0.08658 0.0013690 0.002554
##
## 2. Quantiles for each variable:
##
## 2.5% 25% 50% 75% 97.5%
## beta1 1.89180 1.95338 1.98273 2.01251 2.0756
## beta2 -0.06110 0.05688 0.11537 0.17157 0.2821
## lambda 3.75062 6.94311 9.69281 14.01495 30.4208
## r1 0.01025 0.01225 0.01663 0.02898 0.6771
## r2 0.01084 0.01579 0.02609 0.04595 0.8337
## r3 0.01013 0.01144 0.01571 0.02300 0.5456
## r4 0.01023 0.01203 0.01711 0.02862 0.2529
## r5 0.01004 0.01201 0.01557 0.02197 0.8570
## sigsq.eps 0.21037 0.28755 0.33934 0.39873 0.5428
# highest posterior density intervals using `mcmc` and `mcmc` objects
HPDinterval(kmfitcoda)
## lower upper
## beta1 1.90086937 2.07231225
## beta2 -0.04051413 0.29012992
## lambda 2.68866745 22.62238656
## r1 0.01002094 0.06754473
## r2 0.01002597 0.09683241
## r3 0.01003504 0.04392585
## r4 0.01000511 0.06510500
## r5 0.01005733 0.04755863
## sigsq.eps 0.21411781 0.52229778
## attr(,"Probability")
## [1] 0.95
HPDinterval(kmfit5coda)
## [[1]]
## lower upper
## beta1 1.89276629 2.06413559
## beta2 -0.05156326 0.28395624
## lambda 3.10640350 22.52661684
## r1 0.01015061 0.45345607
## r2 0.01004337 0.23737153
## r3 0.01035515 0.08038502
## r4 0.01008299 0.08787233
## r5 0.01001371 0.35237108
## sigsq.eps 0.19500454 0.52782799
## attr(,"Probability")
## [1] 0.95
##
## [[2]]
## lower upper
## beta1 1.89936901 2.07525060
## beta2 -0.06340550 0.27865199
## lambda 2.38869269 20.88324139
## r1 0.01025450 0.06751305
## r2 0.01008338 0.09635152
## r3 0.01007603 0.07466994
## r4 0.01000690 0.10235090
## r5 0.01004010 0.04759293
## sigsq.eps 0.21207225 0.52893100
## attr(,"Probability")
## [1] 0.95
##
## [[3]]
## lower upper
## beta1 1.88810244 2.07425771
## beta2 -0.04652416 0.29719363
## lambda 3.10602441 24.89619262
## r1 0.01001759 0.07919633
## r2 0.01036142 0.24702810
## r3 0.01007678 0.55489001
## r4 0.01023406 0.12806408
## r5 0.01034510 0.90040470
## sigsq.eps 0.19890368 0.52657850
## attr(,"Probability")
## [1] 0.95
##
## [[4]]
## lower upper
## beta1 1.87836131 2.06908822
## beta2 -0.06136301 0.27665000
## lambda 3.11659093 29.43524129
## r1 0.01000132 0.51647301
## r2 0.01013282 0.62165645
## r3 0.01006649 0.07601939
## r4 0.01005967 0.11054523
## r5 0.01002425 0.66711223
## sigsq.eps 0.20201080 0.53035096
## attr(,"Probability")
## [1] 0.95
# combine multiple chains into a single chain
fitkmccomb = kmbayes_combine(kmfit5)
# For example:
summary(fitkmccomb)
## Fitted object of class 'bkmrfit'
## Iterations: 4000
## Outcome family: gaussian
## Model fit on: 2022-03-29 03:54:09
## Running time: 1.10069 secs
##
## Acceptance rates for Metropolis-Hastings algorithm:
## param rate
## 1 lambda 0.4096024
## 2 r1 0.1970493
## 3 r2 0.2943236
## 4 r3 0.1562891
## 5 r4 0.1860465
## 6 r5 0.1467867
##
## Parameter estimates (based on iterations 2001-4000):
## param mean sd q_2.5 q_97.5
## 1 beta1 1.98212 0.04442 1.89349 2.06781
## 2 beta2 0.11546 0.08379 -0.04764 0.27603
## 3 sigsq.eps 0.35517 0.08322 0.22750 0.54753
## 4 r1 0.02336 0.01801 0.01024 0.07617
## 5 r2 0.03667 0.03489 0.01067 0.13997
## 6 r3 0.02045 0.01566 0.01041 0.06233
## 7 r4 0.02370 0.02456 0.01023 0.10115
## 8 r5 0.01669 0.00787 0.01002 0.04492
## 9 lambda 10.88426 6.03507 3.45492 26.75653
## NULL
mean.difference <- suppressWarnings(OverallRiskSummaries(fit = fitkmccomb, y = y, Z = Z, X = X,
qs = seq(0.25, 0.75, by = 0.05),
q.fixed = 0.5, method = "exact"))
mean.difference
## quantile est sd
## 1 0.25 -0.7196817 0.11979520
## 2 0.30 -0.5794215 0.09698722
## 3 0.35 -0.3914102 0.08109645
## 4 0.40 -0.2728444 0.04748039
## 5 0.45 -0.1501128 0.02648235
## 6 0.50 0.0000000 0.00000000
## 7 0.55 0.2142025 0.04216533
## 8 0.60 0.3335123 0.05245787
## 9 0.65 0.5136222 0.08448011
## 10 0.70 0.8765201 0.14711644
## 11 0.75 0.9726334 0.15792312
with(mean.difference, {
plot(quantile, est, pch=19, ylim=c(min(est - 1.96*sd), max(est + 1.96*sd)),
axes=FALSE, ylab= "Mean difference", xlab = "Joint quantile")
segments(x0=quantile, x1=quantile, y0 = est - 1.96*sd, y1 = est + 1.96*sd)
abline(h=0)
axis(1)
axis(2)
box(bty='l')
})
These results parallel previous session and are given here without comment, other than to note that no fixed effects (X variables) are included, and that it is useful to check the posterior inclusion probabilities to ensure they are similar across chains.
set.seed(111)
system.time(kmfitbma.list <- suppressWarnings(kmbayes_parallel(nchains=4, y = y, Z = Z, X = X, iter = 1000, verbose = FALSE, varsel = TRUE)))
## Chain 1
## Iteration: 100 (10% completed; 0.03999 secs elapsed)
## Iteration: 200 (20% completed; 0.08271 secs elapsed)
## Iteration: 300 (30% completed; 0.13023 secs elapsed)
## Iteration: 400 (40% completed; 0.17322 secs elapsed)
## Iteration: 500 (50% completed; 0.21636 secs elapsed)
## Iteration: 600 (60% completed; 0.25604 secs elapsed)
## Iteration: 700 (70% completed; 0.29684 secs elapsed)
## Iteration: 800 (80% completed; 0.34008 secs elapsed)
## Iteration: 900 (90% completed; 0.38055 secs elapsed)
## Iteration: 1000 (100% completed; 0.42376 secs elapsed)
## Chain 2
## Iteration: 100 (10% completed; 0.04095 secs elapsed)
## Iteration: 200 (20% completed; 0.08436 secs elapsed)
## Iteration: 300 (30% completed; 0.1327 secs elapsed)
## Iteration: 400 (40% completed; 0.17886 secs elapsed)
## Iteration: 500 (50% completed; 0.22003 secs elapsed)
## Iteration: 600 (60% completed; 0.25961 secs elapsed)
## Iteration: 700 (70% completed; 0.30166 secs elapsed)
## Iteration: 800 (80% completed; 0.34165 secs elapsed)
## Iteration: 900 (90% completed; 0.38145 secs elapsed)
## Iteration: 1000 (100% completed; 0.42353 secs elapsed)
## Chain 3
## Iteration: 100 (10% completed; 0.03915 secs elapsed)
## Iteration: 200 (20% completed; 0.07842 secs elapsed)
## Iteration: 300 (30% completed; 0.12607 secs elapsed)
## Iteration: 400 (40% completed; 0.16862 secs elapsed)
## Iteration: 500 (50% completed; 0.21179 secs elapsed)
## Iteration: 600 (60% completed; 0.25507 secs elapsed)
## Iteration: 700 (70% completed; 0.2944 secs elapsed)
## Iteration: 800 (80% completed; 0.33602 secs elapsed)
## Iteration: 900 (90% completed; 0.37493 secs elapsed)
## Iteration: 1000 (100% completed; 0.41462 secs elapsed)
## Chain 4
## Iteration: 100 (10% completed; 0.04152 secs elapsed)
## Iteration: 200 (20% completed; 0.1569 secs elapsed)
## Iteration: 300 (30% completed; 0.20335 secs elapsed)
## Iteration: 400 (40% completed; 0.24348 secs elapsed)
## Iteration: 500 (50% completed; 0.28676 secs elapsed)
## Iteration: 600 (60% completed; 0.32585 secs elapsed)
## Iteration: 700 (70% completed; 0.36552 secs elapsed)
## Iteration: 800 (80% completed; 0.4078 secs elapsed)
## Iteration: 900 (90% completed; 0.44594 secs elapsed)
## Iteration: 1000 (100% completed; 0.48624 secs elapsed)
## user system elapsed
## 0.022 0.002 0.603
bmadiag = kmbayes_diagnose(kmfitbma.list)
## Parallel chains
## Inference for the input samples (4 chains: each with iter = 1000; warmup = 500):
##
## Q5 Q50 Q95 Mean SD Rhat Bulk_ESS Tail_ESS
## beta1 1.9 2.0 2.0 2.0 0.0 1.00 675 1304
## beta2 0.0 0.1 0.3 0.1 0.1 1.00 1866 1877
## lambda 4.6 11.5 32.1 14.1 9.6 1.10 39 58
## r1 0.0 0.0 0.1 0.0 0.0 1.18 50 44
## r2 0.0 0.0 0.1 0.0 0.0 1.17 25 61
## r3 0.0 0.0 0.0 0.0 0.0 1.03 117 60
## r4 0.0 0.0 0.1 0.0 0.0 1.05 72 63
## r5 0.0 0.0 0.0 0.0 0.0 1.13 71 81
## sigsq.eps 0.3 0.4 0.5 0.4 0.1 1.01 432 1064
##
## For each parameter, Bulk_ESS and Tail_ESS are crude measures of
## effective sample size for bulk and tail quantities respectively (an ESS > 100
## per chain is considered good), and Rhat is the potential scale reduction
## factor on rank normalized split chains (at convergence, Rhat <= 1.05).
# posterior exclusion probability of each chain
lapply(kmfitbma.list, function(x) t(ExtractPIPs(x)))
## [[1]]
## [,1] [,2] [,3] [,4] [,5]
## variable "z1" "z2" "z3" "z4" "z5"
## PIP "0.866" "0.706" "0.350" "0.678" "0.400"
##
## [[2]]
## [,1] [,2] [,3] [,4] [,5]
## variable "z1" "z2" "z3" "z4" "z5"
## PIP "0.886" "0.940" "0.614" "0.844" "0.724"
##
## [[3]]
## [,1] [,2] [,3] [,4] [,5]
## variable "z1" "z2" "z3" "z4" "z5"
## PIP "0.764" "0.834" "0.454" "0.736" "0.636"
##
## [[4]]
## [,1] [,2] [,3] [,4] [,5]
## variable "z1" "z2" "z3" "z4" "z5"
## PIP "0.908" "0.688" "0.476" "0.636" "0.500"
kmfitbma.comb = kmbayes_combine(kmfitbma.list)
summary(kmfitbma.comb)
## Fitted object of class 'bkmrfit'
## Iterations: 4000
## Outcome family: gaussian
## Model fit on: 2022-03-29 03:54:12
## Running time: 0.4239 secs
##
## Acceptance rates for Metropolis-Hastings algorithm:
## param rate
## 1 lambda 0.4611153
## 2 r/delta (overall) 0.3135784
## 3 r/delta (move 1) 0.4030151
## 4 r/delta (move 2) 0.2253240
##
## Parameter estimates (based on iterations 2001-4000):
## param mean sd q_2.5 q_97.5
## 1 beta1 1.97624 0.04434 1.89178 2.06540
## 2 beta2 0.11939 0.08720 -0.05403 0.28919
## 3 sigsq.eps 0.37401 0.09073 0.23451 0.59425
## 4 r1 0.02125 0.01797 0.00000 0.07041
## 5 r2 0.02710 0.02517 0.00000 0.08436
## 6 r3 0.01219 0.02517 0.00000 0.10333
## 7 r4 0.01658 0.01725 0.00000 0.06966
## 8 r5 0.00917 0.01393 0.00000 0.02455
## 9 lambda 14.07624 9.60894 3.71335 37.33710
##
## Posterior inclusion probabilities:
## variable PIP
## 1 z1 0.8560
## 2 z2 0.7920
## 3 z3 0.4735
## 4 z4 0.7235
## 5 z5 0.5650
## NULL
ExtractPIPs(kmfitbma.comb) # posterior inclusion probabilities
## variable PIP
## 1 z1 0.8560
## 2 z2 0.7920
## 3 z3 0.4735
## 4 z4 0.7235
## 5 z5 0.5650
mean.difference2 <- suppressWarnings(OverallRiskSummaries(fit = kmfitbma.comb, y = y, Z = Z, X = X, qs = seq(0.25, 0.75, by = 0.05),
q.fixed = 0.5, method = "exact"))
mean.difference2
## quantile est sd
## 1 0.25 -0.6366720 0.13485284
## 2 0.30 -0.5089135 0.10837813
## 3 0.35 -0.3335908 0.09907977
## 4 0.40 -0.2439669 0.05375930
## 5 0.45 -0.1425662 0.02649497
## 6 0.50 0.0000000 0.00000000
## 7 0.55 0.1978298 0.04864386
## 8 0.60 0.3023487 0.06120906
## 9 0.65 0.4711916 0.09699283
## 10 0.70 0.8175392 0.16889282
## 11 0.75 0.8970455 0.17107679
with(mean.difference2, {
plot(quantile, est, pch=19, ylim=c(min(est - 1.96*sd), max(est + 1.96*sd)),
axes=FALSE, ylab= "Mean difference", xlab = "Joint quantile")
segments(x0=quantile, x1=quantile, y0 = est - 1.96*sd, y1 = est + 1.96*sd)
abline(h=0)
axis(1)
axis(2)
box(bty='l')
})
bkmrhat also has ported versions of the native posterior summarization functions to compare how these summaries vary across parallel chains. Note that these should serve as diagnostics, and final posterior inference should be done on the combined chain. The easiest of these functions to demonstrate is the OverallRiskSummaries_parallel function, which simply runs OverallRiskSummaries (from the bkmr package) on each chain and combines the results. Notably, this function fixes the y-axis at zero for the median, so it under-represents overall predictive variation across chains, but captures variation in effect estimates across the chains. Ideally, that variation is negligible - e.g. if you see differences between chains that would result in different interpretations, you should re-fit the model with more iterations. In this example, the results are reasonably consistent across chains, but one might want to run more iterations if, say, the differences seen across the upper error bounds are of such a magnitude as to be practically meaningful.
set.seed(111)
system.time(kmfitbma.list <- suppressWarnings(kmbayes_parallel(nchains=4, y = y, Z = Z, X = X, iter = 1000, verbose = FALSE, varsel = TRUE)))
## Chain 1
## Iteration: 100 (10% completed; 0.04127 secs elapsed)
## Iteration: 200 (20% completed; 0.08324 secs elapsed)
## Iteration: 300 (30% completed; 0.13367 secs elapsed)
## Iteration: 400 (40% completed; 0.17409 secs elapsed)
## Iteration: 500 (50% completed; 0.21714 secs elapsed)
## Iteration: 600 (60% completed; 0.25814 secs elapsed)
## Iteration: 700 (70% completed; 0.3013 secs elapsed)
## Iteration: 800 (80% completed; 0.34163 secs elapsed)
## Iteration: 900 (90% completed; 0.38556 secs elapsed)
## Iteration: 1000 (100% completed; 0.42626 secs elapsed)
## Chain 2
## Iteration: 100 (10% completed; 0.03974 secs elapsed)
## Iteration: 200 (20% completed; 0.08242 secs elapsed)
## Iteration: 300 (30% completed; 0.12754 secs elapsed)
## Iteration: 400 (40% completed; 0.16973 secs elapsed)
## Iteration: 500 (50% completed; 0.20923 secs elapsed)
## Iteration: 600 (60% completed; 0.31959 secs elapsed)
## Iteration: 700 (70% completed; 0.35961 secs elapsed)
## Iteration: 800 (80% completed; 0.4007 secs elapsed)
## Iteration: 900 (90% completed; 0.44385 secs elapsed)
## Iteration: 1000 (100% completed; 0.48272 secs elapsed)
## Chain 3
## Iteration: 100 (10% completed; 0.04268 secs elapsed)
## Iteration: 200 (20% completed; 0.08262 secs elapsed)
## Iteration: 300 (30% completed; 0.13049 secs elapsed)
## Iteration: 400 (40% completed; 0.16897 secs elapsed)
## Iteration: 500 (50% completed; 0.21184 secs elapsed)
## Iteration: 600 (60% completed; 0.25362 secs elapsed)
## Iteration: 700 (70% completed; 0.29957 secs elapsed)
## Iteration: 800 (80% completed; 0.34084 secs elapsed)
## Iteration: 900 (90% completed; 0.38035 secs elapsed)
## Iteration: 1000 (100% completed; 0.42373 secs elapsed)
## Chain 4
## Iteration: 100 (10% completed; 0.04341 secs elapsed)
## Iteration: 200 (20% completed; 0.08536 secs elapsed)
## Iteration: 300 (30% completed; 0.13457 secs elapsed)
## Iteration: 400 (40% completed; 0.17529 secs elapsed)
## Iteration: 500 (50% completed; 0.22044 secs elapsed)
## Iteration: 600 (60% completed; 0.2618 secs elapsed)
## Iteration: 700 (70% completed; 0.30816 secs elapsed)
## Iteration: 800 (80% completed; 0.34975 secs elapsed)
## Iteration: 900 (90% completed; 0.39041 secs elapsed)
## Iteration: 1000 (100% completed; 0.4323 secs elapsed)
## user system elapsed
## 0.020 0.002 0.496
meandifference_par = OverallRiskSummaries_parallel(kmfitbma.list, y = y, Z = Z, X = X ,qs = seq(0.25, 0.75, by = 0.05), q.fixed = 0.5, method = "exact")
## Chain 1
## Chain 2
## Chain 3
## Chain 4
head(meandifference_par)
## quantile est sd chain
## 1 0.25 -0.6077766 0.13214887 1
## 2 0.30 -0.4883572 0.11148530 1
## 3 0.35 -0.3070528 0.08312737 1
## 4 0.40 -0.2333888 0.04654883 1
## 5 0.45 -0.1452090 0.02761519 1
## 6 0.50 0.0000000 0.00000000 1
nchains = length(unique(meandifference_par$chain))
with(meandifference_par, {
plot.new()
plot.window(ylim=c(min(est - 1.96*sd), max(est + 1.96*sd)),
xlim=c(min(quantile), max(quantile)),
ylab= "Mean difference", xlab = "Joint quantile")
for(cch in seq_len(nchains)){
width = diff(quantile)[1]
jit = runif(1, -width/5, width/5)
points(jit+quantile[chain==cch], est[chain==cch], pch=19, col=cch)
segments(x0=jit+quantile[chain==cch], x1=jit+quantile[chain==cch], y0 = est[chain==cch] - 1.96*sd[chain==cch], y1 = est[chain==cch] + 1.96*sd[chain==cch], col=cch)
}
abline(h=0)
axis(1)
axis(2)
box(bty='l')
legend("bottom", col=1:nchains, pch=19, lty=1, legend=paste("chain", 1:nchains), bty="n")
})
regfuns_par = PredictorResponseUnivar_parallel(kmfitbma.list, y = y, Z = Z, X = X ,qs = seq(0.25, 0.75, by = 0.05), q.fixed = 0.5, method = "exact")
## Chain 1
## Chain 2
## Chain 3
## Chain 4
head(regfuns_par)
## variable z est se chain
## 1 z1 -2.186199 -1.327148 0.8377480 1
## 2 z1 -2.082261 -1.275372 0.8048473 1
## 3 z1 -1.978323 -1.222335 0.7718192 1
## 4 z1 -1.874385 -1.168099 0.7386821 1
## 5 z1 -1.770446 -1.112734 0.7054585 1
## 6 z1 -1.666508 -1.056314 0.6721764 1
nchains = length(unique(meandifference_par$chain))
# single variable
with(regfuns_par[regfuns_par$variable=="z1",], {
plot.new()
plot.window(ylim=c(min(est - 1.96*se), max(est + 1.96*se)),
xlim=c(min(z), max(z)),
ylab= "Predicted Y", xlab = "Z")
pc = c("#000000", "#E69F00", "#56B4E9", "#009E73", "#F0E442", "#0072B2", "#D55E00", "#CC79A7", "#999999")
pc2 = c("#0000001A", "#E69F001A", "#56B4E91A", "#009E731A", "#F0E4421A", "#0072B21A", "#D55E001A", "#CC79A71A", "#9999991A")
for(cch in seq_len(nchains)){
ribbonX = c(z[chain==cch], rev(z[chain==cch]))
ribbonY = c(est[chain==cch] + 1.96*se[chain==cch], rev(est[chain==cch] - 1.96*se[chain==cch]))
polygon(x=ribbonX, y = ribbonY, col=pc2[cch], border=NA)
lines(z[chain==cch], est[chain==cch], pch=19, col=pc[cch])
}
axis(1)
axis(2)
box(bty='l')
legend("bottom", col=1:nchains, pch=19, lty=1, legend=paste("chain", 1:nchains), bty="n")
})
Sometimes you just need to run more samples in an existing chain. For example, you run a bkmr fit for 3 days, only to find you don't have enough samples. A “continued” fit just means that you can start off at the last iteration you were at and just keep building on an existing set of results by lengthening the Markov chain. Unfortunately, due to how the kmbayes function accepts starting values (for the official install version), you can't quite do this exactly in many cases (The function will relay a message and possible solutions, if any. bkmr package authors are aware of this issue). The kmbayes_continue function continues a bkmr fit as well as the bkmr package will allow. The r parameters from the fit must all be initialized at the same value, so kmbayes_continue starts a new MCMC fit at the final values of all parameters from the prior bkmr fit, but sets all of the r parameters to the mean at the last iteration from the previous fit. Additionally, if h.hat parameters are estimated, these are fixed to be above zero to meet similar constraints, either by fixing them at their posterior mean or setting to a small positive value. One should inspect trace plots to see whether this will cause issues (e.g. if the traceplots demonstrate different patterns in the samples before and after the continuation). Here's an example with a quick check of diagnostics of the first part of the chain, and the combined chain (which could be used for inference or extended again, if necessary). We caution users that this function creates 2 distinct, if very similar Markov chains, and to use appropriate caution if traceplots differ before and after each continuation. Nonetheless, in many cases one can act as though all samples are from the same Markov chain.
Note that if you install the developmental version of the bkmr package you can continue fits from exactly where they left off, so you get a true, single Markov chain. You can install that via the commented code below
# install dev version of bkmr to allow true continued fits.
#install.packages("devtools")
#devtools::install_github("jenfb/bkmr")
set.seed(111)
# run 100 initial iterations for a model with only 2 exposures
Z2 = Z[,1:2]
kmfitbma.start <- suppressWarnings(kmbayes(y = y, Z = Z2, X = X, iter = 500, verbose = FALSE, varsel = FALSE))
## Iteration: 50 (10% completed; 0.02254 secs elapsed)
## Iteration: 100 (20% completed; 0.05107 secs elapsed)
## Iteration: 150 (30% completed; 0.07378 secs elapsed)
## Iteration: 200 (40% completed; 0.1011 secs elapsed)
## Iteration: 250 (50% completed; 0.12392 secs elapsed)
## Iteration: 300 (60% completed; 0.15275 secs elapsed)
## Iteration: 350 (70% completed; 0.17776 secs elapsed)
## Iteration: 400 (80% completed; 0.20574 secs elapsed)
## Iteration: 450 (90% completed; 0.22952 secs elapsed)
## Iteration: 500 (100% completed; 0.25574 secs elapsed)
kmbayes_diag(kmfitbma.start)
## Single chain
## Inference for the input samples (1 chains: each with iter = 500; warmup = 250):
##
## Q5 Q50 Q95 Mean SD Rhat Bulk_ESS Tail_ESS
## beta1 1.9 2.0 2.0 2.0 0.0 1.02 184 238
## beta2 0.0 0.1 0.2 0.1 0.1 1.00 259 197
## lambda 6.4 15.0 33.2 17.0 8.2 1.03 32 38
## r1 0.0 0.0 0.0 0.0 0.0 1.20 5 16
## r2 0.0 0.0 0.1 0.0 0.0 1.01 26 28
## sigsq.eps 0.3 0.4 0.5 0.4 0.1 1.00 195 157
##
## For each parameter, Bulk_ESS and Tail_ESS are crude measures of
## effective sample size for bulk and tail quantities respectively (an ESS > 100
## per chain is considered good), and Rhat is the potential scale reduction
## factor on rank normalized split chains (at convergence, Rhat <= 1.05).
## mean se_mean sd 2.5% 25%
## beta1 1.96002469 0.002996717 0.04071499 1.88732666 1.93049212
## beta2 0.09934846 0.005601868 0.09100445 -0.06425935 0.03866907
## lambda 17.03096186 1.480162990 8.16066439 5.99261263 10.62650587
## r1 0.02445179 0.006963033 0.01503557 0.01009566 0.01650405
## r2 0.02931652 0.003839555 0.02294888 0.01050284 0.01300914
## sigsq.eps 0.38177766 0.006062528 0.08483668 0.25337749 0.32965181
## 50% 75% 97.5% n_eff Rhat valid Q5
## beta1 1.96168526 1.98761915 2.04042002 192 1.0174270 1 1.89496869
## beta2 0.09494353 0.15892943 0.26004214 263 0.9979147 1 -0.04566104
## lambda 14.97716478 22.17297877 35.85230190 32 1.0322926 1 6.39370841
## r1 0.02078562 0.03098429 0.04827171 12 1.1969882 1 0.01009566
## r2 0.02369039 0.03766762 0.09155390 38 1.0072685 1 0.01213386
## sigsq.eps 0.36834066 0.42589940 0.61832629 187 0.9990929 1 0.26493273
## Q50 Q95 MCSE_Q2.5 MCSE_Q25 MCSE_Q50
## beta1 1.96168526 2.02239974 0.0061439984 0.003896226 0.004052288
## beta2 0.09494353 0.24851228 0.0125216874 0.009226277 0.006555085
## lambda 14.97716478 33.24311222 1.2308679568 0.873763048 1.767460797
## r1 0.02078562 0.04809447 0.0006957382 0.002532962 0.004430201
## r2 0.02369039 0.07473096 0.0011501569 0.001816037 0.004755380
## sigsq.eps 0.36834066 0.53371298 0.0112954790 0.004960890 0.004978161
## MCSE_Q75 MCSE_Q97.5 MCSE_SD Bulk_ESS Tail_ESS
## beta1 0.001302716 0.010539232 0.002122356 184 238
## beta2 0.008043386 0.008643991 0.003965505 259 197
## lambda 3.451601827 1.237140963 1.056843473 32 38
## r1 0.006131920 0.001462048 0.005269340 5 16
## r2 0.002075801 0.013178244 0.002737455 26 28
## sigsq.eps 0.006630407 0.039435542 0.004293256 195 157
# run 2000 additional iterations
moreiterations = kmbayes_continue(kmfitbma.start, iter=2000)
## Validating control.params...
## Validating starting.values...
## Iteration: 201 (10% completed; 0.18811 secs elapsed)
## Acceptance rates for Metropolis-Hastings algorithm:
## param rate
## 1 lambda 0.430
## 2 r1 0.245
## 3 r2 0.235
## Iteration: 401 (20% completed; 0.38306 secs elapsed)
## Acceptance rates for Metropolis-Hastings algorithm:
## param rate
## 1 lambda 0.4675
## 2 r1 0.1850
## 3 r2 0.2500
## Iteration: 601 (30% completed; 0.49135 secs elapsed)
## Acceptance rates for Metropolis-Hastings algorithm:
## param rate
## 1 lambda 0.4966667
## 2 r1 0.1633333
## 3 r2 0.2333333
## Iteration: 801 (40% completed; 0.60145 secs elapsed)
## Acceptance rates for Metropolis-Hastings algorithm:
## param rate
## 1 lambda 0.49625
## 2 r1 0.18500
## 3 r2 0.25250
## Iteration: 1001 (50% completed; 0.7072 secs elapsed)
## Acceptance rates for Metropolis-Hastings algorithm:
## param rate
## 1 lambda 0.489
## 2 r1 0.192
## 3 r2 0.243
## Iteration: 1201 (60% completed; 0.81366 secs elapsed)
## Acceptance rates for Metropolis-Hastings algorithm:
## param rate
## 1 lambda 0.4908333
## 2 r1 0.1900000
## 3 r2 0.2416667
## Iteration: 1401 (70% completed; 0.91956 secs elapsed)
## Acceptance rates for Metropolis-Hastings algorithm:
## param rate
## 1 lambda 0.4921429
## 2 r1 0.1928571
## 3 r2 0.2457143
## Iteration: 1601 (80% completed; 1.02579 secs elapsed)
## Acceptance rates for Metropolis-Hastings algorithm:
## param rate
## 1 lambda 0.490625
## 2 r1 0.199375
## 3 r2 0.246250
## Iteration: 1801 (90% completed; 1.13329 secs elapsed)
## Acceptance rates for Metropolis-Hastings algorithm:
## param rate
## 1 lambda 0.4888889
## 2 r1 0.1983333
## 3 r2 0.2516667
## Iteration: 2001 (100% completed; 1.24471 secs elapsed)
## Acceptance rates for Metropolis-Hastings algorithm:
## param rate
## 1 lambda 0.4940
## 2 r1 0.2005
## 3 r2 0.2485
kmbayes_diag(moreiterations)
## Single chain
## Inference for the input samples (1 chains: each with iter = 2500; warmup = 1250):
##
## Q5 Q50 Q95 Mean SD Rhat Bulk_ESS Tail_ESS
## beta1 1.9 2.0 2.0 2.0 0.0 1 1226 1188
## beta2 0.0 0.1 0.2 0.1 0.1 1 1342 1153
## lambda 4.8 11.6 27.8 13.5 7.2 1 132 118
## r1 0.0 0.0 0.1 0.0 0.0 1 36 60
## r2 0.0 0.0 0.1 0.0 0.0 1 63 74
## sigsq.eps 0.3 0.4 0.5 0.4 0.1 1 687 907
##
## For each parameter, Bulk_ESS and Tail_ESS are crude measures of
## effective sample size for bulk and tail quantities respectively (an ESS > 100
## per chain is considered good), and Rhat is the potential scale reduction
## factor on rank normalized split chains (at convergence, Rhat <= 1.05).
## mean se_mean sd 2.5% 25% 50%
## beta1 1.95902186 0.001313130 0.04611042 1.86406579 1.92824507 1.95995430
## beta2 0.10364082 0.002472674 0.09078254 -0.08028629 0.04483808 0.10217365
## lambda 13.45858040 0.575042848 7.18975279 4.63158214 8.06723506 11.62070182
## r1 0.02558935 0.002505863 0.01684645 0.01051616 0.01389383 0.02000374
## r2 0.03152169 0.002840685 0.02568259 0.01042071 0.01378317 0.02173483
## sigsq.eps 0.39671746 0.003232309 0.08256885 0.26948029 0.33468348 0.38833815
## 75% 97.5% n_eff Rhat valid Q5 Q50
## beta1 1.99013424 2.05059125 1236 1.000073 1 1.88233558 1.95995430
## beta2 0.16648882 0.27919590 1353 1.001507 1 -0.04502216 0.10217365
## lambda 17.07843757 32.36093598 156 1.000211 1 4.81793593 11.62070182
## r1 0.03034907 0.07050527 45 1.004470 1 0.01097881 0.02000374
## r2 0.03773703 0.10918759 80 1.001884 1 0.01069795 0.02173483
## sigsq.eps 0.44446826 0.59030414 650 1.000453 1 0.28159002 0.38833815
## Q95 MCSE_Q2.5 MCSE_Q25 MCSE_Q50 MCSE_Q75
## beta1 2.03392196 0.0034878092 0.0018218271 0.001705603 0.001924244
## beta2 0.24728033 0.0063559462 0.0036553685 0.002849542 0.003241571
## lambda 27.83773681 0.2173104809 0.6064432977 0.646607405 0.583887782
## r1 0.06248365 0.0004568228 0.0017076967 0.002442041 0.003929030
## r2 0.07985574 0.0002483599 0.0009401994 0.002913607 0.004161742
## sigsq.eps 0.54458362 0.0028952538 0.0027590593 0.003419585 0.004708623
## MCSE_Q97.5 MCSE_SD Bulk_ESS Tail_ESS
## beta1 0.004277831 0.0009293335 1226 1188
## beta2 0.009449827 0.0017774270 1342 1153
## lambda 1.708604469 0.4073777741 132 118
## r1 0.005777434 0.0017834748 36 60
## r2 0.011995755 0.0020158792 63 74
## sigsq.eps 0.007480563 0.0023104526 687 907
TracePlot(moreiterations, par="beta")
TracePlot(moreiterations, par="r")
Thanks to Haotian “Howie” Wu for invaluable feedback on early versions of the package.