Package 'fntl'

Description

Package documentation

Author(s)

Maintainer: Andrew M. Raim [email protected] (ORCID)

See Also

Useful links:

• https://github.com/andrewraim/fntl

Description

Get an arguments list for internal methods with the default settings. This object can be adjusted and passed to the respective function.

Usage

findroot_args()

optimize_args()

integrate_args()

cg_args()

bfgs_args()

lbfgsb_args()

neldermead_args()

nlm_args()

richardson_args()

Value

An argument list corresponding to the specified function. The elements of the list are named and supplied with default values. See the package vignette for further details.

• findroot_args is documented in the section "Root-Finding".

• optimize_args is documented in the section "Univariate Optimization".

• integrate_args is documented in the section "Integration".

• cg_args is documented in the section "Conjugate Gradient".

• bfgs_args is documented in the section "BFGS".

• lbfgsb_args is documented in the section "L-BFGS-B".

• neldermead_argsis documented in the section "Nelder-Mead".

• nlm_args is documented in the section "Newton-Type Algorithm for Nonlinear Optimization".

• richardson_args is documented in the section "Richardson Extrapolated Finite Differences".

Description

Numerical Derivatives via Finite Differences

Usage

fd_deriv1(f, x, i, h, fd_type)

fd_deriv2(f, x, i, j, h_i, h_j, fd_type)

deriv1(f, x, i, args, fd_type)

deriv2(f, x, i, j, args, fd_type)

Arguments

Value

fd_deriv1 and fd_deriv2 return a single numeric value corresponding to the first and second derivative via finite differences. deriv1 and deriv2 return a list with the form of a richardson_result described in section "Richardson Extrapolated Finite Differences" of the package vignette.

Examples

args = richardson_args()

f = sin   # Try 2nd derivatives of a univariate function
x0 = 0.5
print(-sin(x0))  ## Exact answer for f''(x0)

fd_deriv2(f, x0, i = 0, j = 0, h_i = 0.001, h_j = 0.001, fd_type = 0)
fd_deriv2(f, x0, i = 0, j = 0, h_i = 0.001, h_j = 0.001, fd_type = 1)
fd_deriv2(f, x0, i = 0, j = 0, h_i = 0.001, h_j = 0.001, fd_type = 2)

deriv2(f, x0, i = 0, j = 0, args, fd_type = 0)

# Try 2nd derivatives of a bivariate function
f = function(x) { sin(x[1]) + cos(x[2]) }
x0 = c(0.5, 0.25)

print(-sin(x0[1]))  ## Exact answer for f_xx(x0)
print(-cos(x0[2]))  ## Exact answer for f_yy(x0)
print(0)         ## Exact answer for f_xy(x0,y0)

numDeriv::hessian(f, x0)

fd_deriv2(f, x0, i = 0, j = 0, h_i = 0.001, h_j = 0.001, fd_type = 0)
fd_deriv2(f, x0, i = 0, j = 0, h_i = 0.001, h_j = 0.001, fd_type = 1)
fd_deriv2(f, x0, i = 0, j = 0, h_i = 0.001, h_j = 0.001, fd_type = 2)

fd_deriv2(f, x0, i = 0, j = 1, h_i = 0.001, h_j = 0.001, fd_type = 0)
fd_deriv2(f, x0, i = 0, j = 1, h_i = 0.001, h_j = 0.001, fd_type = 1)
fd_deriv2(f, x0, i = 0, j = 1, h_i = 0.001, h_j = 0.001, fd_type = 2)

fd_deriv2(f, x0, i = 1, j = 1, h_i = 0.001, h_j = 0.001, fd_type = 0)
fd_deriv2(f, x0, i = 1, j = 1, h_i = 0.001, h_j = 0.001, fd_type = 1)
fd_deriv2(f, x0, i = 1, j = 1, h_i = 0.001, h_j = 0.001, fd_type = 2)

deriv2(f, x0, i = 1, j = 1, args, fd_type = 0)
deriv2(f, x0, i = 1, j = 1, args, fd_type = 1)
deriv2(f, x0, i = 1, j = 1, args, fd_type = 2)

Description

Find Root

Usage

findroot_bisect(f, lower, upper, args)

findroot_brent(f, lower, upper, args)

Arguments

Value

A list with the form of a findroot_result described in section "Root-Finding" of the package vignette.

Examples

f = function(x) { x^2 - 1 }
args = findroot_args()
findroot_bisect(f, 0, 10, args)
findroot_brent(f, 0, 10, args)

Description

Numerical Gradient Vector

Usage

gradient0(f, x, args)

Arguments

Value

A list with the form of a gradient_result described in section "Gradient" of the package vignette.

Examples

f = function(x) { sum(sin(x)) }
args = richardson_args()
x0 = seq(0, 1, length.out = 5)
cos(x0)  ## Exact answer
gradient0(f, x0, args)
numDeriv::grad(f, x0)

Description

Numerical Hessian

Usage

hessian0(f, x, args)

Arguments

Value

A list with the form of a hessian_result described in section "Hessian" of the package vignette.

Examples

f = function(x) { sum(x^2) }
x0 = seq(1, 10, length.out = 5)
args = richardson_args()
hessian0(f, x0, args)
numDeriv::hessian(f, x0)

Description

Compute the integral $\int_a^b f(x) dx$.

Usage

integrate0(f, lower, upper, args)

Arguments

Value

A list with the form of a integrate_result described in section "Integration" of the package vignette.

Examples

f = function(x) { exp(-x^2 / 2) }
args = integrate_args()
integrate0(f, 0, 10, args)

Description

Numerical Jacobian Matrix

Usage

jacobian0(f, x, args)

Arguments

Value

A list with the form of a jacobian_result described in section "Jacobian" of the package vignette.

Examples

f = function(x) { cumsum(sin(x)) }
x0 = seq(1, 10, length.out = 5)
args = richardson_args()
out = jacobian0(f, x0, args)
print(out$value)
numDeriv::jacobian(f, x0)

Description

Matrix Apply Functions

Usage

mat_apply(X, f)

row_apply(X, f)

col_apply(X, f)

Arguments

Details

The mat_apply, row_apply, and col_apply C++ functions are intended to operate like the following calls in R, respectively.

apply(x, c(1,2), f)
apply(x, 1, f)
apply(x, 2, f)

The R functions exposed here are specific to numeric-valued matrices, but the underlying C++ functions are intended to work with any type of Rcpp Matrix.

Value

mat_apply returns a matrix. row_apply and col_apply return a vector. See section "Apply" of the package vignette for details.

Examples

X = matrix(1:12, nrow = 4, ncol = 3)
mat_apply(X, f = function(x) { x^(1/3) })
row_apply(X, f = function(x) { sum(x^2) })
col_apply(X, f = function(x) { sum(x^2) })

Description

Multivariate Optimization

Usage

cg1(init, f, g, args)

cg2(init, f, args)

bfgs1(init, f, g, args)

bfgs2(init, f, args)

lbfgsb1(init, f, g, args)

lbfgsb2(init, f, args)

neldermead(init, f, args)

nlm1(init, f, g, h, args)

nlm2(init, f, g, args)

nlm3(init, f, args)

Arguments

Details

The argument args should be a list constructed from one of the following functions:

• bfgs_args for BFGS;

• lbfgsb_args for L-BFGS-B;

• cg_args for CG;

• neldermead_args for Nelder-Mead;

• nlm_args for the Newton-type algorithm used in nlm.

When g or h are omitted, the gradient or Hessian will be respectively be computed via finite differences.

Value

A list with results corresponding to the specified function. See the package vignette for further details.

• cg1 and cg2 return a cg_result which is documented in the section "Conjugate Gradient".

• bfgs1 and bfgs2 return a bfgs_result which is documented in the section "BFGS".

• lbfgsb1 and lbfgsb2 return a lbfgsb_result which is documented in the section "L-BFGS-B".

• neldermead returns a neldermead_result which is documented in the section "Nelder-Mead".

• nlm1, nlm2, and nlm3 return a nlm_result which is documented in the section "Newton-Type Algorithm for Nonlinear Optimization".

Examples

f = function(x) { sum(x^2) }
g = function(x) { 2*x }
h = function(x) { 2*diag(length(x)) }
x0 = c(1,1)

args = cg_args()
cg1(x0, f, g, args)
cg2(x0, f, args)

args = bfgs_args()
bfgs1(x0, f, g, args)
bfgs2(x0, f, args)

args = lbfgsb_args()
lbfgsb1(x0, f, g, args)
lbfgsb2(x0, f, args)

args = neldermead_args()
neldermead(x0, f, args)

args = nlm_args()
nlm1(x0, f, g, h, args)
nlm2(x0, f, g, args)
nlm3(x0, f, args)

Description

Compute "outer" matrices and matrix-vector products based on a function that operators on pairs of rows. See details.

Usage

outer1(X, f)

outer2(X, Y, f)

outer1_matvec(X, f, a)

outer2_matvec(X, Y, f, a)

Arguments

Details

The outer1 function computes the $n \times n$ symmetric matrix

$\text{\texttt outer1}(X, f) = \begin{bmatrix} f(x_1, x_1) & \cdots & f(x_1, x_n) \cr \vdots & \ddots & \vdots \cr f(x_n, x_1) & \cdots & f(x_n, x_n) \cr \end{bmatrix}$

and the outer1_matvec operation computes the $n$-dimensional vector

$\text{\texttt outer1\_matvec}(X, f, a) = \begin{bmatrix} f(x_1, x_1) & \cdots & f(x_1, x_n) \cr \vdots & \ddots & \vdots \cr f(x_n, x_1) & \cdots & f(x_n, x_n) \cr \end{bmatrix} \begin{bmatrix} a_1 \cr \vdots \cr a_n \cr \end{bmatrix}.$

The outer2 operation computes the $m \times n$ matrix

$\text{\texttt outer2}(X, Y, f) = \begin{bmatrix} f(x_1, y_1) & \cdots & f(x_1, y_n) \cr \vdots & \ddots & \vdots \cr f(x_m, y_1) & \cdots & f(x_m, y_n) \cr \end{bmatrix}$

and the outer2_matvec operation computes the $m$-dimensional vector

$\text{\texttt outer2\_matvec}(X, Y, f, a) = \begin{bmatrix} f(x_1, y_1) & \cdots & f(x_1, y_n) \cr \vdots & \ddots & \vdots \cr f(x_m, y_1) & \cdots & f(x_m, y_n) \cr \end{bmatrix} \begin{bmatrix} a_1 \cr \vdots \cr a_n \cr \end{bmatrix}.$

Value

outer1 and outer2 return a matrix. outer1_matvec and outer2_matvec return a vector. See section "Outer" of the package vignette for details.

Examples

set.seed(1234)
f = function(x,y) { sum( (x - y)^2 ) }
X = matrix(rnorm(12), 6, 2)
Y = matrix(rnorm(10), 5, 2)
outer1(X, f)
outer2(X, Y, f)

a = rep(1, 6)
b = rep(1, 5)
outer1_matvec(X, f, a)
outer2_matvec(X, Y, f, b)

Description

Solve the system $l(x) = b$ where $l(x)$ is a matrix-free representation of the linear operation $Ax$.

Usage

solve_cg(l, b, init, args)

Arguments

Value

A list with the form of a solve_cg_result described in section "Conjugate Gradient" of the package vignette.

Examples

set.seed(1234)

n = 8
idx_diag = cbind(1:n, 1:n)
idx_ldiag = cbind(2:n, 1:(n-1))
idx_udiag = cbind(1:(n-1), 2:n)
b = rep(1, n)

## Solution by explicit computation of solve(A, b)
A = matrix(0, n, n)
A[idx_diag] = 2
A[idx_ldiag] = 1
A[idx_udiag] = 1
solve(A, b)

## Solve iteratively with solve_cg
f = function(x) { A %*% x }
args = cg_args()
init = rep(0, n)
solve_cg(f, b, init, args)

Description

Density, CDF, quantile, and drawing functions for a univariate distribution with density $f$, cdf, $F$, and quantile function $F^{-}$ truncated to the interval $[a ,b]$.

Usage

d_trunc(x, lo, hi, f, F, log = FALSE)

p_trunc(x, lo, hi, F, lower = TRUE, log = FALSE)

q_trunc(p, lo, hi, F, Finv, lower = TRUE, log = FALSE)

r_trunc(n, lo, hi, F, Finv)

Arguments

Value

Vector with results. d_trunc computes the density, r_trunc generates random deviates, p_trunc computes the CDF, and q_trunc computes quantiles.

Examples

library(tidyverse)

m = 100  ## Length of sequence for density, CDF, etc
shape1 = 5
shape2 = 2
lo = 0.5
hi = 0.7

# Density, CDF, and quantile function for untruncated distribution
ff = function(x, log) { dbeta(x, shape1, shape2, log = log) }
FF = function(x, lower, log) { pbeta(x, shape1, shape2, lower.tail = lower, log = log) }
FFinv = function(x, lower, log) { qbeta(x, shape1, shape2, lower.tail = lower, log = log) }

# Compare truncated and untruncated densities
xseq = seq(0, 1, length.out = m)
lo_vec = rep(lo, m)
hi_vec = rep(hi, m)
f0seq = ff(xseq, log = FALSE)
fseq = d_trunc(xseq, lo_vec, hi_vec, ff, FF)
data.frame(x = xseq, f = fseq, f0 = f0seq) %>%
    ggplot() +
    geom_line(aes(xseq, fseq)) +
    geom_line(aes(xseq, f0seq), lty = 2) +
    xlab("x") +
    ylab("Density") +
    theme_minimal()

# Compare truncated densities and empirical density of generated draws
n = 100000
lo_vec = rep(lo, n)
hi_vec = rep(hi, n)
x = r_trunc(n = n, lo_vec, hi_vec, FF, FFinv)
hist(x, probability = TRUE, breaks = 15)
points(xseq, fseq)

# Compare empirical CDF of draws with CDF function
Femp = ecdf(x)
lo_vec = rep(lo, m)
hi_vec = rep(hi, m)
Fseq = p_trunc(xseq, lo_vec, hi_vec, FF)
data.frame(x = xseq, FF = Fseq) %>%
    mutate(F0 = Femp(x)) %>%
    ggplot() +
    geom_line(aes(xseq, FF), lwd = 1.2) +
    geom_line(aes(xseq, F0), col = "orange") +
    xlab("x") +
    ylab("Probability") +
    theme_minimal()

# Compare empirical quantiles of draws with quantile function
pseq = seq(0, 1, length.out = m)
lo_vec = rep(lo, m)
hi_vec = rep(hi, m)
Finvseq = q_trunc(pseq, lo_vec, hi_vec, FF, FFinv)
Finvemp = quantile(x, prob = pseq)
data.frame(p = pseq, Finv = Finvseq, Finvemp = Finvemp) %>%
    ggplot() +
    geom_line(aes(pseq, Finv), lwd = 1.2) +
    geom_line(aes(pseq, Finvemp), col = "orange") +
    xlab("p") +
    ylab("Quantile") +
    theme_minimal()

Description

Univariate Optimization

Usage

goldensection(f, lower, upper, args)

optimize_brent(f, lower, upper, args)

Arguments

Value

A list with the form of a optimize_result described in section "Univariate Optimization" of the package vignette.

Examples

f = function(x) { x^2 - 1 }
args = optimize_args()
goldensection(f, 0, 10, args)
optimize_brent(f, 0, 10, args)

Description

Matrix Which Function

Usage

which0(X, f)

Arguments

Details

The which C++ functions are intended to operate like the following call in R.

which(f(X), arr.ind = TRUE) - 1

The R functions exposed here are specific to numeric-valued matrices, but the underlying C++ functions are intended to work with any type of Rcpp Matrix.

Value

A matrix with two columns. Each row contains a row and column index corresponding to an element of $X$ that matches the criteria of $f$. See section "Which" of the package vignette for details.

Examples

X = matrix(1:12 / 6, nrow = 4, ncol = 3)
f = function(x) { x < 1 }
which0(X, f)