anders nielsen template model-builder

Introduction to Template Model Builder

Kasper Kristensen & Anders Nielsen

an@aqua.dtu.dk

What is TMB

� Developered by Kasper Kristensen

� ADMB inspired R-package

� Combines external libraries: CppAD, Eigen, CHOLMOD

� Continuously developed since 2009, < 10000 lines of code

� Implements Laplace approximation for random effects

� C++ Template based

� Automatic sparseness detection

� Parallelism through BLAS

� Parallel user templates

� Parallelism through multicore package

Code

DATA_SECTION

init_int N

init_vector Y(1,N)

init_vector x(1,N)

PARAMETER_SECTION

init_number a

init_number b

init_number logSigma

sdreport_number sigmasq

objective_function_value nll

PROCEDURE_SECTION

sigmasq=exp(2*logSigma);

nll=0.5*(N*log(2*M_PI*sigmasq)+sum(square(Y-(a+b*x)))/sigmasq);

#include <TMB.hpp>

template<class Type>

Type objective_function<Type>::operator() ()

{

DATA_VECTOR(Y);

DATA_VECTOR(x);

PARAMETER(a);

PARAMETER(b);

PARAMETER(logSigma);

ADREPORT(exp(2*logSigma));

Type nll=-sum(dnorm(Y,a+b*x,exp(logSigma),true));

return nll;

}

##################### THEN IN R #####################

library(TMB)

compile("linreg.cpp")

dyn.load("linreg.so")

set.seed(123)

data <- list(Y=rnorm(10)+1:10,x=1:10)

parameters <- list(a=0,b=0,logSigma=0)

obj <- MakeADFun(data,parameters)

obj$hessian <- TRUE

opt <- do.call("optim",obj)

opt

opt$hessian ## <-- FD hessian from optim

obj$he() ## <-- Analytical hessian

sdreport(obj)

Code with random effects#include <TMB.hpp>

/* Parameter transform */

template <class Type>

Type square(Type x){return x*x;}

template<class Type>

Type objective_function<Type>::operator() ()

{

DATA_VECTOR(Y); /* timeSteps x stateDim */

PARAMETER_VECTOR(X); /* State */

PARAMETER(logr0);

PARAMETER(logtheta);

PARAMETER(logK);

PARAMETER(logQ)

PARAMETER(logR)

int timeSteps=Y.size();

using namespace density;

Type ans=0;

for(int i=1;i<timeSteps;i++){

Type var=exp(logQ);

Type m=X[i-1] + exp(logr0) * (1.0 - pow(exp(X[i-1])/exp(logK),exp(logtheta)));

ans+=0.5*(log(2.0*M_PI*var)+square(X[i]-m)/var);

}

for(int i=0;i<timeSteps;i++){

Type var=exp(logR);

ans+=0.5*(log(2.0*M_PI*var)+square(X[i]-Y[i])/var);

}

return ans;

}

####################### THEN IN R #######################

Y<-scan('thetalog.dat', skip=3, quiet=TRUE)

library(TMB)

compile("thetalog.cpp")

dyn.load("thetalog.so")

data <- list(Y=Y)

parameters <- list(

X=data$Y*0,

logr0=0,

logtheta=0,

logK=6,

logQ=0,

logR=0

)

newtonOption(smartsearch=FALSE)

obj <- MakeADFun(data,parameters,random="X",DLL="thetalog")

obj$hessian <- TRUE

#obj$control$reltol<-1e-12

obj$fn()

obj$gr()

system.time(opt <- nlminb(obj$par,obj$fn,obj$gr))

rep <- sdreport(obj)

rep

Timings

Example TMB (est) TMB (sd) ADMB (est) ADMB (sd)

mvrw 0.22 0.09 15.70 12.98

nmix 2.99 0.73 16.49 15.07

orange big 2.76 1.26 179.10 93.47

sdv multi 10.63 2.38 345.99 99.07

spatial 9.08 1.51 8.68 3.26

thetalog 0.27 0.07 4.17 3.61

SAM 2.22 3.37 187.52 52.43

Tabel 1: Timings for each example in seconds, either for estimation alone (est) or the

sdreport phase alone including hessian calculation (sd).