Error in R: nonconformable arguments. Not true? - r

this is my code:
#define likelihood function (including an intercept/constant in the function.)
lltobit <- function(b,x,y) {
sigma <- b[3]
y <- as.matrix(y)
x <- as.matrix(x)
vecones <- rep(1,nrow(x))
x <- cbind(vecones,x)
bx <- x %*% b[1:2]
d <- y != 0
llik <- sum(d * ((-1/2)*(log(2*pi) + log(sigma^2) + ((y - bx)/sigma)^2))
+ (1-d) * (log(1 - pnorm(bx/sigma))))
return(-llik)
}
n <- nrow(censored) #define number of variables
y <- censored$y #define y and x for easier use
x1 <- as.matrix(censored$x)
x <- cbind(rep(1,n),x1) #include constant/intercept
bols <- (solve(t(x) %*% x)) %*% (t(x) %*% y) #compute ols estimator (XX) -1 XY
init <- rbind(as.matrix(bols[1:nrow(bols)]),1) #initial values
init
tobit1 <- optim(init, lltobit, x=x, y=y, hessian=TRUE, method="BFGS")
where censored is my data table, including 200 (censored) values of y and 200 values of x.
Everything works, but when running the optim command, i get the following error:
tobit1 <- optim(init, lltobit, x=x, y=y, hessian=TRUE, method="BFGS")
Error in x %*% b[1:2] : non-conformable arguments
I know what it means, but since x is a 200 by 2 matrix, and b[1:2] a vector of 2 by 1, what goes wrong? I tried transposing both, and also the initial values vector, but nothing works. Can anyone help me?

I stumbled upon a similar problem today ("non-conformable arguments" error, even though everything seemed OK), and solution in my case was in basic rules for matrix-multiplication: i.e. number of columns of the left matrix must be the same as the number of rows of the right matrix = I had to switch order in multiplication equation.
In other words, in matrix multiplication (unlike ordinary multiplication), A %*% B is not the same as B %*% A.

I offer one case in Principal Component Regression (PCR) in R, today I met this problem when tring to fit test data with model. it returned an error:
> pcr.pred = predict(pcr.fit, test.data, ncomp=6)
Error in newX %*% B[-1, , i] : non-conformable arguments
In addition: Warning message:
The problem was that, the test data has a new level that is previously not contained in the train data. To find which level has the problem:
cols = colnames(train)
for (col in cols){
if(class(ori.train[[col]]) == 'factor'){
print(col)
print(summary(train[[col]]))
print(summary(test[[col]]))
}
}
You can check which annoying attributes has this new level, then you can replace this 'new' attribute with other common values, save the data with write.csv and reload it, and you can run the PCR prediction.

Related

Matrix multiplication causes "non-conformable" error when called from `optim`

i am trying to run a simple optimization problem and i always get the 'non-conformable arguments' error. However the error occurs only within optim, so i am at the end of my understanding. Here is my code:
f <- function(W, x, y){
temp <- W %*% x
temp1 <- t(temp) %*% temp
temp2 <- t(temp) %*% y
temp3 <- t(y) %*% y
(temp1 - 2 * temp2 + temp3)[1]
}
x <- matrix(c(1,2), ncol=1)
y <- matrix(c(5,3), ncol=1)
W <- matrix(c(1,2,3,4), ncol=2)
f(W,x=x,y=y)
> 53
so far so good. The function works just fine. However once i put the values into optim:
optim(par=W, fn=f, x=x, y=y)
i get:
> Error in W %*% x : non-conformable arguments
how can i fix this?
If you add print(W) at start of f you would see that W is used as vector (it seems that optim converts par to vector). You should transform W to matrix with adequate dimensions at start of f.

Non-Conformable Arrays in While Loop (R)?

I'm trying to implement gradient descent manually and am running into the following error:
Error in beta - ((alpha/6132) * sum(yhat - y) * x) :
non-conformable arrays
My code is
while(itr < 20){
beta <- beta - ((alpha/6132)*sum(yhat-y)*x)
t <- t(beta)
yhat <- t(t%*%x)
itr <- itr+1
}
Where y and yhat are both matrices with the same number of rows (6132) and columns (1), and beta is a set of 12 arbitrary beta values to be optimized iteratively and x is a matrix containing 12 predictor variables.
Here is the code detailing this:
beta <- as.matrix(1:12)
t <- t(beta)
x <- as.matrix(t(bike))
x <- rbind(1, x)
yhat <- t(t%*%x)
y <- t(y)
alpha <- 0.01
x is a matrix with 12 columns and 6132 rows.
Any help/advise is appreciated.

Non-comformable arguments in R

I am re-writting an algorithm I did in C++ in R for practice called the Finite Difference Method. I am pretty new with R so I don't know all the rules regarding vector/matrix multiplication. For some reason I am getting a non-conformable arguments error when I do this:
ST_u <- matrix(0,M,1)
ST_l <- matrix(0,M,1)
for(i in 1:M){
Z <- matrix(gaussian_box_muller(i),M,1)
ST_u[i] <- (S0 + delta_S)*exp((r - (sigma*sigma)/(2.0))*T + sigma*sqrt(T)%*%Z)
ST_l[i] <- (S0 - delta_S)*exp((r - (sigma*sigma)/(2.0))*T + sigma*sqrt(T)%*%Z)
}
I get this error:
Error in sqrt(T) %*% Z : non-conformable arguments
Here is my whole code:
gaussian_box_muller <- function(n){
theta <- runif(n, 0, 2 * pi)
rsq <- rexp(n, 0.5)
x <- sqrt(rsq) * cos(theta)
return(x)
}
d_j <- function(j, S, K, r, v,T) {
return ((log(S/K) + (r + (-1^(j-1))*0.5*v*v)*T)/(v*(T^0.5)))
}
call_delta <- function(S,K,r,v,T){
return (S * dnorm(d_j(1, S, K, r, v, T))-K*exp(-r*T) * dnorm(d_j(2, S, K, r, v, T)))
}
Finite_Difference <- function(S0,K,r,sigma,T,M,delta_S){
ST_u <- matrix(0,M,1)
ST_l <- matrix(0,M,1)
for(i in 1:M){
Z <- matrix(gaussian_box_muller(i),M,1)
ST_u[i] <- (S0 + delta_S)*exp((r - (sigma*sigma)/(2.0))*T + sigma*sqrt(T)%*%Z)
ST_l[i] <- (S0 - delta_S)*exp((r - (sigma*sigma)/(2.0))*T + sigma*sqrt(T)%*%Z)
}
Delta <- matrix(0,M,1)
totDelta <- 0
for(i in 1:M){
if(ST_u[i] - K > 0 && ST_l[i] - K > 0){
Delta[i] <- ((ST_u[i] - K) - (ST_l[i] - K))/(2*delta_S)
}else{
Delta <- 0
}
totDelta = totDelta + exp(-r*T)*Delta[i]
}
totDelta <- totDelta * 1/M
Var <- 0
for(i in 1:M){
Var = Var + (Delta[i] - totDelta)^2
}
Var = Var*1/M
cat("The Finite Difference Delta is : ", totDelta)
call_Delta_a <- call_delta(S,K,r,sigma,T)
bias <- abs(call_Delta_a - totDelta)
cat("The bias is: ", bias)
cat("The Variance of the Finite Difference method is: ", Var)
MSE <- bias*bias + Var
cat("The marginal squared error is thus: ", MSE)
}
S0 <- 100.0
delta_S <- 0.001
K <- 100.0
r <- 0.05
sigma <- 0.2
T <- 1.0
M <- 10
result1 <- Finite_Difference(S0,K,r,sigma,T,M,delta_S)
I can't seem to figure out the problem, any suggestions would be greatly appreciated.
In R, the %*% operator is reserved for multiplying two conformable matrices. As one special case, you can also use it to multiply a vector by a matrix (or vice versa), if the vector can be treated as a row or column vector that conforms to the matrix; as a second special case, it can be used to multiply two vectors to calculate their inner product.
However, one thing it cannot do is perform scalar multipliciation. Scalar multiplication of vectors or matrices always uses the plain * operator. Specifically, in the expression sqrt(T) %*% Z, the first term sqrt(T) is a scalar, and the second Z is a matrix. If what you intend to do here is multiply the matrix Z by the scalar sqrt(T), then this should just be written sqrt(T) * Z.
When I made this change, your program still didn't work because of another bug -- S is used but never defined -- but I don't understand your algorithm well enough to attempt a fix.
A few other comments on the program not directly related to your original question:
The first loop in Finite_Difference looks suspicious: guassian_box_muller(i) generates a vector of length i as i varies in the loop from 1 up to M, and forcing these vectors into a column matrix of length M to generate Z is probably not doing what you want. It will "reuse" the values in a cycle to populate the matrix. Try these to see what I mean:
matrix(gaussian_box_muller(1),10,1) # all one value
matrix(gaussian_box_muller(3),10,1) # cycle of three values
You also use loops in many places where R's vector operations would be easier to read and (typically) faster to execute. For example, your definition of Var is equivalent to:
Var <- sum((Delta - totDelta)^2)/M
and the definitions of Delta and totDelta could also be written in this simplified fashion.
I'd suggest Googling for "vector and matrix operations in r" or something similar and reading some tutorials. Vector arithmetic in particular is idiomatic R, and you'll want to learn it early and use it often.
You might find it helpful to consider the rnorm function to generate random Gaussians.
Happy R-ing!

Newton Raphson for logistic regression

I did code for Newton Raphson for logistic regression. Unfortunately I tried many data there is no convergence. there is a mistake I do not know where is it. Can anyone help to figure out what is the problem.
First the data is as following; y indicate the response (0,1) , Z is 115*30 matrix which is the exploratory variables. I need to estimate the 30 parameters.
y = c(rep(0,60),rep(1,55))
X = sample(c(0,1),size=3450,replace=T)
Z = t(matrix(X,ncol=115))
#The code is ;
B = matrix(rep(0,30*10),ncol=10)
B[,1] = matrix(rep(0,30),ncol=1)
for(i in 2 : 10){
print(i)
p <- exp(Z %*%as.matrix(B[,i])) / (1 + exp(Z %*% as.matrix(B[,i])))
v.2 <- diag(as.vector(1 * p*(1-p)))
score.2 <- t(Z) %*% (y - p) # score function
increm <- solve(t(Z) %*% v.2 %*% Z)
B[,i] = as.matrix(B[,i-1])+increm%*%score.2
if(B[,i]-B[i-1]==matrix(rep(0.0001,30),ncol=1)){
return(B)
}
}
Found it! You're updating p based on B[,i], you should be using B[,i-1] ...
While I was finding the answer, I cleaned up your code and incorporated the results in a function. R's built-in glm seems to work (see below). One note is that this approach is likely to be unstable: fitting a binary model with 30 predictors and only 115 binary responses, and without any penalization or shrinkage, is extremely optimistic ...
set.seed(101)
n.obs <- 115
n.zero <- 60
n.pred <- 30
y <- c(rep(0,n.zero),rep(1,n.obs-n.zero))
X <- sample(c(0,1),size=n.pred*n.obs,replace=TRUE)
Z <- t(matrix(X,ncol=n.obs))
R's built-in glm fitter does work (it uses iteratively reweighted least squares, not N-R):
g1 <- glm(y~.-1,data.frame(y,Z),family="binomial")
(If you want to view the results, library("arm"); coefplot(g1).)
## B_{m+1} = B_m + (X^T V_m X)^{-1} X^T (Y-P_m)
NRfit function:
NRfit <- function(y,X,start,n.iter=100,tol=1e-4,verbose=TRUE) {
## used X rather than Z just because it's more standard notation
n.pred <- ncol(X)
B <- matrix(NA,ncol=n.iter,
nrow=n.pred)
B[,1] <- start
for (i in 2:n.iter) {
if (verbose) cat(i,"\n")
p <- plogis(X %*% B[,i-1])
v.2 <- diag(c(p*(1-p)))
score.2 <- t(X) %*% (y - p) # score function
increm <- solve(t(X) %*% v.2 %*% X)
B[,i] <- B[,i-1]+increm%*%score.2
if (all(abs(B[,i]-B[,i-1]) < tol)) return(B)
}
B
}
matplot(res1 <- t(NRfit(y,Z,start=coef(g1))))
matplot(res2 <- t(NRfit(y,Z,start=rep(0,ncol(Z)))))
all.equal(res2[6,],unname(coef(g1))) ## TRUE

efficient way of calculating lots of matrices

I'm trying to write a program that does the following:
Given two intervals A and B, for every (a,b) with a in A and b in B
create a variance matrix ymat, depending on (a,b)
calculate the (multivariate normal) density of some vector y
with mean 0 and variance matrix ymat
I learned that using loops is bad in R, so I wanted to use outer(). Here are my two functions:
y_mat <- function(n,lambda,theta,sigma) {
L <- diag(n);
L[row(L) == col(L) + 1] <- -1;
K <- t(1/n * L - theta*diag(n))%*%(1/n * L - theta*diag(n));
return(sigma^2*diag(n) + 1/lambda*K);
}
make_plot <- function(y,sigma,theta,lambda) {
n <- length(y)
sig_intv <- seq(.1,2*sigma,.01);
th_intv <- seq(-abs(2*theta),abs(2*theta),.01);
z <- outer(sig_intv,th_intv,function(s,t){dmvnorm(y,rep(0,n),y_mat(n,lambda,theta=t,sigma=s))})
contour(sig_intv,th_intv,z);
}
The shape of the variance matrix isn't relevant for this question. n and lambda are just two scalars, as are sigma and theta.
When I try
make_plot(y,.5,-3,10)
I get the following error message:
Error in t(1/n * L - theta * diag(n)) :
dims [product 25] do not match the length of object [109291]
In addition: Warning message:
In theta * diag(n) :
longer object length is not a multiple of shorter object length
Could someone enlighten me as to what's going wrong? Am I maybe going about this the wrong way?
The third argument of outer should be a vectorized function. Wrapping it with Vectorize should suffice:
make_plot <- function(y, sigma, theta, lambda) {
n <- length(y)
sig_intv <- seq(.1,2*sigma,.01);
th_intv <- seq(-abs(2*theta),abs(2*theta),.01);
z <- outer(
sig_intv, th_intv,
Vectorize(function(s,t){dmvnorm(y,rep(0,n),y_mat(n,lambda,theta=t,sigma=s))})
)
contour(sig_intv,th_intv,z);
}

Resources