rbartpackages.BART.gbart¶
- class rbartpackages.BART.gbart(x_train, y_train, x_test=None, *, type='wbart', sparse=False, theta=0.0, omega=1.0, a=0.5, b=1.0, augment=False, rho=None, xinfo=None, usequants=False, rm_const=True, sigest=None, sigdf=3.0, sigquant=0.9, k=2.0, power=2.0, base=0.95, lambda_=None, tau_num=None, offset=None, w=None, ntree=None, numcut=100, ndpost=1000, nskip=100, keepevery=None, printevery=100, transposed=False, hostname=False, mc_cores=2, nice=19, seed=99)[source]¶
Fit BART to continuous or binary outcomes with a single MCMC chain.
Python interface to R’s
BART::gbart. Same parameters asmc_gbart, but the fit runs in the current R process, ignoringmc_cores,niceandseed; seed the fit through R’sset.seedinstead.R documentation
title ----- Generalized BART for continuous and binary outcomes name ---- gbart alias ----- mc.gbart keyword ------- nonlinear description ----------- BART is a Bayesian sum-of-trees model. For a numeric response y , we have y = f(x) + \epsilon y = f(x) + e , where \epsilon \sim N(0,\sigma^2) e ~ N(0,sigma^2) . 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 ----- gbart( x.train, y.train, x.test=matrix(0,0,0), type='wbart', ntype=as.integer( factor(type, levels=c('wbart', 'pbart', 'lbart'))), sparse=FALSE, theta=0, omega=1, a=0.5, b=1, augment=FALSE, rho=NULL, xinfo=matrix(0,0,0), usequants=FALSE, rm.const=TRUE, sigest=NA, sigdf=3, sigquant=0.90, k=2, power=2, base=0.95, %sigmaf=NA, lambda=NA, tau.num=c(NA, 3, 6)[ntype], %tau.interval=0.9973, offset=NULL, w=rep(1, length(y.train)), ntree=c(200L, 50L, 50L)[ntype], numcut=100L, %ntree=200L, numcut=100L, ndpost=1000L, nskip=100L, %keepevery=1L, keepevery=c(1L, 10L, 10L)[ntype], printevery=100L, transposed=FALSE, hostname=FALSE, mc.cores = 1L, ## mc.gbart only nice = 19L, ## mc.gbart only seed = 99L ## mc.gbart only ) mc.gbart( x.train, y.train, x.test=matrix(0,0,0), type='wbart', ntype=as.integer( factor(type, levels=c('wbart', 'pbart', 'lbart'))), sparse=FALSE, theta=0, omega=1, a=0.5, b=1, augment=FALSE, rho=NULL, xinfo=matrix(0,0,0), usequants=FALSE, rm.const=TRUE, sigest=NA, sigdf=3, sigquant=0.90, k=2, power=2, base=0.95, %sigmaf=NA, lambda=NA, tau.num=c(NA, 3, 6)[ntype], %tau.interval=0.9973, offset=NULL, w=rep(1, length(y.train)), %ntree=200L, numcut=100L, ntree=c(200L, 50L, 50L)[ntype], numcut=100L, ndpost=1000L, nskip=100L, %keepevery=1L, keepevery=c(1L, 10L, 10L)[ntype], printevery=100L, transposed=FALSE, hostname=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 created if q=2 where q is the number of levels of the factor. gbart will generate draws of f(x) for each x which is a row of x.train . y.train Continuous or binary dependent variable for training (in sample) data. If y is numeric, then a continuous BART model is fit (Normal errors). If y is binary (has only 0's and 1's), then a binary BART model with a probit link is fit by default: you can over-ride the default via the argument type to specify a logit BART model. x.test Explanatory variables for test (out of sample) data. Should have same structure as x.train . gbart will generate draws of f(x) for each x which is a row of x.test . type You can use this argument to specify the type of fit. 'wbart' for continuous BART, 'pbart' for probit BART or 'lbart' for logit BART. ntype The integer equivalent of type where 'wbart' is 1, 'pbart' is 2 and 'lbart' is 3. 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. rm.const Whether or not to remove constant variables. sigest The prior for the error variance ( sigma^2 sigma\^2 ) is inverted chi-squared (the standard conditionally conjugate prior). The prior is specified by choosing the degrees of freedom, a rough estimate of the corresponding standard deviation and a quantile to put this rough estimate at. If sigest=NA then the rough estimate will be the usual least squares estimator. Otherwise the supplied value will be used. Not used if y is binary. sigdf Degrees of freedom for error variance prior. Not used if y is binary. sigquant The quantile of the prior that the rough estimate (see sigest ) is placed at. The closer the quantile is to 1, the more aggresive the fit will be as you are putting more prior weight on error standard deviations ( sigma ) less than the rough estimate. Not used if y is binary. k For numeric y , k is the number of prior standard deviations E(Y|x) = f(x) is away from +/-0.5. 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. %% \item{sigmaf}{ %% The SD of \eqn{f}. Not used if \eqn{y} is binary. %% } lambda The scale of the prior for the variance. If lambda is zero, then the variance is to be considered fixed and known at the given value of sigest . Not used if y is binary. tau.num The numerator in the tau definition, i.e., tau=tau.num/(k*sqrt(ntree)) . %% \item{tau.interval}{ %% The width of the interval to scale the variance for the terminal %% leaf values. Only used if \eqn{y} is binary.} offset Continous BART operates on y.train centered by offset which defaults to mean(y.train) . With binary BART, the centering is P(Y=1 | x) = F(f(x) + offset) where offset defaults to F^{-1}(mean(y.train)) . You can use the offset parameter to over-ride these defaults. w Vector of weights which multiply the standard deviation. Not used if y is binary. 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} i^th element gives the number of c used for the i^{th} 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) values are used. ndpost The number of posterior draws returned. nskip Number of MCMC iterations to be treated as burn in. printevery As the MCMC runs, a message is printed every printevery draws. keepevery Every keepevery draw is kept to be returned to the user. %% A \dQuote{draw} will consist of values of the error standard deviation (\eqn{\sigma}{sigma}) %% and \eqn{f^*(x)}{f*(x)} %% at \eqn{x} = rows from the train(optionally) and test data, where \eqn{f^*}{f*} denotes %% the current draw of \eqn{f}. transposed When running gbart in parallel, it is more memory-efficient to transpose x.train and x.test , if any, prior to calling mc.gbart . hostname When running on a cluster occasionally it is useful to track on which node each chain is running; to do so set this argument to TRUE . 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). details ------- BART is a Bayesian MCMC method. At each MCMC interation, we produce a draw from the joint posterior (f,\sigma) | (x,y) (f,sigma) \| (x,y) in the numeric y case and just 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) f*(x) (and \sigma^* sigma* in the numeric case) where * denotes a particular draw. The x is either a row from the training data, x.train or the test data, x.test . For x.train / x.test with missing data elements, gbart will singly impute them with hot decking. For one or more missing covariates, record-level hot-decking imputation deWaPann11 is employed that is biased towards the null, i.e., nonmissing values from another record are randomly selected regardless of the outcome. Since mc.gbart runs multiple gbart threads in parallel, mc.gbart performs multiple imputation with hot decking, i.e., a separate imputation for each thread. This record-level hot-decking imputation is biased towards the null, i.e., nonmissing values from another record are randomly selected regardless of y.train . value ----- %% The \code{plot} method sets mfrow to c(1,2) and makes two plots.\cr %% The first plot is the sequence of kept draws of \eqn{\sigma}{sigma} %% including the burn-in draws. Initially these draws will decline as BART finds fit %% and then level off when the MCMC has burnt in.\cr %% The second plot has \eqn{y} on the horizontal axis and posterior intervals for %% the corresponding \eqn{f(x)} on the vertical axis. gbart returns an object of type gbart which is essentially a list. % assigned class \sQuote{bart}. In the numeric y case, the list has components: yhat.train A matrix with ndpost rows and nrow(x.train) columns. Each row corresponds to a draw f^* f* from the posterior of f and each column corresponds to a row of x.train. The (i,j) value is f^*(x) f*(x) for the i^{th} i\^th kept draw of f and the j^{th} 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. yhat.train.mean train data fits = mean of yhat.train columns. yhat.test.mean test data fits = mean of yhat.test columns. sigma post burn in draws of sigma, length = ndpost. first.sigma burn-in draws of sigma. 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. sigest The rough error standard deviation ( \sigma sigma ) used in the prior. seealso ------- pbart examples -------- ##simulate data (example from Friedman MARS paper) f = function(x){ 10*sin(pi*x[,1]*x[,2]) + 20*(x[,3]-.5)^2+10*x[,4]+5*x[,5] } sigma = 1.0 #y = f(x) + sigma*z , z~N(0,1) n = 100 #number of observations set.seed(99) x=matrix(runif(n*10),n,10) #10 variables, only first 5 matter Ey = f(x) y=Ey+sigma*rnorm(n) lmFit = lm(y~.,data.frame(x,y)) #compare lm fit to BART later ##test BART with token run to ensure installation works set.seed(99) bartFit = wbart(x,y,nskip=5,ndpost=5) ##run BART set.seed(99) bartFit = wbart(x,y) ##compare BART fit to linear matter and truth = Ey fitmat = cbind(y,Ey,lmFit$fitted,bartFit$yhat.train.mean) colnames(fitmat) = c('y','Ey','lm','bart') print(cor(fitmat))- predict(newdata, *, mc_cores=None, openmp=None, dodraws=None, nice=None)[source]¶
Compute predictions at new covariate points.
Python interface to R’s
predictmethod for the fit, dispatched on the fittype. For continuous (‘wbart’) fits the result is the matrix of posterior latent-function draws (their mean withdodraws=False); for binary (‘pbart’/’lbart’) fits R returns a list, exposed here as aPredictBinarydict. Arguments left toNoneare omitted from the R call, so R computes its own defaults, described below.- Parameters:
newdata (
Float64[ndarray, 'm p']|DataFrame) – Covariates to predict at; rows are observations, with one column per keptx_traincolumn (seerm_const). A dataframe’s factor columns are expanded into indicator columns.mc_cores (
int|None, default:None) – Number of OpenMP threads or forked R processes (seeopenmp) computing the predictions; default 1.openmp (
bool|None, default:None) – Whethermc_corescounts OpenMP threads rather than forked R processes; default whether BART was compiled with OpenMP.dodraws (
bool|None, default:None) – Whether to return the posterior draws (the default) rather than only their mean. ‘wbart’ fits only (the binary methods accept it but then crash summarizing the mean-only result).nice (
int|None, default:None) – Unix niceness of the forked processes, from 0 (highest priority) to 19 (lowest, the default); ignored unless forking.
- Returns:
Float64[ndarray, 'ndpost m']|Float64[ndarray, 'm']|PredictBinary– The function draws atnewdatafor continuous fits (their mean withdodraws=False), or aPredictBinarydict for binary fits.
Notes
For
mc.gbartfits withmc_cores > 1that dropped constant columns, R miscounts the kept columns and fails to update the header of the serialized ensemble, so only the first chain’s draws are returned.The R arguments
mu(the method already fills it with the fit’s offset, and a second value would be a duplicate-argument error) andtransposed(a pre-transposednewdatacannot pass the method’s own column-count check) are not exposed.
- prob_train_mean: None | Float64[ndarray, 'n'] = None¶
Posterior mean of
prob_train.
- sigma_mean: float | None = None¶
Mean of the first
ndpostpost-burn-insigmadraws (continuous only).
- yhat_test_mean: Float64[ndarray, 'm'] | None = None¶
Posterior mean of
yhat_test(continuous with test data only).
- yhat_train_mean: Float64[ndarray, 'n'] | None = None¶
Posterior mean of
yhat_train(continuous only).
- LPML: float¶
Log pseudo-marginal likelihood; unstable for BART.
Always computed, even without burn-in. Miscomputed by R for binary
mc.gbartfits withmc_cores > 1(the chains’ probabilities are not combined before the computation).
- rm_const: Int32[ndarray, '<=p']¶
0-based indices of the
x_traincolumns kept (constant columns dropped).mc.gbartwithmc_cores=1relabels the kept columns to0 .. kept-1, losing which original columns were dropped.
- varcount: Int32[ndarray, 'ndpost p']¶
Per-draw count of splits on each variable, summed over trees.
- varprob: Float64[ndarray, 'ndpost p']¶
Per-draw probability assigned to each variable for splitting.
- yhat_test: Float64[ndarray, 'ndpost m']¶
Test-point posterior function draws (latent scale for binary).
Always present: R’s
cgbartallocates it unconditionally, so without test data it is an empty array rather thanNone(with the rows of the first chain only formc.gbart, which combines the chains just when there is test data).
- yhat_train: Float64[ndarray, 'ndpost n']¶
Training-point posterior function draws (latent scale for binary).
- hostname: Bool[ndarray, '1'] | String[ndarray, '1']¶
Hostname the fit ran on if fitted with
hostname=True, elseFalse.
- prob_test: None | Float64[ndarray, 'ndpost m'] = None¶
Test-point success-probability draws (binary outcomes only).