Optimise an RTMB object from several starting values

Latent Markov models often have several local optima of the likelihood. multistart() optimises obj from several starting values: the first is obj$par (the initial parameters), the others are random perturbations of it on the working scale. Afterwards, lama(obj) builds the model from the best fit, as RTMB keeps the parameters with the lowest negative log-likelihood it evaluated.

Usage

multistart(
  obj,
  nstarts = 20,
  sd = 1,
  starts = NULL,
  scale = c("fixed", "unit_info"),
  stop = c("bayes", "hits", "none"),
  hits = 3,
  sd_max = 2,
  tol = 1e-06,
  seed = NULL,
  optimizer = stats::nlminb,
  silent = FALSE,
  ...
)

Arguments

obj: RTMB object from MakeADFun()
nstarts: maximum number of starts, including obj$par
sd: standard deviation of the perturbations on the working scale: a number, a vector of the length of obj$par, or a named list with one value per parameter (names as in the parameter list)
starts: optional matrix of starting values, one per row, with columns as obj$par; then nstarts and sd are ignored
scale: "fixed" for perturbations of obj$par with sd, or "unit_info" for perturbations of the first fit scaled by the unit information, see ‘Details’
stop: stopping rule: "bayes" (not used for given starts), "hits" or "none", see ‘Details’
hits: number of times the best optimum needs to be reached for stop = "hits"
sd_max: largest standard deviation for scale = "unit_info"
tol: relative tolerance for two runs to reach the same optimum
seed: optional seed for the random number generator
optimizer: optimisation function called as optimizer(par, fn, gr, ...), returning par and objective (like nlminb) or value (like optim)
silent: logical; if TRUE, nothing is printed
...: further arguments passed to optimizer

Value

output of optimizer for the best run, with two more elements: runs, a data frame with the negative log-likelihood nll, convergence code and maximum gradient component mgc of each run, and starts, the matrix of starting values used.

Details

Stopping. Two runs reach the same optimum if their negative log-likelihoods differ by less than tol (relative), so permuted states (label switching) count as the same optimum. Only converged runs (convergence code 0 and maximum gradient component below 0.01) count for stopping. In any case, at most nstarts starts are run.

stop = "bayes" uses the Bayesian stopping rule of Boender and Rinnooy Kan (1987): after $k$ runs with $w$ distinct optima, the expected number of optima is $w(k-1)/(k-w-2)$, and multistart() stops when this is below $w + 0.5$, i.e. probably no optimum is missed. The rule assumes that the starts are independent draws from one distribution, so only the random starts count, not the first run from obj$par, and it is not used for given starts. It needs at least 8 converged random starts.
stop = "hits" stops once the best optimum was reached hits times.

Caution. Stopping does not mean that the global optimum was found. "No optimum missed" only refers to the distribution of the starts: optima far away from it, or with a small basin of attraction, can be missed. For example, with a very small sd, all starts converge to the same optimum and the rule stops quickly, although other starts might find a better one. So choose sd wide enough and still check the fit.

Scatter.

With scale = "fixed", the starts are obj$par plus normal noise with standard deviation sd. As most working parameters are on log or logit scale, sd = 1 is a relative change, so one value usually fits all parameters. Parameters on identity scale (e.g. means of normal distributions) may need their own sd, given as a named list like list(eta = 1, mu = 5).
With scale = "unit_info", the starts are drawn around the first fit from a normal distribution with covariance $n H^{-1}$, where $H$ is the Hessian of the negative log-likelihood and $n$ the number of observations. This is the information of a single observation (unit information), which does not shrink with $n$ and takes correlations of the parameters into account. Standard deviations are capped at sd_max, for weakly identified parameters. If the Hessian is not positive definite (or allprobs is not reported, so $n$ is unknown), the fixed sd is used instead.

References

Boender, C. G. E., & Rinnooy Kan, A. H. G. (1987). Bayesian stopping rules for multistart global optimization methods. Mathematical Programming, 37(1), 59-80.

Examples

nll <- function(par) {
  getAll(par, dat)
  Gamma <- tpm(eta)
  mu <- exp(log_mu); REPORT(mu)
  allprobs <- cbind(dgamma2(step, mu[1], exp(log_sigma[1])),
                   dgamma2(step, mu[2], exp(log_sigma[2])))
  -forward(stationary(Gamma), Gamma, allprobs)
}
dat <- list(step = trex$step[1:500])
par <- list(eta = c(-2, -2), log_mu = log(c(0.3, 2.5)), log_sigma = log(c(0.2, 1.5)))
obj <- MakeADFun(nll, par, silent = TRUE)

opt <- multistart(obj, seed = 1)
#> start 1 - nll: 536.2127 
#> start 2 - nll: 536.2127 
#> start 3 - nll: 536.2127 
#> start 4 - nll: 656.563 
#> start 5 - nll: 536.2127 
#> start 6 - nll: 536.2127 
#> start 7 - nll: 536.2127 
#> start 8 - nll: 536.2127 
#> start 9 - nll: 536.2127 
#> start 10 - nll: 536.2127 
#> 10 starts, 9 converged, 1 distinct optima, best reached 9 times; stopped: Bayesian stopping rule 
opt$runs
#>         nll convergence          mgc
#> 1  536.2127           0 1.657455e-04
#> 2  536.2127           0 9.364391e-05
#> 3  536.2127           0 2.764750e-03
#> 4  656.5630           0 1.919732e-02
#> 5  536.2127           0 2.028025e-04
#> 6  536.2127           0 7.778351e-04
#> 7  536.2127           0 1.693041e-05
#> 8  536.2127           0 6.041584e-04
#> 9  536.2127           0 2.866955e-03
#> 10 536.2127           0 3.189349e-05
mod <- lama(obj) # best fit

# starts scaled by the first fit
opt <- multistart(obj, scale = "unit_info", seed = 1)
#> start 1 - nll: 536.2127 
#> start 2 - nll: 536.2127 
#> start 3 - nll: 536.2127 
#> start 4 - nll: 661.2706 
#> start 5 - nll: 536.2127 
#> start 6 - nll: 536.2127 
#> start 7 - nll: 536.2127 
#> start 8 - nll: 536.2127 
#> start 9 - nll: 536.2127 
#> start 10 - nll: 536.2127 
#> start 11 - nll: 662.1921 
#> start 12 - nll: 536.2127 
#> start 13 - nll: 536.2127 
#> start 14 - nll: 536.2127 
#> start 15 - nll: 536.2127 
#> start 16 - nll: 536.2127 
#> start 17 - nll: 536.2127 
#> start 18 - nll: 536.2127 
#> start 19 - nll: 536.2127 
#> start 20 - nll: 536.2127 
#> 20 starts, 20 converged, 3 distinct optima, best reached 18 times; stopped: nstarts reached