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A-quick-tour-of-tMoE

Introduction

TMoE (t Mixture-of-Experts) provides a flexible and robust modelling framework for heterogenous data with possibly heavy-tailed distributions and corrupted by atypical observations. TMoE consists of a mixture of K t expert regressors network (of degree p) gated by a softmax gating network (of degree q) and is represented by:

Model estimation/learning is performed by a dedicated expectation conditional maximization (ECM) algorithm by maximizing the observed data log-likelihood. We provide simulated examples to illustrate the use of the model in model-based clustering of heterogeneous regression data and in fitting non-linear regression functions.

It was written in R Markdown, using the knitr package for production.

See help(package="meteorits") for further details and references provided by citation("meteorits").

Application to a simulated dataset

Generate sample

n <- 500 # Size of the sample
alphak <- matrix(c(0, 8), ncol = 1) # Parameters of the gating network
betak <- matrix(c(0, -2.5, 0, 2.5), ncol = 2) # Regression coefficients of the experts
sigmak <- c(0.5, 0.5) # Standard deviations of the experts
nuk <- c(5, 7) # Degrees of freedom of the experts network t densities
x <- seq.int(from = -1, to = 1, length.out = n) # Inputs (predictors)

# Generate sample of size n
sample <- sampleUnivTMoE(alphak = alphak, betak = betak, sigmak = sigmak, 
                         nuk = nuk, x = x)
y <- sample$y

Set up tMoE model parameters

K <- 2 # Number of regressors/experts
p <- 1 # Order of the polynomial regression (regressors/experts)
q <- 1 # Order of the logistic regression (gating network)

Set up EM parameters

n_tries <- 1
max_iter <- 1500
threshold <- 1e-5
verbose <- TRUE
verbose_IRLS <- FALSE

Estimation

tmoe <- emTMoE(X = x, Y = y, K, p, q, n_tries, max_iter, 
               threshold, verbose, verbose_IRLS)
## EM - tMoE: Iteration: 1 | log-likelihood: -529.945288794032
## EM - tMoE: Iteration: 2 | log-likelihood: -527.348101613744
## EM - tMoE: Iteration: 3 | log-likelihood: -526.697258494959
## EM - tMoE: Iteration: 4 | log-likelihood: -526.100920519297
## EM - tMoE: Iteration: 5 | log-likelihood: -525.530707141445
## EM - tMoE: Iteration: 6 | log-likelihood: -525.004975573049
## EM - tMoE: Iteration: 7 | log-likelihood: -524.537304371765
## EM - tMoE: Iteration: 8 | log-likelihood: -524.134230296182
## EM - tMoE: Iteration: 9 | log-likelihood: -523.796173749721
## EM - tMoE: Iteration: 10 | log-likelihood: -523.519134936736
## EM - tMoE: Iteration: 11 | log-likelihood: -523.296473104273
## EM - tMoE: Iteration: 12 | log-likelihood: -523.120395143099
## EM - tMoE: Iteration: 13 | log-likelihood: -522.983018797515
## EM - tMoE: Iteration: 14 | log-likelihood: -522.877027662562
## EM - tMoE: Iteration: 15 | log-likelihood: -522.796003916234
## EM - tMoE: Iteration: 16 | log-likelihood: -522.734538519799
## EM - tMoE: Iteration: 17 | log-likelihood: -522.68820514474
## EM - tMoE: Iteration: 18 | log-likelihood: -522.653461853027
## EM - tMoE: Iteration: 19 | log-likelihood: -522.627523155938
## EM - tMoE: Iteration: 20 | log-likelihood: -522.608228167519
## EM - tMoE: Iteration: 21 | log-likelihood: -522.593918674577
## EM - tMoE: Iteration: 22 | log-likelihood: -522.583333279152
## EM - tMoE: Iteration: 23 | log-likelihood: -522.57551921559
## EM - tMoE: Iteration: 24 | log-likelihood: -522.569760986911
## EM - tMoE: Iteration: 25 | log-likelihood: -522.565523823543

Summary

tmoe$summary()
## -------------------------------------
## Fitted t Mixture-of-Experts model
## -------------------------------------
## 
## tMoE model with K = 2 experts:
## 
##  log-likelihood df       AIC       BIC       ICL
##       -522.5655 10 -532.5655 -553.6386 -553.6456
## 
## Clustering table (Number of observations in each expert):
## 
##   1   2 
## 249 251 
## 
## Regression coefficients:
## 
##     Beta(k = 1) Beta(k = 2)
## 1    0.01321746   0.2258488
## X^1  2.55858529  -2.8607695
## 
## Variances:
## 
##  Sigma2(k = 1) Sigma2(k = 2)
##      0.2821912     0.4560227

Plots

Mean curve

tmoe$plot(what = "meancurve")

Confidence regions

tmoe$plot(what = "confregions")

Clusters

tmoe$plot(what = "clusters")

Log-likelihood

tmoe$plot(what = "loglikelihood")

Application to a real dataset

Load data

library(MASS)
data("mcycle")
x <- mcycle$times
y <- mcycle$accel

Set up tMoE model parameters

K <- 4 # Number of regressors/experts
p <- 2 # Order of the polynomial regression (regressors/experts)
q <- 1 # Order of the logistic regression (gating network)

Set up EM parameters

n_tries <- 1
max_iter <- 1500
threshold <- 1e-5
verbose <- TRUE
verbose_IRLS <- FALSE

Estimation

tmoe <- emTMoE(X = x, Y = y, K, p, q, n_tries, max_iter, 
               threshold, verbose, verbose_IRLS)
## EM - tMoE: Iteration: 1 | log-likelihood: -607.963023404096
## EM - tMoE: Iteration: 2 | log-likelihood: -603.530462450757
## EM - tMoE: Iteration: 3 | log-likelihood: -600.936924880401
## EM - tMoE: Iteration: 4 | log-likelihood: -597.134488483045
## EM - tMoE: Iteration: 5 | log-likelihood: -587.345068256529
## EM - tMoE: Iteration: 6 | log-likelihood: -579.214908026282
## EM - tMoE: Iteration: 7 | log-likelihood: -575.789415000413
## EM - tMoE: Iteration: 8 | log-likelihood: -574.743067640861
## EM - tMoE: Iteration: 9 | log-likelihood: -573.824355322963
## EM - tMoE: Iteration: 10 | log-likelihood: -572.704434066976
## EM - tMoE: Iteration: 11 | log-likelihood: -571.456957238225
## EM - tMoE: Iteration: 12 | log-likelihood: -570.311351216642
## EM - tMoE: Iteration: 13 | log-likelihood: -569.295154539063
## EM - tMoE: Iteration: 14 | log-likelihood: -568.319884936335
## EM - tMoE: Iteration: 15 | log-likelihood: -567.372601882285
## EM - tMoE: Iteration: 16 | log-likelihood: -566.478212031608
## EM - tMoE: Iteration: 17 | log-likelihood: -565.659310717143
## EM - tMoE: Iteration: 18 | log-likelihood: -564.901676479101
## EM - tMoE: Iteration: 19 | log-likelihood: -564.155447286696
## EM - tMoE: Iteration: 20 | log-likelihood: -563.446620149915
## EM - tMoE: Iteration: 21 | log-likelihood: -562.937110761917
## EM - tMoE: Iteration: 22 | log-likelihood: -562.667086966818
## EM - tMoE: Iteration: 23 | log-likelihood: -562.520110670808
## EM - tMoE: Iteration: 24 | log-likelihood: -562.426801842479
## EM - tMoE: Iteration: 25 | log-likelihood: -562.361727752526
## EM - tMoE: Iteration: 26 | log-likelihood: -562.314424482959
## EM - tMoE: Iteration: 27 | log-likelihood: -562.279516472013
## EM - tMoE: Iteration: 28 | log-likelihood: -562.253254369394
## EM - tMoE: Iteration: 29 | log-likelihood: -562.233295182051
## EM - tMoE: Iteration: 30 | log-likelihood: -562.217975445467
## EM - tMoE: Iteration: 31 | log-likelihood: -562.206116173187
## EM - tMoE: Iteration: 32 | log-likelihood: -562.196865909629
## EM - tMoE: Iteration: 33 | log-likelihood: -562.189597689509
## EM - tMoE: Iteration: 34 | log-likelihood: -562.183858578194
## EM - tMoE: Iteration: 35 | log-likelihood: -562.179299411545

Summary

tmoe$summary()
## -------------------------------------
## Fitted t Mixture-of-Experts model
## -------------------------------------
## 
## tMoE model with K = 4 experts:
## 
##  log-likelihood df       AIC       BIC       ICL
##       -562.1793 26 -588.1793 -625.7538 -625.7472
## 
## Clustering table (Number of observations in each expert):
## 
##  1  2  3  4 
## 28 37 32 36 
## 
## Regression coefficients:
## 
##     Beta(k = 1) Beta(k = 2)  Beta(k = 3) Beta(k = 4)
## 1    -1.0422893 1008.728925 -2132.506787 654.7349946
## X^1  -0.1089089 -105.713093   135.481456 -27.8267024
## X^2  -0.0079480    2.481934    -2.112076   0.2888205
## 
## Variances:
## 
##  Sigma2(k = 1) Sigma2(k = 2) Sigma2(k = 3) Sigma2(k = 4)
##       1.596783      440.1084      473.8641       30.5968

Plots

Mean curve

tmoe$plot(what = "meancurve")

Confidence regions

tmoe$plot(what = "confregions")

Clusters

tmoe$plot(what = "clusters")

Log-likelihood

tmoe$plot(what = "loglikelihood")

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.