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library(ebnm)
library(glmnet)
Warning: package 'glmnet' was built under R version 3.6.2
Loading required package: Matrix
Loaded glmnet 4.1
library(ashr)

Introduction

My goal here is to implement a version of VAMP in R. I’m using algorithm 1 from Fletcher+Schniter (which includes EM steps, but I am ignoring those for now.)

I will try to use mostly their notation, where the model is \[y \sim N(Ax, 1/\theta_2)\] First I simulate some data under this model for testing:

M = 100
N = 10
A = matrix(rnorm(M*N, 0,1),nrow=M)
theta2 = 1
x = rnorm(N)
y = A %*% x + rnorm(M,0,sd=sqrt(1/theta2))

For comparison I’m going to do the ridge regression estimate. For prior \(x \sim N(0,s_x^2)\) the posterior on \(x\) is \(x \sim N(\mu_1,\Sigma_1)\) where \[\mu_1 = \theta_2 \Sigma_1 A'y\] and \[\Sigma_1 = (\theta_2 A'A + s_x^2 I)^{-1}.\]

S = chol2inv(chol(theta2 * t(A) %*% A + diag(N)))
x.rr = theta2 * S %*% t(A) %*% y

Now here is my initial implementation of vamp. Note there is no EB for now - the ebnm function has a fixed prior and just does the shrinkage.

This implmentation uses the idea of performing an svd of A to improve efficiency per iteration. The computationally intensive part without this trick is computing the inverse of \(Q\) (equations 8-10 in the EM-VAMP paper). Here I briefly outline this trick.

Assume \(A\) has SVD \(A=UDV'\), so \(A'A = VD^2V'\). If necessary include 0 eigenvalues in \(D\), so \(V\) is a square matrix with \(VV'=V'V=I\). Recall that \[Q:=\theta_2 A'A + \gamma_2 I\] so \[Q^{-1} = V (\theta_2 D^2 + \gamma_2 I)^{-1} V'\] Note that if \(d=diag(D)\) then \[(\theta_2 d_k^2 + \gamma_2)^{-1}= (1/\gamma_2)(1- a_k)\] where \[a_k:= \theta_2 d_k^2/(\theta_2 d_k^2 + \gamma_2).\]

So \[Q^{-1} = (1/\gamma_2)(I - V diag(a) V')\] and this has diagonal elements \[Q^{-1}_{ii} = (1/\gamma_2)(1 - \sum_k V^2_{ik} a_k)\]

Note that if \(d_k=0\) then \(a_k=0\) so there is no need to actually compute the parts of \(V\) that correspond to 0 eigenvalues.

#' @param A an M by N matrix of covariates
#' @param y an M vector of outcomes
#' @param ebnm_fn a function (eg from ebnm package) that takes parameters x and s and returns posterior mean and sd under a normal means model (no eb for now!)
vamp = function(A,y,ebnm_fn= function(x,s){ebnm_normal(x=x,s=s,mode=0,scale=1)}, r1.init = rnorm(ncol(A)), gamma1.init = 1, theta2=1, niter = 100){

  # initialize
  r1 = r1.init
  gamma1 = gamma1.init
  N = ncol(A)
  A.svd = svd(A)
  v = A.svd$v
  d = A.svd$d
  
  for(k in 1:niter){
    fit = do.call(ebnm_fn,list(x = r1,s = sqrt(1/gamma1)))
    x1 = fit$posterior$mean
    eta1 = 1/(mean(fit$posterior$sd^2))
    gamma2 = eta1 - gamma1
    r2 = (eta1 * x1 - gamma1 * r1)/gamma2
    
    # this is the brute force approach; superceded by the svd approach
    #Q = theta2 * t(A) %*% A + gamma2 * diag(N)
    #Qinv = chol2inv(chol(Q))
    #diag_Qinv = diag(Qinv)
    
    # The following avoids computing Qinv explicitly
    
    a = theta2*d^2/(theta2*d^2 + gamma2)
    #Qinv = (1/gamma2) * (diag(N) - v %*% diag(a) %*% t(v))
    diag_Qinv = (1/gamma2) * (1- colSums( a * t(v^2) ))
    
    eta2 = 1/mean(diag_Qinv)
    #x2 = Qinv %*% (theta2 * t(A) %*% y + gamma2 * r2)
    temp = (theta2 * t(A) %*% y + gamma2 * r2) # temp is a vector
    temp2= (v %*% (diag(a) %*% (t(v) %*% temp))) # matrix mult vdiag(a)v'temp efficiently
    x2 = (1/gamma2) * (temp - temp2)
    
    gamma1 = eta2 - gamma2
    
    r1 = (eta2 * x2 - gamma2 * r2)/ gamma1
  }
  return(fit = list(x1=x1,x2=x2, eta1=eta1, eta2=eta2))
}

Now I try this out with a normal prior (which should give same answer as ridge regression and does…)

fit = vamp(A,y)
plot(fit$x1,fit$x2, main="x1 vs x2")
abline(a=0,b=1)

Version Author Date
89f41f9 Matthew Stephens 2021-02-04 
plot(fit$x1,x.rr, main="comparison with ridge regression")
abline(a=0,b=1)

Version Author Date
89f41f9 Matthew Stephens 2021-02-04

Note that the \(\eta\) values converge to the inverse of the mean of the digonal of the posterior variance.

fit$eta1 - fit$eta2
[1] 0
1/fit$eta1 - mean(diag(S))
[1] -2.844947e-16

A harder example

Here we try vamp on a problematic case for mean field from here

Here the prior is a 50-50 mixture of 0 and \(N(0,1)\). I’m going to give vamp both the true prior and the true residual variance.

  my_g = normalmix(pi=c(0.5,0.5), mean=c(0,0), sd=c(0,1))
  my_ebnm_fn = function(x,s){ebnm(x,s,g_init=my_g,fix_g = TRUE )}
  set.seed(123)
  n <- 500
  p <- 1000
  p_causal <- 500 # number of causal variables (simulated effects N(0,1))
  pve <- 0.95
  nrep = 10
  rmse_vamp = rep(0,nrep)
  rmse_glmnet = rep(0,nrep)
  
  for(i in 1:nrep){
    sim=list()
    sim$X =  matrix(rnorm(n*p,sd=1),nrow=n)
    B <- rep(0,p)
    causal_variables <- sample(x=(1:p), size=p_causal)
    B[causal_variables] <- rnorm(n=p_causal, mean=0, sd=1)

    sim$B = B
    sim$Y = sim$X %*% sim$B
    sigma2 = ((1-pve)/(pve))*sd(sim$Y)^2
    E = rnorm(n,sd = sqrt(sigma2))
    sim$Y = sim$Y + E
    
    fit_glmnet <- cv.glmnet(x=sim$X, y=sim$Y, family="gaussian", alpha=1, standardize=FALSE)  
    fit_vamp <- vamp(A=sim$X, y = sim$Y, ebnm_fn = my_ebnm_fn, theta2  = 1/sigma2, niter=10)
    
    
    rmse_glmnet[i] = sqrt(mean((sim$B-coef(fit_glmnet)[-1])^2))
    rmse_vamp[i] = sqrt(mean((sim$B-fit_vamp$x1)^2))
  }
  
  plot(rmse_vamp,rmse_glmnet,main="vamp (true prior) vs glmnet",xlim=c(0.45,0.65),ylim=c(0.45,0.65))
  

  abline(a=0,b=1)

Version Author Date
89f41f9 Matthew Stephens 2021-02-04 

sessionInfo()
R version 3.6.0 (2019-04-26)
Platform: x86_64-apple-darwin15.6.0 (64-bit)
Running under: macOS  10.16

Matrix products: default
BLAS:   /Library/Frameworks/R.framework/Versions/3.6/Resources/lib/libRblas.0.dylib
LAPACK: /Library/Frameworks/R.framework/Versions/3.6/Resources/lib/libRlapack.dylib

locale:
[1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] ashr_2.2-51   glmnet_4.1    Matrix_1.2-18 ebnm_0.1-24  

loaded via a namespace (and not attached):
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[13] lattice_0.20-41  pkgconfig_2.0.3  rlang_0.4.8      foreach_1.5.0   
[17] rstudioapi_0.11  yaml_2.2.1       xfun_0.16        invgamma_1.1    
[21] stringr_1.4.0    knitr_1.29       fs_1.5.0         vctrs_0.3.4     
[25] rprojroot_1.3-2  grid_3.6.0       glue_1.4.2       R6_2.4.1        
[29] survival_3.2-3   rmarkdown_2.3    mixsqp_0.3-43    irlba_2.3.3     
[33] magrittr_1.5     whisker_0.4      splines_3.6.0    codetools_0.2-16
[37] backports_1.1.10 promises_1.1.1   ellipsis_0.3.1   htmltools_0.5.0 
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