qrnn (version 2.0.1)

qrnn2: Fit and make predictions from QRNN models with two hidden layers

Description

Functions used to fit and make predictions from QRNN models with two hidden layers.

Usage

qrnn2.fit(x, y, n.hidden=2, n.hidden2=2, w=NULL, tau=0.5,
          n.ensemble=1, iter.max=5000, n.trials=5, bag=FALSE,
          lower=-Inf, init.range=c(-0.5, 0.5, -0.5, 0.5, -0.5, 0.5),
          monotone=NULL, eps.seq=2^(-8:-32), Th=sigmoid,
          Th.prime=sigmoid.prime, penalty=0, unpenalized=NULL,
          n.errors.max=10, trace=TRUE, ...)
qrnn2.predict(x, parms)

Arguments

x

covariate matrix with number of rows equal to the number of samples and number of columns equal to the number of variables.

y

response column matrix with number of rows equal to the number of samples.

n.hidden

number of hidden nodes in the first hidden layer.

n.hidden2

number of hidden nodes in the second hidden layer.

w

vector of weights with length equal to the number of samples; NULL gives equal weight to each sample.

tau

desired tau-quantile(s).

n.ensemble

number of ensemble members to fit.

iter.max

maximum number of iterations of the optimization algorithm.

n.trials

number of repeated trials used to avoid local minima.

bag

logical variable indicating whether or not bootstrap aggregation (bagging) should be used.

lower

left censoring point.

init.range

initial weight range for input-hidden, hidden-hidden, and hidden-output weight matrices.

monotone

column indices of covariates for which the monotonicity constraint should hold.

eps.seq

sequence of eps values for the finite smoothing algorithm.

Th

hidden layer transfer function; use sigmoid, elu, or softplus for a nonlinear model and linear for a linear model.

Th.prime

derivative of the hidden layer transfer function Th.

penalty

weight penalty for weight decay regularization.

unpenalized

column indices of covariates for which the weight penalty should not be applied to input-hidden layer weights.

n.errors.max

maximum number of nlm optimization failures allowed before quitting.

trace

logical variable indicating whether or not diagnostic messages are printed during optimization.

…

additional parameters passed to the nlm optimization routine.

parms

list containing QRNN weight matrices and other parameters from qrnn2.fit.

References

Cannon, A.J., 2011. Quantile regression neural networks: implementation in R and application to precipitation downscaling. Computers & Geosciences, 37: 1277-1284. doi:10.1016/j.cageo.2010.07.005

Cannon, A.J., 2017. Non-crossing nonlinear regression quantiles by monotone composite quantile regression neural network, with application to rainfall extremes. EarthArXiv <https://eartharxiv.org/wg7sn>. doi:10.17605/OSF.IO/WG7SN

See Also

qrnn.predict, qrnn.cost, composite.stack, mcqrnn

Examples

# NOT RUN {
x <- as.matrix(iris[,"Petal.Length",drop=FALSE])
y <- as.matrix(iris[,"Petal.Width",drop=FALSE])

cases <- order(x)
x <- x[cases,,drop=FALSE]
y <- y[cases,,drop=FALSE]

tau <- c(0.05, 0.5, 0.95)
 
set.seed(1)

## QRNN models w/ 2 hidden layers (tau=0.05, 0.50, 0.95)
w <- p <- vector("list", length(tau))
for(i in seq_along(tau)){
    w[[i]] <- qrnn2.fit(x=x, y=y, n.hidden=3, n.hidden2=3,
                       tau=tau[i], iter.max=200, n.trials=1)
    p[[i]] <- qrnn2.predict(x, w[[i]])
}

## MCQRNN model w/ 2 hidden layers for simultaneous estimation of
## multiple non-crossing quantile functions
x.y.tau <- composite.stack(x, y, tau)
fit.mcqrnn <- qrnn2.fit(cbind(x.y.tau$tau, x.y.tau$x), x.y.tau$y,
                        tau=x.y.tau$tau, n.hidden=3, n.hidden2=3,
                        n.trials=1, iter.max=500, monotone=1)
pred.mcqrnn <- matrix(qrnn2.predict(cbind(x.y.tau$tau, x.y.tau$x),
                      fit.mcqrnn), ncol=length(tau))

par(mfrow=c(1, 2))
matplot(x, matrix(unlist(p), nrow=nrow(x), ncol=length(p)), col="red",
        type="l")
points(x, y)
matplot(x, pred.mcqrnn, col="blue", type="l")
points(x, y)

# }