% \VignetteIndexEntry{Robust Regression with Particle Swarm Optimisation and Differential Evolution}
% \VignetteKeyword{Least Median of Squares}
% \VignetteKeyword{Particle Swarm Optimisation}
% \VignetteKeyword{optimize}
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\begin{document}
{\raggedright{\LARGE Robust Regression with %
Particle Swarm Optimisation \\[0.2ex]%
and Differential Evolution}}\medskip

\noindent Enrico Schumann\\
\noindent \texttt{es@enricoschumann.net}\\
\bigskip


\section{Introduction}

\noindent We provide a code example for a robust regression problem;
for more details, please see \citet{Gilli2011b}. (The vignette builds
on the script \texttt{comparisonLMS.R}.)

\section{Data and settings}

We start by attaching the \texttt{NMOF} package and fixing a seed.  We
will use the function \texttt{lqs} from the \texttt{MASS} package
\citep{Venables2002}, so we attach that package as well.
<<>>=
require("NMOF")
require("MASS")
set.seed(11223344)
@ 
We will use an artificial data set with \texttt{n}~observations and
\texttt{p}~regressors, created with the function \texttt{createData}.
<<>>=
createData <- function(n, p, constant = TRUE,
                       sigma = 2, oFrac = 0.1) {
    X <- array(rnorm(n * p), dim = c(n, p))
    if (constant) 
        X[ ,1L] <- 1L
    b <- rnorm(p)
    y <- X %*% b + rnorm(n)*0.5
    nO <- ceiling(oFrac*n)
    when <- sample.int(n, nO)
    X[when, -1L] <- X[when, -1L] + rnorm(nO, sd = sigma)
    list(X = X, y = y, outliers = when)
}
@ 
The function also takes arguments \texttt{constant} (logical: should
the data-generating model contain a constant?); \texttt{sigma}
(standard deviation of the outliers); and \texttt{oFrac} (fraction of
outliers).  The function evaluates to a list containing the
regressors~\texttt{X}, the regressand~\texttt{y} and a list of the
outliers.

We put \texttt{X} and \texttt{y} into the list \texttt{Data}.  We also
add the scalar~\texttt{h}, which gives the order statistic of the
squared residuals to be minimised.  Note that we put
\texttt{as.vector(y)} into \texttt{Data} so that the vector gets
`recycled' in the objective function.
<<>>=
n <- 100L   ## number of observations
p <- 10L    ## number of regressors
constant <- TRUE; sigma <- 5; oFrac  <- 0.1
h <- 75L    ## ... or use something like floor((n+1)/2)

aux <- createData(n, p, constant, sigma, oFrac)
X <- aux$X; y <- aux$y
Data <- list(y = as.vector(y), X = X, h = h)
@
The outliers, added in blue, are often visible.
<<fig = TRUE, height = 3.8>>=
par(bty = "n", las = 1, tck = 0.01, mar = c(4,4,1,1))
plot(X[ ,2L], type = "h", ylab = "X values", xlab = "observation")
lines(aux$outliers, X[aux$outliers ,2L], type = "p", pch = 21, 
      col = "blue", bg = "blue")
@

Two example objective functions, Least Trimmed Squares (LTS) and Least
Quantile of Squares (LQS).  Note that they are identical except for
their last line.
<<>>=
OF <- function(param, Data) {
    X <- Data$X; y <- Data$y
    aux <- y - X %*% param
    aux <- aux * aux
    aux <- apply(aux, 2L, sort, partial = Data$h)
    colSums(aux[1:Data$h, ])  ## LTS
}
OF <- function(param, Data) {
    X <- Data$X; y <- Data$y
    aux <- y - X %*% param
    aux <- aux * aux
    aux <- apply(aux, 2L, sort, partial = Data$h)
    aux[Data$h, ]  ## LQS
}
@
Both functions are vectorised.  They work with a single solution
(\texttt{param} would be a vector) or a whole population
(\texttt{param} would be a matrix; each column would be one solution).

\section{Using DE and PSO}

We run DE and PSO. We compare the result with \texttt{lqs}.
<<>>=
popsize <- 100L; generations <- 500L
ps <- list(min = rep(-10,p),
           max = rep( 10,p),
           c1 = 0.9,
           c2 = 0.9,
           iner = 0.9,
           initV = 1,
           nP = popsize,
           nG = generations,
           maxV = 5,
           loopOF = FALSE,
           printBar = FALSE,
           printDetail = FALSE)
de <- list(min = rep(-10,p),
           max = rep( 10,p),
           nP = popsize,
           nG = generations,
           F = 0.7,
           CR = 0.9,
           loopOF = FALSE,
           printBar = FALSE,
           printDetail = FALSE)

system.time(solPS <- PSopt(OF = OF, algo = ps, Data = Data))
system.time(solDE <- DEopt(OF = OF, algo = de, Data = Data))

if (require("MASS", quietly = TRUE)) {
    system.time(test1 <- lqs(y ~ X[ ,-1L], adjust = TRUE,
                             nsamp = 100000L, method = "lqs",
                             quantile = h))
    res1 <- sort((y - X %*% as.matrix(coef(test1)))^2)[h]
} else 
    res1 <- NA
res2 <- sort((y - X %*% as.matrix(solPS$xbest))^2)[h]
res3 <- sort((y - X %*% as.matrix(solDE$xbest))^2)[h]
cat("lqs:   ", res1, "\n",
    "PSopt: ", res2, "\n",
    "DEopt: ", res3, "\n", sep = "")
@
To demonstrate the advantage of a vectorised objective function, we
can compare it with looping over the solutions.  We first set
\texttt{loopOF} to \texttt{TRUE}, so we actually loop over the
solutions.  (We also reduce the number of objective function
evaluations since we do not care about the actual solution, only about
speed of computation.)
<<>>=
popsize <- 100L; generations <- 20L
de$nP <- popsize; de$nG <- generations
ps$nP <- popsize; ps$nG <- generations

de$loopOF <- TRUE; ps$loopOF <- TRUE
t1ps <- system.time(solPS <- PSopt(OF = OF, algo = ps, Data = Data))
t1de <- system.time(solDE <- DEopt(OF = OF, algo = de, Data = Data))
@
To evaluate the objective function in one step, we \texttt{loopOF}
to \texttt{FALSE}.
<<>>=
de$loopOF <- FALSE; ps$loopOF <- FALSE
t2ps <- system.time(solPS <- PSopt(OF = OF, algo = ps, Data = Data))
t2de <- system.time(solDE <- DEopt(OF = OF, algo = de, Data = Data))
@
Speedup:
<<>>=
t1ps[[3L]]/t2ps[[3L]]  ## PS
t1de[[3L]]/t2de[[3L]]  ## DE
@


\bibliographystyle{plainnat}
\bibliography{NMOF}
\end{document}
