turnbull: Use Anderson–Björck method for likelihood-ratio confidence intervals

7.1% speedup compared with Illinois method
36% speedup compared with interval bisection
This commit is contained in:
RunasSudo 2023-12-26 19:28:01 +11:00
parent 759c2c4778
commit eada2cac7d
Signed by: RunasSudo
GPG Key ID: 7234E476BF21C61A
2 changed files with 45 additions and 25 deletions

View File

@ -14,7 +14,7 @@
// You should have received a copy of the GNU Affero General Public License // You should have received a copy of the GNU Affero General Public License
// along with this program. If not, see <https://www.gnu.org/licenses/>. // along with this program. If not, see <https://www.gnu.org/licenses/>.
pub struct IllinoisRootFinder { pub struct AndersonBjorckRootFinder {
bound_lower: f64, bound_lower: f64,
bound_upper: f64, bound_upper: f64,
value_lower: f64, value_lower: f64,
@ -22,9 +22,9 @@ pub struct IllinoisRootFinder {
last_sign: f64 // Sign of the function at last evaluation (1.0 or -1.0) or 0.0 if first iteration last_sign: f64 // Sign of the function at last evaluation (1.0 or -1.0) or 0.0 if first iteration
} }
impl IllinoisRootFinder { impl AndersonBjorckRootFinder {
pub fn new(bound_lower: f64, bound_upper: f64, value_lower: f64, value_upper: f64) -> IllinoisRootFinder { pub fn new(bound_lower: f64, bound_upper: f64, value_lower: f64, value_upper: f64) -> AndersonBjorckRootFinder {
return IllinoisRootFinder { return AndersonBjorckRootFinder {
bound_lower: bound_lower, bound_lower: bound_lower,
bound_upper: bound_upper, bound_upper: bound_upper,
value_lower: value_lower, value_lower: value_lower,
@ -33,40 +33,60 @@ impl IllinoisRootFinder {
} }
} }
pub fn update(&mut self, guess: f64, mut value: f64) { pub fn update(&mut self, guess: f64, value: f64) {
if value > 0.0 { if value > 0.0 {
if self.value_lower > 0.0 || self.value_upper < 0.0 { if self.value_lower > 0.0 || self.value_upper < 0.0 {
if self.last_sign == 1.0 {
// Anderson–Björck adjustment
let m = 1.0 - value / self.value_lower;
if m > 0.0 {
self.value_upper *= m;
} else {
self.value_upper *= 0.5;
}
}
self.bound_lower = guess; self.bound_lower = guess;
self.value_lower = value; self.value_lower = value;
if self.last_sign == 1.0 {
// Illinois adjustment: Halve the y-value of the retained end point (the other end point) when the new y-value has the same sign as the previous one
self.value_upper *= 0.5;
}
} else { } else {
if self.last_sign == 1.0 {
let m = 1.0 - value / self.value_upper;
if m > 0.0 {
self.value_lower *= m;
} else {
self.value_lower *= 0.5;
}
}
self.bound_upper = guess; self.bound_upper = guess;
self.value_upper = value; self.value_upper = value;
if self.last_sign == 1.0 {
self.value_lower *= 0.5;
}
} }
self.last_sign = 1.0; self.last_sign = 1.0;
} else { } else {
if self.value_lower < 0.0 || self.value_upper > 0.0 { if self.value_lower < 0.0 || self.value_upper > 0.0 {
if self.last_sign == -1.0 {
let m = 1.0 - value / self.value_lower;
if m > 0.0 {
self.value_upper *= m;
} else {
self.value_upper *= 0.5;
}
}
self.bound_lower = guess; self.bound_lower = guess;
self.value_lower = value; self.value_lower = value;
if self.last_sign == -1.0 {
self.value_upper *= 0.5;
}
} else { } else {
if self.last_sign == -1.0 {
let m = 1.0 - value / self.value_upper;
if m > 0.0 {
self.value_lower *= m;
} else {
self.value_lower *= 0.5;
}
}
self.bound_upper = guess; self.bound_upper = guess;
self.value_upper = value; self.value_upper = value;
if self.last_sign == -1.0 {
self.value_lower *= 0.5;
}
} }
self.last_sign = -1.0; self.last_sign = -1.0;
} }

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@ -29,7 +29,7 @@ use serde::{Serialize, Deserialize};
use crate::csv::read_csv; use crate::csv::read_csv;
use crate::pava::monotonic_regression_pava; use crate::pava::monotonic_regression_pava;
use crate::root_finding::IllinoisRootFinder; use crate::root_finding::AndersonBjorckRootFinder;
use crate::term::UnconditionalTermLike; use crate::term::UnconditionalTermLike;
#[derive(Args)] #[derive(Args)]
@ -622,7 +622,7 @@ fn compute_hessian(data: &TurnbullData, p: &Vec<f64>) -> DMatrix<f64> {
fn survival_prob_likelihood_ratio_ci(data: &TurnbullData, progress_bar: ProgressBar, max_iterations: u32, ll_tolerance: f64, ci_precision: f64, p: &Vec<f64>, ll_model: f64, s: &Vec<f64>, oim_se: &Vec<f64>, time_index: usize) -> (f64, f64) { fn survival_prob_likelihood_ratio_ci(data: &TurnbullData, progress_bar: ProgressBar, max_iterations: u32, ll_tolerance: f64, ci_precision: f64, p: &Vec<f64>, ll_model: f64, s: &Vec<f64>, oim_se: &Vec<f64>, time_index: usize) -> (f64, f64) {
// Compute lower confidence limit // Compute lower confidence limit
let mut root_finder = IllinoisRootFinder::new( let mut root_finder = AndersonBjorckRootFinder::new(
0.0, s[time_index], 0.0, s[time_index],
f64::NAN, -CHI2_1DF_95 // Value of (lr_statistic - CHI2_1DF_95), which we are seeking the roots of f64::NAN, -CHI2_1DF_95 // Value of (lr_statistic - CHI2_1DF_95), which we are seeking the roots of
); );
@ -660,7 +660,7 @@ fn survival_prob_likelihood_ratio_ci(data: &TurnbullData, progress_bar: Progress
let ci_lower = ci_estimate; let ci_lower = ci_estimate;
// Compute upper confidence limit // Compute upper confidence limit
root_finder = IllinoisRootFinder::new( root_finder = AndersonBjorckRootFinder::new(
s[time_index], 1.0, s[time_index], 1.0,
-CHI2_1DF_95, f64::NAN // Value of (lr_statistic - CHI2_1DF_95), which we are seeking the roots of -CHI2_1DF_95, f64::NAN // Value of (lr_statistic - CHI2_1DF_95), which we are seeking the roots of
); );