Package 'onls'

Check the fit for orthogonality of all points

Description

Checks for orthogonality of all points by calculating the angle between the slope of the tangent at $(x_{0i}, y_{0i})$ and the slope of the Euclidean vector $\|\vec{D}_i\|$ to $(x_i, y_i)$, which should be $90^{\circ}$ if the Euclidean distance has been minimized. See 'Details'.

Usage

check_o(object, plot = TRUE)

Arguments

object	an object returned from onls.
plot	logical. If TRUE, the $\alpha$-values are plotted for a quick overview of orthogonality for all points.

Details

This is a validation method for checking the orthogonality between all $(x_{0i}, y_{0i})$ and $(x_i, y_i)$. The function calculates the angle between the slope $\mathrm{m}_i$ of the tangent obtained from the first derivative at $(x_{0i}, y_{0i})$ and the slope $\mathrm{n}_i$ of the onls-minimized Euclidean distance between $(x_{0i}, y_{0i})$ and $(x_i, y_i)$:

$\tan(\alpha_i) = \left|\frac{\mathrm{m}_i - \mathrm{n}_i}{1 + \mathrm{m}_i \cdot \mathrm{n}_i}\right|, \,\, \mathrm{m}_i = \frac{df(x, \beta)}{dx_{0i}}, \,\, \mathrm{n}_i = \frac{y_i - y_{0i}}{x_i - x_{0i}}$

$=> \alpha_i[^{\circ}] = \tan^{-1} \left( \left|\frac{\mathrm{m}_i - \mathrm{n}_i}{1 + \mathrm{m}_i \cdot \mathrm{n}_i}\right| \right) \cdot \frac{360}{2\pi}$

Value

A dataframe containing $x_i$, $x_{0i}$, $y_i$, $y_{0i}$, $\alpha_i$, $\frac{df}{dx}$ and a logical for $89.95^\circ < \alpha_i < 90.05^\circ$. If plot = TRUE, a plot of the $\alpha$-values in black if orthogonal, or red otherwise.

Author(s)

Andrej-Nikolai Spiess

Examples

## Compare 'data range extended' orthogonal model with a
## 'data range restricted' model by setting "extend = c(0, 0)"
## => some x may not be orthogonal!
x <- 1:20
y <- 10 + 3*x^2
y <- sapply(y, function(a) rnorm(1, a, 0.1 * a))
DAT <- data.frame(x, y)

mod1 <- onls(y ~ a + b * x^2, data = DAT, start = list(a = 1, b = 1))
check_o(mod1)

mod2 <- onls(y ~ a + b * x^2, data = DAT, start = list(a = 1, b = 1),
             extend = c(0, 0)) 
check_o(mod2)

---

Confidence intervals for 'onls' model parameters

Description

Computes confidence intervals for one or more parameters of an onls model. As in MASS:::confint.nls, these are based on profile likelihoods, using onls:::profile.onls and onls:::confint.profile.onls.

Usage

## S3 method for class 'onls'
confint(object, parm, level = 0.95, ...)

Arguments

object	an object returned from onls.
parm	a specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered.
level	the confidence level required.
...	additional argument(s) for methods.

Details

Profiling the likelihood uses the following strategy:
If $\theta$ is the parameter to be profiled and $\delta$ the vector of remaining parameters,
1) compute the log-likelihood of the model $\mathcal{L}(\theta^{*}, \delta^{*})$ using the converged parameters,
2) compute a lower bound $\theta^{*} - 0.6 \cdot \sigma(\theta^{*})$ for the lower confidence limit,
3) define a grid of values ranging from $\theta^{'}$ to $\theta^{*}$ (e.g., 100 equidistant points),
4) for each grid value $\theta_i$, compute the profile log-likelihood value $\mathcal{L}_1(\theta_i)$ by maximizing $\mathcal{L}(\theta_i, \delta)$ over $\delta$-values by fixing $\theta$ at $\theta_i$,
5) find the confidence level by interpolation of the profile traces obtained from 4).

Value

A matrix (or vector) with columns giving lower and upper confidence limits for each parameter. These will be labelled as (1 - level)/2 and 1 - (1 - level)/2 in % (by default 2.5% and 97.5%).

Author(s)

Andrej-Nikolai Spiess, taken and modified from the nls functions.

Examples

DNase1 <- subset(DNase, Run == 1)
DNase1$density <- sapply(DNase1$density, function(x) rnorm(1, x, 0.1 * x))
mod1 <- onls(density ~ Asym/(1 + exp((xmid - log(conc))/scal)), 
             data = DNase1, start = list(Asym = 3, xmid = 0, scal = 1))
confint(mod1)

---

Deviance of the orthogonal residuals

Description

Returns the deviance $\sum_{i=1}^N \| D_i \|^2$ of the orthogonal residuals from the fitted onls model.

Usage

deviance_o(object)

Arguments

object

an object returned from onls.

Value

The deviance of the orthogonal residuals.

Author(s)

Andrej-Nikolai Spiess

Examples

## See 'onls'.

---

Log-Likelihood for the orthogonal residuals

Description

Returns the log-likelihood as calculated from the orthogonal residuals obtained by residuals_o.

Usage

logLik_o(object)

Arguments

object

an object returned from onls.

Value

The log-likelihood as calculated from the orthogonal residuals.

Note

logLik_o has no other generic functions on top, so for calculating AIC, one has to apply AIC(logLik_o(model)), see 'Examples'. The usual logLik applies to the vertical residuals of the orthogonal model.

Author(s)

Andrej-Nikolai Spiess

Examples

DNase1 <- subset(DNase, Run == 1)
DNase1$density <- sapply(DNase1$density, function(x) rnorm(1, x, 0.1 * x))
mod <- onls(density ~ Asym/(1 + exp((xmid - log(conc))/scal)), 
             data = DNase1, start = list(Asym = 3, xmid = 0, scal = 1))
logLik_o(mod)

## compare AIC of vertical versus orthogonal residuals.
AIC(mod)
AIC(logLik_o(mod))

---

Complicated nonlinear models from the NIST database

Description

Fits, by onls, a few complicated nonlinear models from the NIST database (https:/www.itl.nist.gov/div898/strd/nls/nls_main.shtml), i.e. 'Chwirut2', 'Gauss1', 'ENSO' and 'Rat43'.

Usage

NIST(verbose = FALSE)

Arguments

verbose

logical. If TRUE, steps from the onls output are printed to the console.

Value

Output of the models

Author(s)

Andrej-Nikolai Spiess

Examples

NIST()

---

Orthogonal Nonlinear Least-Squares Regression

Description

Determines the orthogonal nonlinear (weighted) least-squares estimates of the parameters of a nonlinear model. This is accomplished by minimizing the residual sum-of-squares of the orthogonal distances using Levenberg-Marquardt minimization in an outer loop and one-dimensional optimization for each $(x_i, y_i)$ in an inner loop. See 'Details' for a description of the algorithm.

Usage

onls(formula, data = parent.frame(), start, jac = NULL, 
     control = nls.lm.control(), lower = NULL, upper = NULL, 
     trace = FALSE, subset, weights, na.action, window = 12, 
     extend = c(0.2, 0.2), fixed = NULL, verbose = TRUE, ...)

Arguments

formula	a nonlinear model formula including variables and parameters. Will be coerced to a formula if necessary.
data	an optional data frame in which to evaluate the variables in formula and weights. Can also be a list or an environment, but not a matrix.
start	a named list or named numeric vector of starting estimates.
jac	A function to return the Jacobian.
control	an optional list of control settings. See nls.lm.control for the names of the settable control values and their effect.
lower	A numeric vector of lower bounds on each parameter. If not given, the default lower bound for each parameter is set to -Inf.
upper	A numeric vector of upper bounds on each parameter. If not given, the default lower bound for each parameter is set to Inf.
trace	logical value indicating if a trace of the iteration progress should be printed. Default is FALSE. If TRUE, the orthogonal residual (weighted) sum-of-squares and the parameter values are printed at the conclusion of each iteration.
subset	an optional vector specifying a subset of observations to be used in the fitting process.
weights	an optional numeric vector of (fixed) weights. When present, the objective function is orthogonal weighted least squares.
na.action	a function which indicates what should happen when the data contain NAs. The default is set by the na.action setting of options, and is na.fail if that is unset. The 'factory-fresh' default is na.omit.
window	a numeric value for a window around the predictor values in which the optimization takes place. Used when $n > 25$.
extend	a two-element vector defining an extended range of predictor values, so that $(x_{0i}, y_{0i})$ corresponding to $(x_i, y_i)$ values at the beginning and end of the data can reside outside the original predictor range. See 'Details'.
fixed	a logical vector defining the parameters to be fixed during optimization. See 'Examples'.
verbose	logical. If TRUE, steps of the algorithm are printed to the console.
...	Additional optional arguments. None are used at present.

Details

In a standard nonlinear regression setup, we estimate parameters $\boldsymbol{\beta}$ in a nonlinear model $y_i = f(x_i, \beta) + \varepsilon_i$, with $\varepsilon_i \sim \mathcal{N}(0, \sigma^2)$, by minimizing the residual sum-of-squares of the vertical distances

$\min_{\beta} \sum_{i=1}^{n}(y_i - f(x_i, \beta))^2$

In contrast, orthogonal nonlinear regression aims to estimate parameters $\boldsymbol{\beta}$ in a nonlinear model $y_i = f(x_i + \delta_i, \beta) + \varepsilon_i$, with $\varepsilon_i, \delta_i \sim \mathcal{N}(0, \sigma^2)$, by minimizing the sum-of-squares of the orthogonal distances

$\min_{\beta, \delta} \sum_{i=1}^{n}([y_i - f(x_i + \delta_i, \beta)]^2 + \delta_i^2)$

We do this by using the orthogonal distance $D_i$ from the point $(x_i, y_i)$ to some point $({\color{red}x_{0i}}, {\color{red}y_{0i}})$ on the curve $f(x_i, \hat{\beta})$ that minimizes the Euclidean distance

$\min\| D_i \| \equiv \min\sqrt{(x_i - {\color{red}x_{0i}})^2 + (y_i - {\color{red}y_{0i}})^2}$

The minimization of the Euclidean distance is conducted by using an inner loop on each $(x_i, y_i)$ with the optimize function that finds the corresponding $({\color{red}x_{0i}}, {\color{red}y_{0i}})$ in some window $[a, b]$:

$\mathop{\rm argmin}\limits_{x_{0i} \in [a, b]} \sqrt{(x_i - {\color{red}x_{0i}})^2 + (y_i - {f({\color{red}x_{0i}}, \hat{\beta}))^2}}$

In detail, onls conducts the following steps:
1) A normal (non-orthogonal) nonlinear model is fit by nls.lm to the data. This approach has been implemented because parameters of the orthogonal model are usually within a small window of the normal model. The obtained parameters are passed to 2).
2) Outer loop: Levenberg-Marquardt minimization of the orthogonal distance sum-of-squares $\sum_{i=1}^N \| D_i \|^2$ using nls.lm, optimization of $\boldsymbol{\beta}$.
3) Inner loop: For each $(x_i, y_i)$, find $({\color{red}x_{0i}}, f({\color{red}x_{0i}}, \hat{\beta}))$, $x_{0i} \in [a, b]$, that minimizes $\| D_i \|$, using optimize. Return vector of orthogonal distances $\| \vec{D} \|$.

The outer loop (nls.lm) scales with the number of parameters $p$ in the model, probably with $\mathcal{O}(p)$ for evaluating the 1-dimensional Jacobian and $\mathcal{O}(p^2)$ for the two-dimensional Hessian. The inner loop has $\mathcal{O}(n)$ for finding $\min \| D_i \|$. Simulations with different number of $n$ showed that the processor times scale linearly.

Two arguments of this function are VERY important.
1) extend: By default, it is set to c(0.2, 0.2), which means that $(x_{0i}, y_{0i})$ in the inner loop are also optimized in an extended predictor value $x$ range of $[\min(x) - 0.2 \cdot \mathrm{range}(x), \max(x) + 0.2 \cdot \mathrm{range}(x)]$. This is important for the values at the beginning and end of the data, because the resulting model can display significantly different curvature if $(x_{0i}, y_{0i})$ are forced to be within the predictor range, often resulting in a loss of orthogonality at the end points. See check_o for an example. If the model should be forced to be within the given predictor range, supply extend = c(0, 0).
2) window: defines the window $[x_{i - w}, x_{i + w}]$ in which optimize searches for $(x_{0i}, y_{0i})$ to minimize $\| D_i \|$. The default of window = 12 works quite well with sample sizes $n > 25$, but may be tweaked.

IMPORTANT: If not all points are orthogonal to the fitted curve, print.onls gives a "FAILED: Only X out of Y fitted points are orthogonal" message. In this case, it is suggested to conduct a more detailed analysis using check_o. If any points are non-orthogonal, tweaking with either extend or window should in many cases resolve the problem.

The resulting orthogonal model houses information in respect to the (classical) vertical residuals as well as the (minimized Euclidean) orthogonal residuals.
The following functions use the vertical residuals:
deviance
fitted
residuals
logLik

The following functions use the orthogonal residuals:
deviance_o
residuals_o
logLik_o

Value

An orthogonal fit of class onls with the following list items:

data	the name of the data argument.
call	the matched call.
convInfo	a list with convergence information.
model	if model = TRUE, the model frame.
parNLS	the converged parameters of the normal (not orthogonal!) nonlinear model, as passed to the ONLS routine.
parONLS	the converged parameters of the not orthogonal nonlinear model, as obtained from the ONLS routine.
x0	the ${\color{red}x_{0i}}$ values from $({\color{red}x_{0i}}, {\color{red}y_{0i}})$ that minimize $\|D_i\|$.
y0	the ${\color{red}y_{0i}}$ values from $({\color{red}x_{0i}}, {\color{red}y_{0i}})$ that minimize $\|D_i\|$.
fittedONLS	the fitted values $\hat{y_i}$ corresponding to $x_i$ and the orthogonal nonlinear model.
fittedNLS	the fitted values $\hat{y_i}$ corresponding to $x_i$ and the non-orthogonal nonlinear model, as passed to the ONLS routine.
residONLS	the (vertical) residual values $y_i - \hat{y_i}$ corresponding to $x_i$ and the orthogonal nonlinear model.
residNLS	the (vertical) residual values $y_i - \hat{y_i}$ corresponding to $x_i$ and the non-orthogonal nonlinear model, as passed to the ONLS routine.
resid_o	the orthogonal residual values $\| D_i \|$.
pred	the orginal predictor values of data.
resp	the orginal response values of data.
grad	the numeric gradient of the model.
QR	the QR decomposition of the model.
weights	the weights used for fitting.
control	the control list used, see the control argument.
ortho	a vector of logicals for orthogonality of all points, as obtained from check_o.

Author(s)

Andrej-Nikolai Spiess

References

Nonlinear Perpendicular Least-Squares Regression in Pharmacodynamics.
Ko HC, Jusko WJ and Ebling WF.
Biopharm Drug Disp (1997), 18: 711-716.

Orthogonal Distance Regression.
Boggs PT and Rogers JE.
NISTIR (1990), 89-4197: 1-15.
https://docs.scipy.org/doc/external/odr_ams.pdf.

User's Reference Guide for ODRPACK Version 2.01
Software for Weighted Orthogonal Distance Regression.
Boggs PT, Byrd RH, Rogers JE and Schnabel RB. NISTIR (1992), 4834: 1-113.
https://docs.scipy.org/doc/external/odrpack_guide.pdf.

ALGORITHM 676 ODRPACK: Software for Weighted Orthogonal Distance Regression.
Boggs PT, Donaldson JR, Byrd RH and Schnabel RB.
ACM Trans Math Soft (1989), 15, 348-364.
https://dl.acm.org/doi/10.1145/76909.76913.

Examples

## 1A. The DNase data from 'nls',
## use all generic functions.
DNase1 <- subset(DNase, Run == 1)
DNase1$density <- sapply(DNase1$density, function(x) rnorm(1, x, 0.1 * x))
mod1 <- onls(density ~ Asym/(1 + exp((xmid - log(conc))/scal)), 
             data = DNase1, start = list(Asym = 3, xmid = 0, scal = 1))
print(mod1)
plot(mod1)
summary(mod1)
predict(mod1, newdata = data.frame(conc = 6))
logLik(mod1)
deviance(mod1)
formula(mod1)
weights(mod1)
df.residual(mod1)
fitted(mod1)
residuals(mod1)
vcov(mod1)
coef(mod1)

DNase2 <- DNase1
DNase2$conc <- DNase2$conc * 2
mod2 <- update(mod1, data = DNase2)
print(mod2)


## 1B. Same model as above, but using the restricted
## predictor range which results in non-orthogonality
## of some points.
onls(density ~ Asym/(1 + exp((xmid - log(conc))/scal)), 
     data = DNase1, start = list(Asym = 3, xmid = 0, scal = 1),
     extend = c(0, 0))

## 2. Example from odrpack_guide.pdf, 2.C.i, pages 39ff.
x <- c(0, 0, 5, 7, 7.5, 10, 16, 26, 30, 34, 34.5, 100)
y <- c(1265, 1263.6, 1258, 1254, 1253, 1249.8, 1237, 1218, 1220.6, 
1213.8, 1215.5, 1212)
DAT <- data.frame(x, y)
mod3 <- onls(y ~ b1 + b2 * (exp(b3 * x) -1)^2, data = DAT, 
             start = list(b1 = 1500, b2 = -50, b3 = -0.1))
deviance_o(mod3) # 21.445 as in page 47
coef(mod3) # 1264.65481/-54.01838/-0.08785 as in page 48

## 3. Example from Algorithm 676: ODRPACK, page 355 + 356.
x <- c(0, 10, 20, 30, 40, 50, 60, 70, 80, 85, 90, 95, 100, 105)
y <- c(4.14, 8.52, 16.31, 32.18, 64.62, 98.76, 151.13, 224.74, 341.35, 
       423.36, 522.78, 674.32, 782.04, 920.01)
DAT <- data.frame(x, y)
mod4 <- onls(y ~ b1 * 10^(b2 * x/(b3 + x)), data = DAT, 
             start = list(b1 = 1, b2 = 5, b3 = 100))
coef(mod4) # 4.4879/7.1882/221.8383 as in page 363
deviance_o(mod4) # 15.263 as in page 363

## 4. Example with bounds from simple_example.f90
## in https://www.netlib.org/toms/869.zip.
x <- c(0.982, 1.998, 4.978, 6.01)
y <- c(2.7, 7.4, 148.0, 403.0)
DAT <- data.frame(x, y)
mod5 <- onls(y ~ b1 * exp(b2 * x), data = DAT, 
            start = list(b1 = 2, b2 = 0.5), 
            lower = c(0, 0), upper = c(10, 0.9))
coef(mod5) # 1.4397(1.6334)/0.9(0.9) ## Different to reference!
deviance_o(mod5) # 0.1919 (0.2674) => but lower RSS than original ODRPACK!

## 5. Example with a fixed parameter
## => Asym = 3.
DNase1 <- subset(DNase, Run == 1)
DNase1$density <- sapply(DNase1$density, function(x) rnorm(1, x, 0.1 * x))
mod6 <- onls(density ~ Asym/(1 + exp((xmid - log(conc))/scal)), 
             data = DNase1, start = list(Asym = 3, xmid = 0, scal = 1), 
             fixed = c(TRUE, FALSE, FALSE))
print(mod6)

## 6. Example to show that one can even conduct
## linear orthogonal regression (Deming regression).
## Comparison to XLstat
## https://help.xlstat.com/6650-run-deming-regression-compare-methods-excel
x <- c(9.8, 9.7, 10.7, 10.9, 12.4, 12.5, 12.8, 12.8, 12.9, 13.3, 
       13.4, 13.5, 13.7, 14.9, 15.2, 15.5)
y <- c(10.1, 11.4, 10.8, 11.3, 11.8, 12.1, 12.3, 13.6, 14.2, 14.4,
       14.6, 15.3, 15.5, 15.8, 16.2, 16.5)
DAT <- data.frame(x, y)
mod7 <- onls(y ~ a + b * x, data = DAT, 
            start = list(a = 2, b = 3))
print(mod7) ## -1.909/1.208 as on webpage
plot(mod7)

---

Plotting function for 'onls' objects

Description

Plots an orthogonal nonlinear model obtained from onls.

Usage

## S3 method for class 'onls'
plot(x, fitted.nls = TRUE, fitted.onls = TRUE, 
                    segments = TRUE,...)

Arguments

x	an object returned from onls.
fitted.nls	logical. If TRUE, the fit from the normal (vertical) nonlinear model is plotted as a blue line for comparison purposes.
fitted.onls	logical. If TRUE, the fit from the orthogonal nonlinear model is plotted as a red line.
segments	logical. If TRUE, segments connecting $(x_i, y_i)$ and $(x_{0i}, y_{0i})$ are displayed.
...	other parameters to plot.

Value

A plot of the onls model.

Author(s)

Andrej-Nikolai Spiess

Examples

## Quadratic model with 10% added noise.
## Omitting the "nls" curve,
## display orthogonal segments.
set.seed(123)
x <- 1:20
y <- 10 + 3*x^2
y <- y + rnorm(20, 0, 50)
DAT <- data.frame(x, y)
mod <- onls(y ~ a + b * x^2, data = DAT, start = list(a = 10, b = 3), extend = c(0.2, 0))
plot(mod, fitted.nls = FALSE)

## Due to different scaling, 
## orthogonality of fit is not evident.
## We need to have equal x/y-scaling for that,
## using asp = 1!
plot(mod, fitted.nls = FALSE, xlim = c(0, 10),
     ylim = c(0, 200), asp = 1)

---

Printing function for 'onls' objects

Description

Provides a printed summary of the converged fit obtained from onls.

Usage

## S3 method for class 'onls'
print(x, ...)

Arguments

x	an object returned from onls.
...	other parameters for future methods.

Value

A printed summary containing the formula, data name, converged parameters, vertical residual sum-of-squares

$\sum_{i=1}^{n}(y_i - \hat{y_i})^2$

, orthogonal residual sum-of-squares

$\sum_{i=1}^{n}\| D_i \|^2$

, number of points with orthogonality as obtained from check_o and number of iterations to convergence.

Author(s)

Andrej-Nikolai Spiess

Examples

## See 'onls'.

---

The orthogonal residuals

Description

Returns a vector with the orthogonal residuals $\| D_i \|$ from the fitted onls model.

Usage

residuals_o(object)

Arguments

object

an object returned from onls.

Value

The orthogonal residuals.

Author(s)

Andrej-Nikolai Spiess

Examples

## See 'onls'.

---

Summary function for 'onls' objects

Description

Provides a summary for the parameters of the converged fit including their error estimates, and the standard errors in respect to vertical and orthogonal residuals.

Usage

## S3 method for class 'onls'
summary(object, correlation = FALSE, symbolic.cor = FALSE, ...)

Arguments

object	an object returned from onls.
correlation	logical. If TRUE, the correlation matrix of the estimated parameters is returned and printed.
symbolic.cor	logical. If TRUE, print the correlations in a symbolic form.
...	further arguments passed to or from other methods.

Value

A summary similar to summary.nls containing the formula, parameter estimates with their errors/significance, and standard errors in respect to vertical and orthogonal residuals.

Author(s)

Andrej-Nikolai Spiess

Examples

## See 'onls'.

---

x0/y0-values from orthogonal nonlinear least squares regression

Description

Returns the ${\color{red} x_{0i}/y_{0i}}$ values as obtained from minimizing the Euclidean distance

$\min\| D_i \| \equiv \min\sqrt{(x_i - {\color{red}x_{0i}})^2 + (y_i - {\color{red}y_{0i}})^2}$

Usage

x0(object) 
y0(object)

Arguments

object

an object returned from onls.

Value

A vector of $\color{red}x_{0i}$ or $\color{red}y_{0i}$ values.

Author(s)

Andrej-Nikolai Spiess

Examples

DNase1 <- subset(DNase, Run == 1)
DNase1$density <- sapply(DNase1$density, function(x) rnorm(1, x, 0.1 * x))
mod <- onls(density ~ Asym/(1 + exp((xmid - log(conc))/scal)), 
             data = DNase1, start = list(Asym = 3, xmid = 0, scal = 1))
x0(mod)
y0(mod)

---