1
  2
  3
  4
  5
  6
  7
  8
  9
 10
 11
 12
 13
 14
 15
 16
 17
 18
 19
 20
 21
 22
 23
 24
 25
 26
 27
 28
 29
 30
 31
 32
 33
 34
 35
 36
 37
 38
 39
 40
 41
 42
 43
 44
 45
 46
 47
 48
 49
 50
 51
 52
 53
 54
 55
 56
 57
 58
 59
 60
 61
 62
 63
 64
 65
 66
 67
 68
 69
 70
 71
 72
 73
 74
 75
 76
 77
 78
 79
 80
 81
 82
 83
 84
 85
 86
 87
 88
 89
 90
 91
 92
 93
 94
 95
 96
 97
 98
 99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
//! functions for solving logistic regression

use crate::{
    error::{RegressionError, RegressionResult},
    glm::{DispersionType, Glm},
    link::Link,
    math::prod_log,
    num::Float,
    response::Response,
};
use ndarray::Array1;
use std::marker::PhantomData;

/// Logistic regression
pub struct Logistic<L = link::Logit>
where
    L: Link<Logistic<L>>,
{
    _link: PhantomData<L>,
}

/// The logistic response variable must be boolean (at least for now).
impl<L> Response<Logistic<L>> for bool
where
    L: Link<Logistic<L>>,
{
    fn into_float<F: Float>(self) -> RegressionResult<F> {
        Ok(if self { F::one() } else { F::zero() })
    }
}
// Allow floats for the domain. We can't use num_traits::Float because of the
// possibility of conflicting implementations upstream, so manually implement
// for f32 and f64.
impl<L> Response<Logistic<L>> for f32
where
    L: Link<Logistic<L>>,
{
    fn into_float<F: Float>(self) -> RegressionResult<F> {
        if !(0.0..=1.0).contains(&self) {
            return Err(RegressionError::InvalidY(self.to_string()));
        }
        F::from(self).ok_or_else(|| RegressionError::InvalidY(self.to_string()))
    }
}
impl<L> Response<Logistic<L>> for f64
where
    L: Link<Logistic<L>>,
{
    fn into_float<F: Float>(self) -> RegressionResult<F> {
        if !(0.0..=1.0).contains(&self) {
            return Err(RegressionError::InvalidY(self.to_string()));
        }
        F::from(self).ok_or_else(|| RegressionError::InvalidY(self.to_string()))
    }
}

/// Implementation of GLM functionality for logistic regression.
impl<L> Glm for Logistic<L>
where
    L: Link<Logistic<L>>,
{
    type Link = L;
    const DISPERSED: DispersionType = DispersionType::NoDispersion;

    /// The log of the partition function for logistic regression. The natural
    /// parameter is the logit of p.
    fn log_partition<F: Float>(nat_par: F) -> F {
        num_traits::Float::exp(nat_par).ln_1p()
    }

    /// var = mu*(1-mu)
    fn variance<F: Float>(mean: F) -> F {
        mean * (F::one() - mean)
    }

    /// This function is specialized over the default provided by Glm in order
    /// to handle over/underflow issues more precisely.
    fn log_like_natural<F>(y: F, logit_p: F) -> F
    where
        F: Float,
    {
        let (yt, xt) = if logit_p < F::zero() {
            (y, logit_p)
        } else {
            (F::one() - y, -logit_p)
        };
        yt * xt - num_traits::Float::exp(xt).ln_1p()
    }

    /// The saturated likelihood is zero for logistic regression when y = 0 or 1 but is greater
    /// than zero for 0 < y < 1.
    fn log_like_sat<F: Float>(y: F) -> F {
        prod_log(y) + prod_log(F::one() - y)
    }
}

pub mod link {
    //! Link functions for logistic regression
    use super::*;
    use crate::link::{Canonical, Link, Transform};
    use crate::num::Float;

    /// The canonical link function for logistic regression is the logit function g(p) =
    /// log(p/(1-p)).
    pub struct Logit {}
    impl Canonical for Logit {}
    impl Link<Logistic<Logit>> for Logit {
        fn func<F: Float>(y: F) -> F {
            num_traits::Float::ln(y / (F::one() - y))
        }
        fn func_inv<F: Float>(lin_pred: F) -> F {
            (F::one() + num_traits::Float::exp(-lin_pred)).recip()
        }
    }

    /// The complementary log-log link g(p) = log(-log(1-p)) is appropriate when
    /// modeling the probability of non-zero counts when the counts are
    /// Poisson-distributed with mean lambda = exp(lin_pred).
    pub struct Cloglog {}
    impl Link<Logistic<Cloglog>> for Cloglog {
        fn func<F: Float>(y: F) -> F {
            num_traits::Float::ln(-F::ln_1p(-y))
        }
        // This quickly underflows to zero for inputs greater than ~2.
        fn func_inv<F: Float>(lin_pred: F) -> F {
            -F::exp_m1(-num_traits::Float::exp(lin_pred))
        }
    }
    impl Transform for Cloglog {
        fn nat_param<F: Float>(lin_pred: Array1<F>) -> Array1<F> {
            lin_pred.mapv(|x| num_traits::Float::ln(num_traits::Float::exp(x).exp_m1()))
        }
        fn d_nat_param<F: Float>(lin_pred: &Array1<F>) -> Array1<F> {
            let neg_exp_lin = -lin_pred.mapv(num_traits::Float::exp);
            &neg_exp_lin / &neg_exp_lin.mapv(F::exp_m1)
        }
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use crate::{error::RegressionResult, model::ModelBuilder};
    use approx::assert_abs_diff_eq;
    use ndarray::array;

    /// A simple test where the correct value for the data is known exactly.
    #[test]
    fn log_reg() -> RegressionResult<()> {
        let beta = array![0., 1.0];
        let ln2 = f64::ln(2.);
        let data_x = array![[0.], [0.], [ln2], [ln2], [ln2]];
        let data_y = array![true, false, true, true, false];
        let model = ModelBuilder::<Logistic>::data(&data_y, &data_x).build()?;
        let fit = model.fit()?;
        // dbg!(fit.n_iter);
        assert_abs_diff_eq!(beta, fit.result, epsilon = 0.05 * f32::EPSILON as f64);
        // let lr = fit.lr_test();
        Ok(())
    }

    // verify that the link and inverse are indeed inverses.
    #[test]
    fn cloglog_closure() {
        use link::Cloglog;
        let mu_test_vals = array![1e-8, 0.01, 0.1, 0.3, 0.5, 0.7, 0.9, 0.99, 0.9999999];
        assert_abs_diff_eq!(
            mu_test_vals,
            mu_test_vals.mapv(|mu| Cloglog::func_inv(Cloglog::func(mu)))
        );
        let lin_test_vals = array![-10., -2., -0.1, 0.0, 0.1, 1., 2.];
        assert_abs_diff_eq!(
            lin_test_vals,
            lin_test_vals.mapv(|lin| Cloglog::func(Cloglog::func_inv(lin))),
            epsilon = 1e-3 * f32::EPSILON as f64
        );
    }
}