Package 'hubEnsembles'

Example model output data for linear_pool()

Description

Toy model output data formatted according to hubverse standards to be used in the examples for linear_pool(). The predictions included are taken from three normal distributions with means -3, 0, 3 and all standard deviations 1.

Usage

component_outputs

Format

component_outputs

A data frame with 123 rows and 5 columns:

model_id

model ID

target

forecast target

output_type

type of forecast

output_type_id

output type ID

value

forecast value

---

Example weights data for simple_ensemble()

Description

Toy weights data formatted according to hubverse standards to be used in the examples for simple_ensemble()

Usage

fweights

Format

fweights

A data frame with 8 rows and 3 columns:

model_id

model ID

location

FIPS codes

weight

weight

---

Compute ensemble model outputs as a linear pool, otherwise known as a distributional mixture, of component model outputs for each combination of model task, output type, and output type id. Supported output types include mean, quantile, cdf, pmf, and sample.

Description

Compute ensemble model outputs as a linear pool, otherwise known as a distributional mixture, of component model outputs for each combination of model task, output type, and output type id. Supported output types include mean, quantile, cdf, pmf, and sample.

Usage

linear_pool(
  model_out_tbl,
  weights = NULL,
  weights_col_name = "weight",
  model_id = "hub-ensemble",
  task_id_cols = NULL,
  compound_taskid_set = NA,
  derived_task_ids = NULL,
  n_samples = 10000,
  n_output_samples = NULL,
  ...,
  derived_tasks = lifecycle::deprecated()
)

Arguments

model_out_tbl	an object of class model_out_tbl with component model outputs (e.g., predictions).
weights	an optional data.frame with component model weights. If provided, it should have a column named model_id and a column containing model weights. Optionally, it may contain additional columns corresponding to task id variables, output_type, or output_type_id, if weights are specific to values of those variables. The default is NULL, in which case an equally-weighted ensemble is calculated. Should be prevalidated.
weights_col_name	character string naming the column in weights with model weights. Defaults to "weight"
model_id	character string with the identifier to use for the ensemble model.
task_id_cols	character vector with names of columns in model_out_tbl that specify modeling tasks. Defaults to NULL, in which case all columns in model_out_tbl other than "model_id", "output_type", "output_type_id", and "value" are used as task ids.
compound_taskid_set	character vector of the compound task ID variable set. This argument is only relevant for output_type "sample". Can be one of three possible values, with the following meanings: NA: the compound_taskid_set is not relevant for the current modeling task NULL: samples are from a multivariate joint distribution across all levels of all task id variables Equality to task_id_cols: samples are from separate univariate distributions for each individual prediction task Defaults to NA. Derived task ids must be included if all of the task ids their values depend on are part of the compound_taskid_set.
derived_task_ids	character vector of derived task IDs (variables whose values depend on that of other task ID variables). Defaults to NULL, meaning there are no derived task IDs.
n_samples	numeric that specifies the number of samples to use when calculating quantiles from an estimated quantile function. Defaults to 1e4.
n_output_samples	numeric that specifies how many sample forecasts to return per unique combination of task IDs. Currently the only supported value is NULL, in which case all provided component model samples are collected and returned.
...	parameters that are passed to distfromq::make_q_fn, specifying details of how to estimate a quantile function from provided quantile levels and quantile values for output_type "quantile".
derived_tasks	Use derived_task_ids instead. A character vector of derived task IDs.

Details

The underlying mechanism for the computations varies for different output_types. When the output_type is cdf, pmf, or mean, this function simply calls simple_ensemble to calculate a (weighted) mean of the component model outputs. This is the definitional calculation for the CDF or PMF of a linear pool. For the mean output type, this is justified by the fact that the (weighted) mean of the linear pool is the (weighted) mean of the means of the component distributions.

When the output_type is quantile, we obtain the quantiles of a linear pool in three steps:

1. Interpolate and extrapolate from the provided quantiles for each component model to obtain an estimate of the CDF of that distribution.

2. Draw samples from the distribution for each component model. To reduce Monte Carlo variability, we use quasi-random samples corresponding to quantiles of the estimated distribution.

3. Collect the samples from all component models and extract the desired quantiles.

Steps 1 and 2 in this process are performed by distfromq::make_q_fn.

When the output_type is sample, we obtain the resulting linear pool by collecting samples from each model, updating the output_type_id values to be unique for predictions that are not joint across, and pooling them together. If there is a restriction on the number of samples to output per compound unit, this number is divided evenly among the models for that compound unit (with any remainder distributed randomly).

Value

a model_out_tbl object of ensemble predictions. Note that any additional columns in the input model_out_tbl are dropped.

Examples

# We illustrate the calculation of a linear pool when we have quantiles from the
# component models. We take the components to be normal distributions with
# means -3, 0, and 3, all standard deviations 1, and weights 0.25, 0.5, and 0.25.
data(component_outputs)
data(weights)

expected_quantiles <- seq(from = -5, to = 5, by = 0.25)
lp_from_component_qs <- linear_pool(component_outputs, weights)

head(lp_from_component_qs)
all.equal(lp_from_component_qs$value, expected_quantiles, tolerance = 1e-2,
          check.attributes = FALSE)

---

Make the output type ID values of sample forecasts distinct for different models

Description

Make the output type ID values of sample forecasts distinct for different models

Usage

make_sample_indices_unique(model_out_tbl)

Arguments

model_out_tbl

an object of class model_out_tbl with component model outputs (e.g., predictions).

Details

The new output_type_id column values will follow one of two patterns, depending on whether the column is detected to be numeric:

1. If the output type ID is not numeric (may be a character): A concatenation of the prediction's model ID and original output type ID

2. If the output type ID is numeric: A numeric representation of the above pattern rendered as a factor.

Value

a model_out_tbl object with unique output type ID values for different models but otherwise identical to the input model_out_tbl.

---

Example model output data for simple_ensemble()

Description

Toy model output data formatted according to hubverse standards to be used in the examples for simple_ensemble()

Usage

model_outputs

Format

model_outputs

A data frame with 24 rows and 8 columns:

model_id

model ID

location

FIPS codes

horizon

forecast horizon

target

forecast target

target_date

date that the forecast is for

output_type

type of forecast

output_type_id

output type ID

value

forecast value

---

Compute ensemble model outputs by summarizing component model outputs for each combination of model task, output type, and output type id. Supported output types include mean, median, quantile, cdf, and pmf.

Description

Compute ensemble model outputs by summarizing component model outputs for each combination of model task, output type, and output type id. Supported output types include mean, median, quantile, cdf, and pmf.

Usage

simple_ensemble(
  model_out_tbl,
  weights = NULL,
  weights_col_name = "weight",
  agg_fun = mean,
  agg_args = list(),
  model_id = "hub-ensemble",
  task_id_cols = NULL
)

Arguments

model_out_tbl	an object of class model_out_tbl with component model outputs (e.g., predictions).
weights	an optional data.frame with component model weights. If provided, it should have a column named model_id and a column containing model weights. Optionally, it may contain additional columns corresponding to task id variables, output_type, or output_type_id, if weights are specific to values of those variables. The default is NULL, in which case an equally-weighted ensemble is calculated. Should be prevalidated.
weights_col_name	character string naming the column in weights with model weights. Defaults to "weight"
agg_fun	a function or character string name of a function to use for aggregating component model outputs into the ensemble outputs. See the details for more information.
agg_args	a named list of any additional arguments that will be passed to agg_fun.
model_id	character string with the identifier to use for the ensemble model.
task_id_cols	character vector with names of columns in model_out_tbl that specify modeling tasks. Defaults to NULL, in which case all columns in model_out_tbl other than "model_id", "output_type", "output_type_id", and "value" are used as task ids.

Details

The default for agg_fun is "mean", in which case the ensemble's output is the average of the component model outputs within each group defined by a combination of values in the task id columns, output type, and output type id. The provided agg_fun should have an argument x for the vector of numeric values to summarize, and for weighted methods, an argument w with a numeric vector of weights. If it desired to use an aggregation function that does not accept these arguments, a wrapper would need to be written. For weighted methods, agg_fun = "mean" and agg_fun = "median" are translated to use matrixStats::weightedMean and matrixStats::weightedMedian respectively. For matrixStats::weightedMedian, the argument interpolate is automatically set to FALSE to circumvent a calculation issue that results in invalid distributions.

Value

a model_out_tbl object of ensemble predictions. Note that any additional columns in the input model_out_tbl are dropped.

Examples

# Calculate a weighted median in two ways
data(model_outputs)
data(fweights)

weighted_median1 <- simple_ensemble(model_outputs, weights = fweights,
                                    agg_fun = stats::median)
weighted_median2 <- simple_ensemble(model_outputs, weights = fweights,
                                     agg_fun = matrixStats::weightedMedian)
all.equal(weighted_median1, weighted_median2)

---

Perform validations on the compound task ID set used to calculate an ensemble of component model outputs for the sample output type, including checks that (1) compound_taskid_set is a subset of task_id_cols, (2) the provided model_out_tbl is compatible with the specified compound_taskid_set, and (3) all models submit predictions for the same set of non compound_taskid_set variables.

Description

Perform validations on the compound task ID set used to calculate an ensemble of component model outputs for the sample output type, including checks that (1) compound_taskid_set is a subset of task_id_cols, (2) the provided model_out_tbl is compatible with the specified compound_taskid_set, and (3) all models submit predictions for the same set of non compound_taskid_set variables.

Usage

validate_compound_taskid_set(
  model_out_tbl,
  task_id_cols,
  compound_taskid_set,
  derived_task_ids = NULL,
  return_missing_combos = FALSE
)

Arguments

model_out_tbl	an object of class model_out_tbl with component model outputs (e.g., predictions).
task_id_cols	character vector with names of columns in model_out_tbl that specify modeling tasks. Defaults to NULL, in which case all columns in model_out_tbl other than "model_id", "output_type", "output_type_id", and "value" are used as task ids.
compound_taskid_set	character vector of the compound task ID variable set. This argument is only relevant for output_type "sample". Can be one of three possible values, with the following meanings: NA: the compound_taskid_set is not relevant for the current modeling task NULL: samples are from a multivariate joint distribution across all levels of all task id variables Equality to task_id_cols: samples are from separate univariate distributions for each individual prediction task Defaults to NA. Derived task ids must be included if all of the task ids their values depend on are part of the compound_taskid_set.
derived_task_ids	character vector of derived task IDs (variables whose values depend on that of other task ID variables). Defaults to NULL, meaning there are no derived task IDs.
return_missing_combos	boolean specifying whether to return a data.frame summarizing the missing combinations of dependent tasks for each model. If TRUE, the columns of the data.frame will be "model_id" and one for each of the dependent tasks (complement of the compound_taskid_set). Defaults to FALSE.

Value

If model_out_tbl passes the validations, there will be no return value. Otherwise, the function will either throw an error if return_missing_combos is FALSE, or a data.frame of the missing combinations of dependent tasks will be returned. See above for more details.

---

Example weights data for linear_pool()

Description

Toy weights data formatted according to hubverse standards to be used in the examples for linear_pool(). Weights are 0.25, 0.5, 0.25.

Usage

weights

Format

weights

A data frame with 3 rows and 2 columns:

model_id

model ID

location

FIPS codes

weight

weight

---