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1012
1013 | class Estimation:
"""
This class holds all functionality to estimate a mixed logit model
with a discrete mixing distribution with fixed points and well as to
estimate a multinomial logit model.
c is short for "choice option", indicating the choice alternative.
a is short for "attribute", indicating the observed choice attribute.
Methods
-------
- estimate_logit: Estimates the coefficients of a multinomial logit model.
- estimate_mixed_logit: Estimates the shares of all classes for a
mixed logit model with an EM algorithm.
"""
def __init__(self):
pass
def estimate_mixed_logit(self, **kwargs):
"""
This method estimates the mixed logit model for a given set of
model attributes. Therefore it first estimates a multinomial logit model
and, building on that, it estimates the parameters of the mixed logit
model by iteratively exploring a parameter space around the initial
parameters of the multinomial logit model.
Parameters
----------
tol : float, optional
Tolerance of the internal EM-algorithm.
max_iter : int, optional
Maximum iterations of the EM-algorithm.
min_iter : int, optional
Minimum iterations of the EM-algorithm.
space_method : string, optional
The method which shall be applied to span the parameter space
around the initially estimated parameter points (from MNL-model).
Options are "abs_value", "std_value" or "mirror". Defaults to "mirror".
scale_space : float, optional
Sets the size of the parameter space. Defaults to 2.
bits_64 : Boolean, optional
If True, numerical precision is increased to 64 bits, instead of 32 bits.
Defaults to False.
max_shares : int, optional
Specifies the maximum number of points in the parameter space, for which
a "share" shall be estimated. That does not mean, that only this number
of points will be explored in the parameter space, but only for this
number points a "share" is being stored. This is done to limit the
memory of the estimation process. max_shares defaults to 1000.
Returns
-------
points : array
Numpy array, which holds all points of the discrete parameter space.
shares : array
The central output of this method is the array "self.shares", which
holds the estimated shares of points within the parameter space.
"""
# get estimation parameters.
tol = kwargs.get("tol", 0.01)
max_iter = kwargs.get("max_iter", 1000)
min_iter = kwargs.get("min_iter", 10)
scale_space = kwargs.get("scale_space", 2)
space_method = kwargs.get("space_method", "mirror")
t_stats_out = kwargs.get("t_stats_out", True)
self.bits_64 = kwargs.get("bits_64", False)
quiet = kwargs.get("quiet", True)
# treshold for dropping a point: percentage of initial value in 'SHARES'
max_shares = kwargs.get("max_shares", 1000)
self.no_constant_fixed = len(self.param["constant"]["fixed"])
self.no_constant_random = len(self.param["constant"]["random"])
self.no_variable_fixed = len(self.param["variable"]["fixed"])
self.no_variable_random = len(self.param["variable"]["random"])
# get the maximum number of equally-spaces coefficients per alternative.
# points per coefficient (ppc)
no_random = self.no_constant_random + self.no_variable_random * self.count_c
# Define space-boundaries from initial point.
if space_method == "abs_value":
try:
# define absolute value of parameter as offset
offset_values = np.array([abs(temp) for temp in self.initial_point])
except AttributeError:
print("Estimate initial coefficients.")
if t_stats_out:
self.initial_point = self.estimate_logit()
else:
self.initial_point = self.estimate_logit(stats=False)
# define absolute value of parameter as offset
offset_values = np.array([abs(temp) for temp in self.initial_point])
elif space_method == "std_value":
try:
# define std of parameter as offset
offset_values = self.std_cross_val
except AttributeError:
print("Estimate initial coefficients.")
self.initial_point = self.estimate_logit()
# define std of parameter as offset
offset_values = self.std_cross_val
elif space_method == "mirror":
try:
# define std of parameter as offset
offset_values = self.std_cross_val
except AttributeError:
print("Estimate initial coefficients.")
self.initial_point = self.estimate_logit()
# define std of parameter as offset
offset_values = self.std_cross_val
elif space_method == "uniform":
print("Estimate initial coefficients.")
self.initial_point = self.estimate_logit()
else:
raise ValueError("Unknown value for keyword-argument -space_method-")
# specify parameter space
if self.bits_64:
self.space_bounds = np.zeros((no_random, 2), "float64")
else:
self.space_bounds = np.zeros((no_random, 2), "float32")
for a in range(self.no_constant_random):
if space_method == "uniform":
upper_bound = 1
lower_bound = -1
else:
mean_coefficient = self.initial_point[
self.count_c - 1 + self.no_constant_fixed + a
]
offset = offset_values[self.count_c - 1 + self.no_constant_fixed + a]
if space_method == "mirror":
if mean_coefficient > 0:
upper_bound = mean_coefficient + offset * scale_space
lower_bound = min(
-mean_coefficient, mean_coefficient - offset * scale_space
)
else:
upper_bound = max(
-mean_coefficient, mean_coefficient + offset * scale_space
)
lower_bound = mean_coefficient - offset * scale_space
else:
lower_bound = mean_coefficient - offset * scale_space
upper_bound = mean_coefficient + offset * scale_space
if lower_bound == upper_bound:
lower_bound = lower_bound - 0.01
upper_bound = upper_bound + 0.01
self.space_bounds[a][0] = lower_bound
self.space_bounds[a][1] = upper_bound
for c in range(self.count_c):
for a in range(self.no_variable_random):
if space_method == "uniform":
upper_bound = 1
lower_bound = -1
else:
mean_coefficient = self.initial_point[
self.count_c
- 1
+ self.no_constant_fixed
+ self.no_constant_random
+ (self.no_variable_fixed + self.no_variable_random) * c
+ self.no_variable_fixed
+ a
]
offset = offset_values[
self.count_c
- 1
+ self.no_constant_fixed
+ self.no_constant_random
+ (self.no_variable_fixed + self.no_variable_random) * c
+ self.no_variable_fixed
+ a
]
if space_method == "mirror":
if mean_coefficient > 0:
upper_bound = mean_coefficient + offset * scale_space
lower_bound = min(
-mean_coefficient,
mean_coefficient - offset * scale_space,
)
else:
upper_bound = max(
-mean_coefficient,
mean_coefficient + offset * scale_space,
)
lower_bound = mean_coefficient - offset * scale_space
else:
lower_bound = mean_coefficient - offset * scale_space
upper_bound = mean_coefficient + offset * scale_space
if lower_bound == upper_bound:
lower_bound = lower_bound - 0.01
upper_bound = upper_bound + 0.01
self.space_bounds[
self.no_constant_random + self.no_variable_random * c + a
][0] = lower_bound
self.space_bounds[
self.no_constant_random + self.no_variable_random * c + a
][1] = upper_bound
self.space_lhs = Space(self.space_bounds)
# lhs = Halton()
lhs = Lhs(lhs_type="classic", criterion="correlation", iterations=10)
# prepare input for numba
initial_point = self.initial_point
count_c = self.count_c
count_e = self.count_e
no_constant_fixed = self.no_constant_fixed
no_constant_random = self.no_constant_random
no_variable_fixed = self.no_variable_fixed
no_variable_random = self.no_variable_random
av = self.av
weight = self.weight_vector
choice = self.choice
# maximum number of aggregated alternatives per segment
dim_aggr_alt_max = max(
len(self.param["constant"]["fixed"]),
len(self.param["constant"]["random"]),
len(self.param["variable"]["fixed"]),
len(self.param["variable"]["random"]),
)
data = np.zeros(
(4, dim_aggr_alt_max, self.count_c, self.av.shape[1], len(self.data))
)
for c in range(self.count_c):
for e in range(self.count_e):
for i, param in enumerate(self.param["constant"]["fixed"]):
data[0][i][c][e] = self.data[
param + "_" + str(c) + "_" + str(e)
].values
for i, param in enumerate(self.param["constant"]["random"]):
data[1][i][c][e] = self.data[
param + "_" + str(c) + "_" + str(e)
].values
for i, param in enumerate(self.param["variable"]["fixed"]):
data[2][i][c][e] = self.data[
param + "_" + str(c) + "_" + str(e)
].values
for i, param in enumerate(self.param["variable"]["random"]):
data[3][i][c][e] = self.data[
param + "_" + str(c) + "_" + str(e)
].values
if self.bits_64 == False:
data = data.astype("float32")
av = av.astype("float32")
weight = weight.astype("float32")
choice = choice.astype("int32")
@njit
def get_utility_vector(c, e, point, l, data):
"""
Calculates the utility of a choice option.
Parameters
----------
c : int
Choice option.
point : array
Multi-dimensional point in the parameter space.
l : array
Point in base data.
data : array
Base data.
Returns
-------
res_temp : float
Utility of a choice option.
"""
if c == 0:
res_temp = 0
else:
res_temp = initial_point[c - 1]
for a in range(no_constant_fixed):
res_temp += initial_point[(count_c - 1) + a] * data[0][a][c][e][l]
for a in range(no_constant_random):
res_temp += point[a] * data[1][a][c][e][l]
for a in range(no_variable_fixed):
res_temp += (
initial_point[
(count_c - 1)
+ no_constant_fixed
+ no_constant_random
+ (no_variable_fixed + no_variable_random) * c
+ a
]
* data[2][a][c][e][l]
)
for a in range(no_variable_random):
res_temp += (
point[no_constant_random + no_variable_random * c + a]
* data[3][a][c][e][l]
)
return res_temp
if self.bits_64:
@guvectorize(
[
"float64[:, :], float64[:, :, :], float64[:], float64[:, :, :, :, :], float64[:, :]"
],
"(m,p),(n,e,l),(l),(i,j,n,e,l)->(m,l)",
nopython=True,
target="parallel",
)
def calculate_logit_vector(points, av, weight, data, logit_probs_):
"""
This method calculates the multinomial logit probability for a given
set of coefficients and all choices in the sample of the dataset.
Parameters
----------
point : array
Point in the parameter space.
av : array
Availability array for all choice options.
weight : array
Weights of data points in base data.
data : array
Base data.
Returns
-------
Array with logit-probabilities.
"""
for m in prange(points.shape[0]):
point = points[m]
# iterate over length of data array (len(av))
# What is the shape of the output array?!
for l in prange(av.shape[2]):
# calculate bottom
bottom = 0
top = 0
for c in prange(count_c):
for e in prange(count_e):
exp_temp = exp(get_utility_vector(c, e, point, l, data))
bottom += av[c][e][l] * exp_temp
top += av[c][e][l] * choice[c][e][l] * exp_temp
res_temp = top / bottom
if np.isfinite(res_temp):
logit_probs_[m][l] = pow(res_temp, weight[l])
else:
logit_probs_[m][l] = 0
else:
@guvectorize(
[
"float32[:, :], float32[:, :, :], float32[:], float32[:, :, :, :, :], float32[:, :]"
],
"(m,p),(n,e,l),(l),(i,j,n,e,l)->(m,l)",
nopython=True,
target="parallel",
)
def calculate_logit_vector(points, av, weight, data, logit_probs_):
"""
This method calculates the multinomial logit probability for a given
set of coefficients and all choices in the sample of the dataset.
Parameters
----------
point : array
Point in the parameter space.
av : array
Availability array for all choice options.
weight : array
Weights of data points in base data.
data : array
Base data.
Returns
-------
Array with logit-probabilities.
"""
for m in prange(points.shape[0]):
point = points[m]
# iterate over length of data array (len(av))
# What is the shape of the output array?!
for l in prange(av.shape[2]):
# calculate bottom
bottom = 0
top = 0
for c in prange(count_c):
for e in prange(count_e):
exp_temp = exp(get_utility_vector(c, e, point, l, data))
bottom += av[c][e][l] * exp_temp
top += av[c][e][l] * choice[c][e][l] * exp_temp
res_temp = top / bottom
if np.isfinite(res_temp):
logit_probs_[m][l] = pow(res_temp, weight[l])
else:
logit_probs_[m][l] = 0
def get_expectation(shares, logit_probs):
# get point_probs
point_probs_T = logit_probs.T * shares
point_probs = point_probs_T.T
# get h
h = point_probs / point_probs.sum(axis=0)
# update shares
shares_update = h.sum(axis=1) / h.sum()
# get expectation
expect = (h.T * np.log(shares_update)).sum()
return expect, shares_update
print("Estimate shares.")
start = time.time()
print("____EM algorithm starts.")
# Step 2: Draw points for EM-optimization via latin hypercube sampling.
GRID = lhs.generate(self.space_lhs.dimensions, max_shares, random_state=6)
if self.bits_64:
GRID_np = np.array(GRID, dtype="float64")
else:
GRID_np = np.array(GRID, dtype="float32")
# Step 3: Initialize the shares, which are associated with GRID
drawn_shares = np.array([1 / max_shares] * max_shares)
# normalize, due to numerical reasons.
drawn_shares = drawn_shares / np.sum(drawn_shares)
if self.bits_64:
drawn_shares = drawn_shares.astype("float64")
else:
drawn_shares = drawn_shares.astype("float32")
# Step 4: calculate logit probabilities for each point.
drawn_logit_probs = calculate_logit_vector(GRID_np, av, weight, data)
self.check_drawn_logit_probs = drawn_logit_probs.copy()
# Step 5: Apply EM-algorithm to drawn indices
convergence = 0
iter_inner = 0
expect_before = 0
while convergence == 0:
# calculate probability, that a person has the coefficients of a
# specific point, given his/her choice: point_probs = h_nc
expect, drawn_shares = get_expectation(drawn_shares, drawn_logit_probs)
self.shares_after_update = drawn_shares.copy()
diff = abs(expect - expect_before)
if quiet == False:
print("____ITER INNER:", iter_inner)
print("________DIFF:", diff)
print("________EXPECT:", expect)
expect_before = expect
iter_inner += 1
if diff < tol and iter_inner > min_iter:
convergence = 1
break
if iter_inner == max_iter:
break
# Step 6: Assign result of EM-optimization (drawn_shares) to SHARES.
SHARES = drawn_shares.copy()
if self.bits_64:
SHARES = SHARES.astype("float64")
else:
SHARES = SHARES.astype("float32")
# normalize, although SHARES should sum to one already.
SHARES = SHARES / np.sum(SHARES)
end = time.time()
delta = end - start
print("____EM algorithm took: ", str(delta), "seconds.")
if np.sum(np.isnan(SHARES)):
raise ValueError(
"NaN-values detected in -shares-. Debug hint: You may adjust the parameter space (smaller)."
)
else:
self.shares = SHARES
self.points = GRID
def estimate_logit(self, **kwargs):
"""
This method estimates the coefficients of a standard MNL model.
Parameters
----------
stats : Boolean, optional
If True, summary statistics are returned as well. Defaults to True.
Returns
-------
list
List of estimated coefficients of standard MNL model.
"""
stats_sum = kwargs.get("stats", True)
def loglike(x):
# logged numerator of MNL model
utility_single = sum(
[
self.av[0][e]
* self.choice[0][e]
* (
sum(
[
(
x[(self.count_c - 1) + a]
* self.data[
self.param["constant"]["fixed"][a]
+ "_"
+ str(0)
+ "_"
+ str(e)
]
)
for a in range(self.no_constant_fixed)
]
)
+ sum(
[
(
x[(self.count_c - 1) + self.no_constant_fixed + a]
* self.data[
self.param["constant"]["random"][a]
+ "_"
+ str(0)
+ "_"
+ str(e)
]
)
for a in range(self.no_constant_random)
]
)
+ sum(
[
(
x[
(self.count_c - 1)
+ self.no_constant_fixed
+ self.no_constant_random
+ a
]
* self.data[
self.param["variable"]["fixed"][a]
+ "_"
+ str(0)
+ "_"
+ str(e)
]
)
for a in range(self.no_variable_fixed)
]
)
+ sum(
[
(
x[
(self.count_c - 1)
+ self.no_constant_fixed
+ self.no_constant_random
+ self.no_variable_fixed
+ a
]
* self.data[
self.param["variable"]["random"][a]
+ "_"
+ str(0)
+ "_"
+ str(e)
]
)
for a in range(self.no_variable_random)
]
)
)
for e in range(self.av.shape[1])
]
) + sum(
[
sum(
[
self.av[c][e]
* self.choice[c][e]
* (
x[c - 1]
+ sum(
[
(
x[(self.count_c - 1) + a]
* self.data[
self.param["constant"]["fixed"][a]
+ "_"
+ str(c)
+ "_"
+ str(e)
]
)
for a in range(self.no_constant_fixed)
]
)
+ sum(
[
(
x[
(self.count_c - 1)
+ self.no_constant_fixed
+ a
]
* self.data[
self.param["constant"]["random"][a]
+ "_"
+ str(c)
+ "_"
+ str(e)
]
)
for a in range(self.no_constant_random)
]
)
+ sum(
[
(
x[
(self.count_c - 1)
+ self.no_constant_fixed
+ self.no_constant_random
+ (
self.no_variable_fixed
+ self.no_variable_random
)
* c
+ a
]
* self.data[
self.param["variable"]["fixed"][a]
+ "_"
+ str(c)
+ "_"
+ str(e)
]
)
for a in range(self.no_variable_fixed)
]
)
+ sum(
[
(
x[
(self.count_c - 1)
+ self.no_constant_fixed
+ self.no_constant_random
+ (
self.no_variable_fixed
+ self.no_variable_random
)
* c
+ self.no_variable_fixed
+ a
]
* self.data[
self.param["variable"]["random"][a]
+ "_"
+ str(c)
+ "_"
+ str(e)
]
)
for a in range(self.no_variable_random)
]
)
)
for e in range(self.av.shape[1])
]
)
for c in range(1, self.count_c)
]
)
# logged denominator of MNL model
utility_all = sum(
[
self.av[0][e]
* (
np.exp(
sum(
[
(
x[(self.count_c - 1) + a]
* self.data[
self.param["constant"]["fixed"][a]
+ "_"
+ str(0)
+ "_"
+ str(e)
]
)
for a in range(self.no_constant_fixed)
]
)
+ sum(
[
(
x[
(self.count_c - 1)
+ self.no_constant_fixed
+ a
]
* self.data[
self.param["constant"]["random"][a]
+ "_"
+ str(0)
+ "_"
+ str(e)
]
)
for a in range(self.no_constant_random)
]
)
+ sum(
[
(
x[
(self.count_c - 1)
+ self.no_constant_fixed
+ self.no_constant_random
+ a
]
* self.data[
self.param["variable"]["fixed"][a]
+ "_"
+ str(0)
+ "_"
+ str(e)
]
)
for a in range(self.no_variable_fixed)
]
)
+ sum(
[
(
x[
(self.count_c - 1)
+ self.no_constant_fixed
+ self.no_constant_random
+ self.no_variable_fixed
+ a
]
* self.data[
self.param["variable"]["random"][a]
+ "_"
+ str(0)
+ "_"
+ str(e)
]
)
for a in range(self.no_variable_random)
]
)
)
)
for e in range(self.av.shape[1])
]
) + sum(
[
sum(
[
self.av[c][e]
* (
np.exp(
x[c - 1]
+ sum(
[
(
x[(self.count_c - 1) + a]
* self.data[
self.param["constant"]["fixed"][a]
+ "_"
+ str(c)
+ "_"
+ str(e)
]
)
for a in range(self.no_constant_fixed)
]
)
+ sum(
[
(
x[
(self.count_c - 1)
+ self.no_constant_fixed
+ a
]
* self.data[
self.param["constant"]["random"][a]
+ "_"
+ str(c)
+ "_"
+ str(e)
]
)
for a in range(self.no_constant_random)
]
)
+ sum(
[
(
x[
(self.count_c - 1)
+ self.no_constant_fixed
+ self.no_constant_random
+ (
self.no_variable_fixed
+ self.no_variable_random
)
* c
+ a
]
* self.data[
self.param["variable"]["fixed"][a]
+ "_"
+ str(c)
+ "_"
+ str(e)
]
)
for a in range(self.no_variable_fixed)
]
)
+ sum(
[
(
x[
(self.count_c - 1)
+ self.no_constant_fixed
+ self.no_constant_random
+ (
self.no_variable_fixed
+ self.no_variable_random
)
* c
+ self.no_variable_fixed
+ a
]
* self.data[
self.param["variable"]["random"][a]
+ "_"
+ str(c)
+ "_"
+ str(e)
]
)
for a in range(self.no_variable_random)
]
)
)
)
for e in range(self.av.shape[1])
]
)
for c in range(1, self.count_c)
]
)
self.check_utility_all = utility_all
# logged probability of MNL model
log_prob = self.weight_vector * (utility_single - np.log(utility_all))
res = -np.sum(log_prob)
return res
# initialize optimization of MNL coefficients
no_param = (
self.no_constant_fixed
+ self.no_constant_random
+ self.count_c * (self.no_variable_fixed + self.no_variable_random)
)
no_coeff = int(self.count_c - 1 + no_param)
x0 = np.zeros((no_coeff,), dtype=float)
# optimization of objective function: Nelder-Mead, L-BFGS-B
start_logit = time.time()
res = minimize(loglike, x0, method="L-BFGS-B", tol=1e-11, jac="cs")
end_logit = time.time()
delta_logit = end_logit - start_logit
print("Estimation of standard logit took [sec.]:", int(delta_logit))
res_param = res.x
print(res_param)
if stats_sum:
print("Calculation of summary statistics starts.")
start_stats = time.time()
data_safe = self.data
size_subset = int(len(self.data) / 10)
param_cross_val = {j: [] for j in range(no_coeff)}
for i in range(10):
print("Cross-validation run: ", str(i))
self.data = data_safe[size_subset * i : size_subset * (i + 1)]
if "weight" in self.data.columns and self.include_weights == True:
self.weight_vector = self.data["weight"].values.copy()
else:
self.weight_vector = np.ones(shape=len(self.data))
self.choice = np.zeros(
(self.count_c, self.count_e, len(self.data)), dtype=np.int64
)
self.av = np.zeros(
(self.count_c, self.count_e, len(self.data)), dtype=np.float64
)
for c in range(self.count_c):
for e in range(self.count_e):
self.choice[c][e] = self.data[
"choice_" + str(c) + "_" + str(e)
].values
self.av[c][e] = self.data["av_" + str(c) + "_" + str(e)].values
res = minimize(loglike, x0, method="L-BFGS-B", tol=1e-11, jac="cs")
# iterate over estimated coefficients
for j, param in enumerate(res.x):
param_cross_val[j].append(param)
end_stats = time.time()
delta_stats = end_stats - start_stats
print("Estimation of summary statistics took [sec.]:", int(delta_stats))
self.check_param_cross_val = param_cross_val
# calculate statistics
self.t_stats = [
stats.ttest_1samp(param_cross_val[j], 0) for j in range(no_coeff)
]
self.std_cross_val = [np.std(param_cross_val[j]) for j in range(no_coeff)]
# reset self.data, self.av, self.choice
self.data = data_safe
# define choices and availabilities
if "weight" in self.data.columns and self.include_weights == True:
self.weight_vector = self.data["weight"].values.copy()
else:
self.weight_vector = np.ones(shape=len(self.data))
self.choice = np.zeros(
(self.count_c, self.count_e, len(self.data)), dtype=np.int64
)
self.av = np.zeros(
(self.count_c, self.count_e, len(self.data)), dtype=np.float64
)
for c in range(self.count_c):
for e in range(self.count_e):
self.choice[c][e] = self.data[
"choice_" + str(c) + "_" + str(e)
].values
self.av[c][e] = self.data["av_" + str(c) + "_" + str(e)].values
print("LL_0: ", loglike(x0))
print("LL_final: ", loglike(res_param))
return res_param
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