The QR Decomposition For Regression Models
Michael Betancourt
July 2017
A common problem in regression modeling is correlation amongst the covariates which can induce strong posterior correlations that frustrate accurate computation. In this case study I will review the QR decomposition, a technique for decorrelating covariates and, consequently, the resulting posterior distribution.
We’ll begin with a simple example that demonstrates the difficulties induced by correlated covariates before going through the mathematics of the QR decomposition and finally how it can be applied in Stan.
1 Setting up the RStan Environment
First things first, let’s setup our local environment,
library(rstan)Loading required package: ggplot2Loading required package: StanHeadersrstan (Version 2.16.2, packaged: 2017-07-03 09:24:58 UTC, GitRev: 2e1f913d3ca3)For execution on a local, multicore CPU with excess RAM we recommend calling
rstan_options(auto_write = TRUE)
options(mc.cores = parallel::detectCores())rstan_options(auto_write = TRUE)
options(mc.cores = parallel::detectCores())
source("stan_utility.R")
c_light <- c("#DCBCBC")
c_light_highlight <- c("#C79999")
c_mid <- c("#B97C7C")
c_mid_highlight <- c("#A25050")
c_dark <- c("#8F2727")
c_dark_highlight <- c("#7C0000")
c_light_trans <- c("#DCBCBC80")
c_light_highlight_trans <- c("#C7999980")
c_mid_trans <- c("#B97C7C80")
c_mid_highlight_trans <- c("#A2505080")
c_dark_trans <- c("#8F272780")
c_dark_highlight_trans <- c("#7C000080")2 Fitting Issues with Correlated Covariates
Now consider a very simple regression with only two covariates – \(x \sim \mathcal{N} (1, 0.1)\) and it’s square, \(x^{2}\). The inclusion of both \(x\) and \(x^{2}\) is not uncommon in polynomial regressions where the response is given by a sum of polynomials over the input covariates.
In particular, the correlations here are particularly strong because we didn’t standardize the covariate, \(x\), before squaring it. Powers are much better identified when the input is centered around zero. Unfortunately in practice we may not be able to standardize the covariates before they are transformed. Moreover, in more complex regressions seemingly independent covariates are often highly correlated due to common confounders in which case standardization will not be of much help.
We begin by simulating some data and, per good Stan practice, saving it in an external file,
set.seed(689934)
N <- 5000
x <- rnorm(N, 10, 1)
X = t(data.matrix(data.frame(x, x * x)))
M <- 2
beta = matrix(c(2.5, -1), nrow=M, ncol=1)
alpha <- -0.275
sigma <- 0.8
mu <- t(X) %*% beta + alpha
y = sapply(1:N, function(n) rnorm(1, mu[n], sigma))
stan_rdump(c("N", "M", "X", "y"), file="regr.data.R")Because the covariate \(x\) is restricted to positive values, it is highly correlated with its square,
par(mar = c(4, 4, 0.5, 0.5))
plot(X[1,], X[2,],
col=c_dark, pch=16, cex=0.8, xlab="x", ylab="x^2")
With the data in hand we can attempt to fit a naive linear regression model,
writeLines(readLines("regr.stan"))data {
int<lower=1> N;
int<lower=1> M;
matrix[M, N] X;
vector[N] y;
}
parameters {
vector[M] beta;
real alpha;
real<lower=0> sigma;
}
model {
beta ~ normal(0, 10);
alpha ~ normal(0, 10);
sigma ~ cauchy(0, 10);
y ~ normal(X' * beta + alpha, sigma);
}input_data <- read_rdump("regr.data.R")
fit <- stan(file='regr.stan', data=input_data, seed=483892929)Checking our diagnostics,
check_all_diagnostics(fit)[1] "n_eff / iter looks reasonable for all parameters"
[1] "Rhat looks reasonable for all parameters"
[1] "0 of 4000 iterations ended with a divergence (0%)"
[1] "12 of 4000 iterations saturated the maximum tree depth of 10 (0.3%)"
[1] " Run again with max_depth set to a larger value to avoid saturation"
[1] "E-BFMI indicated no pathological behavior"we see that everything looks okay save for some trajectories that have prematurely terminated because of the default tree depth limit. Although there aren’t many of them,
breaks <- 0:10
sampler_params <- get_sampler_params(fit, inc_warmup=FALSE)
treedepths <- do.call(rbind, sampler_params)[,'treedepth__']
treedepths_hist <- hist(treedepths, breaks=breaks, plot=FALSE)
par(mar = c(4, 4, 0.5, 0.5))
plot(treedepths_hist, col=c_dark_highlight_trans, main="",
xlab="theta.1", yaxt='n', ann=FALSE)
even a few prematurely terminating trajectories can hinder performance, and may even indicate potential problems with adaptation.
To maximize performance and avoid any potential issues we refit with a larger tree depth threshold,
fit <- stan(file='regr.stan', data=input_data, seed=483892929, control=list(max_treedepth=15))Now the tree depth diagnostics are clean
check_treedepth(fit, 15)[1] "0 of 4000 iterations saturated the maximum tree depth of 15 (0%)"The small step sizes, however,
sampler_params <- get_sampler_params(fit, inc_warmup=FALSE)
stepsizes <- sapply(sampler_params, function(x) x[1,'stepsize__'])
names(stepsizes) <- list("Chain 1", "Chain 2", "Chain 3" ,"Chain 4")
stepsizes Chain 1 Chain 2 Chain 3 Chain 4
0.007370508 0.006502418 0.006522210 0.007188796 do require significant computation, over one million gradient evaluations, across the entire fit,
n_gradients <- sapply(sampler_params, function(x) sum(x[,'n_leapfrog__']))
n_gradients[1] 332728 329700 334262 321326sum(n_gradients)[1] 1318016Plotting the posterior samples we can see why. The marginal posterior for the slopes is only weakly-identified and the posterior geometry becomes extremely narrow,
partition <- partition_div(fit)
params <- partition[[2]]
par(mar = c(4, 4, 0.5, 0.5))
plot(params$'beta[1]', params$'beta[2]',
col=c_dark_trans, pch=16, cex=0.8, xlab="beta[1]", ylab="beta[2]",
xlim=c(1.5, 3), ylim=c(-1.1, -0.9))
points(beta[1,1], beta[2,1],
col=c_mid, pch=17, cex=2)
requiring very precise trajectory simulations at each iteration of the Markov chains.
3 Decorrelating the Posterior with a QR Decomposition
Fortunately we can reduce the correlations between the covariates, and ameliorate the challenging geometry of the Bayesian posterior, by applying a QR decomposition. Perhaps unsurprisingly this is the same QR decomposition that arises in the analytic maximum likelihood and conjugate Bayesian treatment of linear regression, although here it will be applicable regardless of the choice of priors and for any general linear model.
3.1 Mathematical Derivation
The thin QR decomposition decomposes a rectangular \(N \times M\) matrix into \[ \mathbf{A} = \mathbf{Q} \cdot \mathbf{R} \] where \(\mathbf{Q}\) is an \(N \times M\) orthogonal matrix with \(M\) non-zero rows and \(N - M\) rows of vanishing rows, and \(\mathbf{R}\) is a \(M \times M\) upper-triangular matrix.
If we apply the decomposition to the transposed design matrix, \(\mathbf{X}^{T} = \mathbf{Q} \cdot \mathbf{R}\), then we can refactor the linear response as \[ \begin{align*} \boldsymbol{\mu} &= \mathbf{X}^{T} \cdot \boldsymbol{\beta} + \alpha \\ &= \mathbf{Q} \cdot \mathbf{R} \cdot \boldsymbol{\beta} + \alpha \\ &= \mathbf{Q} \cdot (\mathbf{R} \cdot \boldsymbol{\beta}) + \alpha \\ &= \mathbf{Q} \cdot \widetilde{\boldsymbol{\beta}} + \alpha. \\ \end{align*} \]
Because the matrix \(\mathbf{Q}\) is orthogonal, its columns are independent and consequently we expect the posterior over the new parameters, \(\widetilde{\boldsymbol{\beta}} = \mathbf{R} \cdot \boldsymbol{\beta}\), to be significantly less correlated. In practice we can also equalize the scales of the posterior by normalizing the \(Q\) and \(R\) matrices, \[ \begin{align*} \mathbf{Q} &\rightarrow \mathbf{Q} \cdot N \\ \mathbf{R} &\rightarrow \mathbf{R} \, / \, N. \end{align*} \]
We can then readily recover the original slopes as \[ \boldsymbol{\beta} = \mathbf{R}^{-1} \cdot \widetilde{\boldsymbol{\beta}}. \] As \(\mathbf{R}\) is upper diagonal we could compute its inverse with only \(\mathcal{O} (M^{2})\) operations, but because we need to compute it only once we will use the naive inversion function in Stan here.
Because the transformation between \(\boldsymbol{\beta}\) and \(\widetilde{\boldsymbol{\beta}}\) is linear, the corresponding Jacobian depends only on the data and hence doesn’t affect posterior computations. This means that in Stan we can define the transformed parameters \(\boldsymbol{\beta} = \mathbf{R}^{-1} \cdot \widetilde{\boldsymbol{\beta}}\) and apply priors directly to \(\boldsymbol{\beta}\) while ignoring the warning about Jacobians.
Interestingly, applying weakly-informative priors to the \(\widetilde{\boldsymbol{\beta}}\) directly can be interpreted as a form of empirical Bayes, where we use the empirical correlations in the data to guide the choice of prior.
3.2 Implementation in Stan
The scaled, thin QR decomposition is straightforward to implement in Stan,
writeLines(readLines("qr_regr.stan"))data {
int<lower=1> N;
int<lower=1> M;
matrix[M, N] X;
vector[N] y;
}
transformed data {
// Compute, thin, and then scale QR decomposition
matrix[N, M] Q = qr_Q(X')[, 1:M] * N;
matrix[M, M] R = qr_R(X')[1:M, ] / N;
matrix[M, M] R_inv = inverse(R);
}
parameters {
vector[M] beta_tilde;
real alpha;
real<lower=0> sigma;
}
transformed parameters {
vector[M] beta = R_inv * beta_tilde;
}
model {
beta ~ normal(0, 10);
alpha ~ normal(0, 10);
sigma ~ cauchy(0, 10);
y ~ normal(Q * beta_tilde + alpha, sigma);
}Fitting the QR regression model, and ignoring the warning about the Jacobian due to the considerations above,
qr_fit <- stan(file='qr_regr.stan', data=input_data, seed=483892929)we see no indications of an inaccurate fit,
check_all_diagnostics(qr_fit)[1] "n_eff / iter looks reasonable for all parameters"
[1] "Rhat looks reasonable for all parameters"
[1] "0 of 4000 iterations ended with a divergence (0%)"
[1] "0 of 4000 iterations saturated the maximum tree depth of 10 (0%)"
[1] "E-BFMI indicated no pathological behavior"The effective sample sizes are the same, but the larger step sizes,
sampler_params <- get_sampler_params(qr_fit, inc_warmup=FALSE)
qr_stepsizes <- sapply(sampler_params, function(x) x[1,'stepsize__'])
names(qr_stepsizes) <- list("Chain 1", "Chain 2", "Chain 3" ,"Chain 4")
qr_stepsizes Chain 1 Chain 2 Chain 3 Chain 4
0.009789558 0.012880644 0.011090654 0.011874532 require only about half the gradient evaluations needed in the naive regression,
n_gradients <- sapply(sampler_params, function(x) sum(x[,'n_leapfrog__']))
n_gradients[1] 200248 169188 183426 170156sum(n_gradients)[1] 723018Consequently even in this simple example the QR decomposition is about twice as fast as the naive regression. In more complex, higher-dimensional regressions the improvement can be even larger.
This is not unexpected, however, given how much less correlated the posterior for the transformed slopes is,
partition <- partition_div(qr_fit)
params <- partition[[2]]
par(mar = c(4, 4, 0.5, 0.5))
plot(params$'beta_tilde[1]', params$'beta_tilde[2]',
col=c_dark_trans, pch=16, cex=0.8, xlab="beta_tilde[1]", ylab="beta_tilde[2]")
Comfortingly, we also successfully recover the posterior for the nominal slopes,
par(mar = c(4, 4, 0.5, 0.5))
plot(params$'beta[1]', params$'beta[2]',
col=c_dark_trans, pch=16, cex=0.8, xlab="beta[1]", ylab="beta[2]",
xlim=c(1.5, 3), ylim=c(-1.1, -0.9))
points(beta[1,1], beta[2,1],
col=c_mid, pch=17, cex=2)
3.3 The Importance of Centering Covariates
If the rows of the effective design matrix, \(\mathbf{Q}\), are orthogonal, then why are the transformed slopes nontrivially correlated in the QR regression posterior?
One possibility could be the prior we put on the nominal slopes, which implies a strongly correlated prior for the transformed slopes. Here, however, the prior is too weak to have any strong effect on the posterior distribution. Still, it’s important to keep in mind that the QR decomposition performs best when the likelihood dominates the prior, either due to sufficiently many data or sufficiently weak prior information.
The real cause of the correlations in the posterior for the transformed slopes is that the covariates are not centered. As with any decomposition, the QR decomposition can fully decorrelate the covariates, and hence the likelihood and the corresponding posterior, only after the covariates have been centered around their empirical means.
Our design matrix is readily recentered within Stan itself, although we just as easily could have done it within R itself. Keeping in mind that centering the covariates drastically changes the interpretation of the intercept, we also should inflate the prior for \(\alpha\),
writeLines(readLines("qr_regr_centered.stan"))data {
int<lower=1> N;
int<lower=1> M;
matrix[M, N] X;
vector[N] y;
}
transformed data {
matrix[M, N] X_centered;
matrix[N, M] Q;
matrix[M, M] R;
matrix[M, M] R_inv;
for (m in 1:M)
X_centered[m] = X[m] - mean(X[m]);
// Compute, thin, and then scale QR decomposition
Q = qr_Q(X_centered')[, 1:M] * N;
R = qr_R(X_centered')[1:M, ] / N;
R_inv = inverse(R);
}
parameters {
vector[M] beta_tilde;
real alpha;
real<lower=0> sigma;
}
transformed parameters {
vector[M] beta = R_inv * beta_tilde;
}
model {
beta ~ normal(0, 10);
alpha ~ normal(0, 100);
sigma ~ cauchy(0, 10);
y ~ normal(Q * beta_tilde + alpha, sigma);
}and then fit the recentered design matrix,
qr_fit <- stan(file='qr_regr_centered.stan', data=input_data, seed=483892929)check_all_diagnostics(qr_fit)[1] "n_eff / iter looks reasonable for all parameters"
[1] "Rhat looks reasonable for all parameters"
[1] "0 of 4000 iterations ended with a divergence (0%)"
[1] "0 of 4000 iterations saturated the maximum tree depth of 10 (0%)"
[1] "E-BFMI indicated no pathological behavior"Not only has the effective sample size has drastically increased, the fit requires only a tenth of the gradient evaluations needed by the naive regression,
sampler_params <- get_sampler_params(qr_fit, inc_warmup=FALSE)
n_gradients <- sapply(sampler_params, function(x) sum(x[,'n_leapfrog__']))
n_gradients[1] 34514 33170 32900 35512sum(n_gradients)[1] 136096With the improved effective sample size and reduced computational cost, the centered QR decomposition achieves a 20 fold increase in performance!
All of this is due to the now isotropic posterior for the transformed slopes,
partition <- partition_div(qr_fit)
params <- partition[[2]]
par(mar = c(4, 4, 0.5, 0.5))
plot(params$'beta_tilde[1]', params$'beta_tilde[2]',
col=c_dark_trans, pch=16, cex=0.8, xlab="beta_tilde[1]", ylab="beta_tilde[2]")
While the posterior for the new intercept is expectedly different, the posterior for the nominal slopes remains the same,
par(mar = c(4, 4, 0.5, 0.5))
plot(params$'beta[1]', params$'beta[2]',
col=c_dark_trans, pch=16, cex=0.8, xlab="beta[1]", ylab="beta[2]",
xlim=c(1.5, 3), ylim=c(-1.1, -0.9))
points(beta[1,1], beta[2,1],
col=c_mid, pch=17, cex=2)
A common feature of regression models, centering not only improves the interpretability of the model but also proves critical to achieving optimal computational performance.
4 Conclusion
The QR decomposition is a straightforward technique that can drastically improve the performance of regression with not only linear models but also general linear models. Given its ease of use and strong potential for improvement it should be a ready tool in any modeler’s toolbox.
5 Acknowledgements
The exact implementation used here was cribbed from the discussion of QR decomposition in the Stan manual written by Ben Goodrich, who also originally introduced the technique into the Stan ecosystem.
6 Original Computing Environment
writeLines(readLines(file.path(Sys.getenv("HOME"), ".R/Makevars")))CXXFLAGS=-O3 -mtune=native -march=native -Wno-unused-variable -Wno-unused-function -Wno-macro-redefined
CC=clang
CXX=clang++ -arch x86_64 -ftemplate-depth-256devtools::session_info("rstan")Session info ------------------------------------------------------------- setting value
version R version 3.4.2 (2017-09-28)
system x86_64, darwin15.6.0
ui X11
language (EN)
collate en_US.UTF-8
tz America/New_York
date 2017-11-12 Packages ----------------------------------------------------------------- package * version date source
BH 1.65.0-1 2017-08-24 CRAN (R 3.4.1)
colorspace 1.3-2 2016-12-14 CRAN (R 3.4.0)
dichromat 2.0-0 2013-01-24 CRAN (R 3.4.0)
digest 0.6.12 2017-01-27 CRAN (R 3.4.0)
ggplot2 * 2.2.1 2016-12-30 CRAN (R 3.4.0)
graphics * 3.4.2 2017-10-04 local
grDevices * 3.4.2 2017-10-04 local
grid 3.4.2 2017-10-04 local
gridExtra 2.3 2017-09-09 CRAN (R 3.4.1)
gtable 0.2.0 2016-02-26 CRAN (R 3.4.0)
inline 0.3.14 2015-04-13 CRAN (R 3.4.0)
labeling 0.3 2014-08-23 CRAN (R 3.4.0)
lattice 0.20-35 2017-03-25 CRAN (R 3.4.2)
lazyeval 0.2.1 2017-10-29 CRAN (R 3.4.2)
magrittr 1.5 2014-11-22 CRAN (R 3.4.0)
MASS 7.3-47 2017-02-26 CRAN (R 3.4.2)
Matrix 1.2-11 2017-08-21 CRAN (R 3.4.2)
methods * 3.4.2 2017-10-04 local
munsell 0.4.3 2016-02-13 CRAN (R 3.4.0)
plyr 1.8.4 2016-06-08 CRAN (R 3.4.0)
R6 2.2.2 2017-06-17 CRAN (R 3.4.0)
RColorBrewer 1.1-2 2014-12-07 CRAN (R 3.4.0)
Rcpp 0.12.13 2017-09-28 CRAN (R 3.4.2)
RcppEigen 0.3.3.3.0 2017-05-01 CRAN (R 3.4.0)
reshape2 1.4.2 2016-10-22 CRAN (R 3.4.0)
rlang 0.1.4 2017-11-05 CRAN (R 3.4.2)
rstan * 2.16.2 2017-07-03 CRAN (R 3.4.1)
scales 0.5.0 2017-08-24 CRAN (R 3.4.1)
StanHeaders * 2.16.0-1 2017-07-03 CRAN (R 3.4.1)
stats * 3.4.2 2017-10-04 local
stats4 3.4.2 2017-10-04 local
stringi 1.1.5 2017-04-07 CRAN (R 3.4.0)
stringr 1.2.0 2017-02-18 CRAN (R 3.4.0)
tibble 1.3.4 2017-08-22 CRAN (R 3.4.1)
tools 3.4.2 2017-10-04 local
utils * 3.4.2 2017-10-04 local
viridisLite 0.2.0 2017-03-24 CRAN (R 3.4.0)