Small performance tweaks (#772)

* minor tweaks to improve type inference

* another type restriction

* fix NEWS and version number

* fixes

* simplify convenience constructors for OptSummary

* fix use of type parameters in defaults

* NEWS

* tweaks

* JuliaFormatter

* abstract near-zero checks into configurable params

* technically we've added a feature....

NEWS.md

@@ -1,6 +1,16 @@
+MixedModels v4.25 Release Notes
+==============================
+- Add type notations in `pwrss(::LinearMixedModel)` and `logdet(::LinearMixedModel)` to enhance type inference. [#773]
+- Take advantage of type parameter for `StatsAPI.weights(::LinearMixedModel{T})`. [#772]
+- Fix use of kwargs in `fit!((::LinearMixedModel)`: [#772]
+    - user-specified `σ` is actually used, defaulting to existing value
+    - `REML` defaults to model's already specified REML value.
+- Clean up code of keyword convenience constructor for `OptSummary`. [#772]
+- Refactor thresholding parameters for forcing near-zero parameter values into `OptSummary`. [#772]
+
 MixedModels v4.24.1 Release Notes
 ==============================
-Add type notations in `pwrss(::LinearMixedModel)` and `logdet(::LinearMixedModel)` to enhance type inference. [#773]
+- Re-export accidentally dropped export `lrtest`. [#769]
 
 MixedModels v4.24.0 Release Notes
 ==============================
@@ -525,4 +535,6 @@ Package dependencies
 [#755]: https://github.com/JuliaStats/MixedModels.jl/issues/755
 [#756]: https://github.com/JuliaStats/MixedModels.jl/issues/756
 [#767]: https://github.com/JuliaStats/MixedModels.jl/issues/767
+[#769]: https://github.com/JuliaStats/MixedModels.jl/issues/769
+[#772]: https://github.com/JuliaStats/MixedModels.jl/issues/772
 [#773]: https://github.com/JuliaStats/MixedModels.jl/issues/773

Project.toml

@@ -1,7 +1,7 @@
 name = "MixedModels"
 uuid = "ff71e718-51f3-5ec2-a782-8ffcbfa3c316"
 author = ["Phillip Alday <[email protected]>", "Douglas Bates <[email protected]>", "Jose Bayoan Santiago Calderon <[email protected]>"]
-version = "4.24.1"
+version = "4.25.0"
 
 [deps]
 Arrow = "69666777-d1a9-59fb-9406-91d4454c9d45"

src/MixedModels.jl

@@ -19,7 +19,7 @@ using LinearAlgebra: ldiv!, lmul!, logdet, mul!, norm, normalize, normalize!, qr
 using LinearAlgebra: rank, rdiv!, rmul!, svd, tril!
 using Markdown: Markdown
 using MixedModelsDatasets: dataset, datasets
-using NLopt: NLopt, Opt, ftol_abs, ftol_rel, initial_step, xtol_abs, xtol_rel
+using NLopt: NLopt, Opt
 using PooledArrays: PooledArrays, PooledArray
 using PrecompileTools: PrecompileTools, @setup_workload, @compile_workload
 using ProgressMeter: ProgressMeter, Progress, ProgressUnknown, finish!, next!

src/generalizedlinearmixedmodel.jl

@@ -309,13 +309,13 @@ function StatsAPI.fit!(
     ## check if very small parameter values bounded below by zero can be set to zero
     xmin_ = copy(xmin)
     for i in eachindex(xmin_)
-        if iszero(optsum.lowerbd[i]) && zero(T) < xmin_[i] < T(0.001)
+        if iszero(optsum.lowerbd[i]) && zero(T) < xmin_[i] < optsum.xtol_zero_abs
             xmin_[i] = zero(T)
         end
     end
     loglength = length(fitlog)
     if xmin ≠ xmin_
-        if (zeroobj = obj(xmin_, T[])) ≤ (fmin + 1.e-5)
+        if (zeroobj = obj(xmin_, T[])) ≤ (fmin + optsum.ftol_zero_abs)
             fmin = zeroobj
             copyto!(xmin, xmin_)
         elseif length(fitlog) > loglength

src/linearmixedmodel.jl

@@ -36,8 +36,8 @@ struct LinearMixedModel{T<:AbstractFloat} <: MixedModel{T}
     sqrtwts::Vector{T}
     parmap::Vector{NTuple{3,Int}}
     dims::NamedTuple{(:n, :p, :nretrms),NTuple{3,Int}}
-    A::Vector{AbstractMatrix{T}}            # cross-product blocks
-    L::Vector{AbstractMatrix{T}}
+    A::Vector{<:AbstractMatrix{T}}            # cross-product blocks
+    L::Vector{<:AbstractMatrix{T}}
     optsum::OptSummary{T}
 end
 
@@ -175,7 +175,7 @@ function LinearMixedModel(
     A, L = createAL(reterms, Xy)
     lbd = foldl(vcat, lowerbd(c) for c in reterms)
     θ = foldl(vcat, getθ(c) for c in reterms)
-    optsum = OptSummary(θ, lbd, :LN_BOBYQA; ftol_rel=T(1.0e-12), ftol_abs=T(1.0e-8))
+    optsum = OptSummary(θ, lbd)
     optsum.sigma = isnothing(σ) ? nothing : T(σ)
     fill!(optsum.xtol_abs, 1.0e-10)
     return LinearMixedModel(
@@ -408,7 +408,7 @@ function createAL(reterms::Vector{<:AbstractReMat{T}}, Xy::FeMat{T}) where {T}
             end
         end
     end
-    return A, L
+    return identity.(A), identity.(L)
 end
 
 StatsAPI.deviance(m::LinearMixedModel) = objective(m)
@@ -431,8 +431,8 @@ function feL(m::LinearMixedModel)
 end
 
 """
-    fit!(m::LinearMixedModel; progress::Bool=true, REML::Bool=false,
-                              σ::Union{Real, Nothing}=nothing,
+    fit!(m::LinearMixedModel; progress::Bool=true, REML::Bool=m.optsum.REML,
+                              σ::Union{Real, Nothing}=m.optsum.sigma,
                               thin::Int=typemax(Int))
 
 Optimize the objective of a `LinearMixedModel`.  When `progress` is `true` a
@@ -445,8 +445,8 @@ saved in `m.optsum.fitlog`.
 function StatsAPI.fit!(
     m::LinearMixedModel{T};
     progress::Bool=true,
-    REML::Bool=false,
-    σ::Union{Real,Nothing}=nothing,
+    REML::Bool=m.optsum.REML,
+    σ::Union{Real,Nothing}=m.optsum.sigma,
     thin::Int=typemax(Int),
 ) where {T}
     optsum = m.optsum
@@ -461,6 +461,7 @@ function StatsAPI.fit!(
     end
     opt = Opt(optsum)
     optsum.REML = REML
+    optsum.sigma = σ
     prog = ProgressUnknown(; desc="Minimizing", showspeed=true)
     # start from zero for the initial call to obj before optimization
     iter = 0
@@ -511,13 +512,13 @@ function StatsAPI.fit!(
     xmin_ = copy(xmin)
     lb = optsum.lowerbd
     for i in eachindex(xmin_)
-        if iszero(lb[i]) && zero(T) < xmin_[i] < T(0.001)
+        if iszero(lb[i]) && zero(T) < xmin_[i] < optsum.xtol_zero_abs
             xmin_[i] = zero(T)
         end
     end
     loglength = length(fitlog)
     if xmin ≠ xmin_
-        if (zeroobj = obj(xmin_, T[])) ≤ (fmin + 1.e-5)
+        if (zeroobj = obj(xmin_, T[])) ≤ (fmin + optsum.ftol_zero_abs)
             fmin = zeroobj
             copyto!(xmin, xmin_)
         elseif length(fitlog) > loglength

src/optsummary.jl

@@ -19,75 +19,55 @@ Summary of an `NLopt` optimization
 * `feval`: the number of function evaluations
 * `optimizer`: the name of the optimizer used, as a `Symbol`
 * `returnvalue`: the return value, as a `Symbol`
+* `xtol_zero_abs`: the tolerance for a near zero parameter to be considered practically zero
+* `ftol_zero_abs`: the tolerance for change in the objective for setting a near zero parameter to zero
+* `fitlog`: A vector of tuples of parameter and objectives values from steps in the optimization
 * `nAGQ`: number of adaptive Gauss-Hermite quadrature points in deviance evaluation for GLMMs
 * `REML`: use the REML criterion for LMM fits
 * `sigma`: a priori value for the residual standard deviation for LMM
-* `fitlog`: A vector of tuples of parameter and objectives values from steps in the optimization
 
-The latter four fields are MixedModels functionality and not related directly to the `NLopt` package or algorithms.
+The last three fields are MixedModels functionality and not related directly to the `NLopt` package or algorithms.
 
 !!! note
     The internal storage of the parameter values within `fitlog` may change in
     the future to use a different subtype of `AbstractVector` (e.g., `StaticArrays.SVector`)
     for each snapshot without being considered a breaking change.
 """
-mutable struct OptSummary{T<:AbstractFloat}
+Base.@kwdef mutable struct OptSummary{T<:AbstractFloat}
     initial::Vector{T}
     lowerbd::Vector{T}
-    finitial::T
-    ftol_rel::T
-    ftol_abs::T
-    xtol_rel::T
-    xtol_abs::Vector{T}
-    initial_step::Vector{T}
-    maxfeval::Int
-    maxtime::T
-    feval::Int
-    final::Vector{T}
-    fmin::T
-    optimizer::Symbol
-    returnvalue::Symbol
-    nAGQ::Integer           # don't really belong here but I needed a place to store them
-    REML::Bool
-    sigma::Union{T,Nothing}
-    fitlog::Vector{Tuple{Vector{T},T}} # not SVector because we would need to parameterize on size (which breaks GLMM)
+    # the @kwdef macro isn't quite smart enough for us to use the type parameter
+    # for the default values, but we can fake it
+    finitial::T = Inf * one(eltype(initial))
+    ftol_rel::T = eltype(initial)(1.0e-12)
+    ftol_abs::T = eltype(initial)(1.0e-8)
+    xtol_rel::T = zero(eltype(initial))
+    xtol_abs::Vector{T} = zero(initial) .+ 1e-10
+    initial_step::Vector{T} = empty(initial)
+    maxfeval::Int = -1
+    maxtime::T = -one(eltype(initial))
+    feval::Int = -1
+    final::Vector{T} = copy(initial)
+    fmin::T = Inf * one(eltype(initial))
+    optimizer::Symbol = :LN_BOBYQA
+    returnvalue::Symbol = :FAILURE
+    xtol_zero_abs::T = eltype(initial)(0.001)
+    ftol_zero_abs::T = eltype(initial)(1.e-5)
+    # not SVector because we would need to parameterize on size (which breaks GLMM)
+    fitlog::Vector{Tuple{Vector{T},T}} = [(initial, fmin)]
+    # don't really belong here but I needed a place to store them
+    nAGQ::Int = 1
+    REML::Bool = false
+    sigma::Union{T,Nothing} = nothing
 end
 
 function OptSummary(
     initial::Vector{T},
-    lowerbd::Vector{T},
-    optimizer::Symbol;
-    ftol_rel::T=zero(T),
-    ftol_abs::T=zero(T),
-    xtol_rel::T=zero(T),
-    xtol_abs::Vector{T}=zero(initial) .+ 1e-10,
-    initial_step::Vector{T}=T[],
-    maxfeval=-1,
-    maxtime=T(-1),
-) where {T<:AbstractFloat}
-    fitlog = [(initial, T(Inf))]
-
-    return OptSummary(
-        initial,
-        lowerbd,
-        T(Inf),
-        ftol_rel,
-        ftol_abs,
-        xtol_rel,
-        xtol_abs,
-        initial_step,
-        maxfeval,
-        maxtime,
-        -1,
-        copy(initial),
-        T(Inf),
-        optimizer,
-        :FAILURE,
-        1,
-        false,
-        nothing,
-        fitlog,
-    )
+    lowerbd::Vector{S},
+    optimizer::Symbol=:LN_BOBYQA; kwargs...,
+) where {T<:AbstractFloat,S<:AbstractFloat}
+    TS = promote_type(T, S)
+    return OptSummary{TS}(; initial, lowerbd, optimizer, kwargs...)
 end
 
 """