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Solve again on the residual when fixed effects explain most of a variable #87

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Solve again on the residual when fixed effects explain most of a variable #87

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5 changes: 3 additions & 2 deletions Project.toml
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
name = "FixedEffects"
uuid = "c8885935-8500-56a7-9867-7708b20db0eb"
version = "3.5.0"
version = "3.5.1"

[deps]
GroupedArrays = "6407cd72-fade-4a84-8a1e-56e431fc1533"
Expand All @@ -24,6 +24,7 @@ StatsBase = "0.33, 0.34"
julia = "1.10"

[extras]
Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
CUDA = "052768ef-5323-5732-b1bb-66c8b64840ba"
CategoricalArrays = "324d7699-5711-5eae-9e2f-1d82baa6b597"
Metal = "dde4c033-4e86-420c-a63e-0dd931031962"
Expand All @@ -32,4 +33,4 @@ PooledArrays = "2dfb63ee-cc39-5dd5-95bd-886bf059d720"
Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"

[targets]
test = ["CategoricalArrays", "CUDA", "Metal", "Pkg", "PooledArrays", "Test"]
test = ["CategoricalArrays", "CUDA", "Metal", "Pkg", "PooledArrays", "Random", "Test"]
19 changes: 16 additions & 3 deletions src/AbstractFixedEffectSolver.jl
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Expand Up @@ -62,12 +62,25 @@ function solve_residuals!(r::AbstractVector{<:Real}, feM::AbstractFixedEffectSol
iter, converged = 0, true
if length(feM.m.plan.blocks) == 1
mul!(feM.x, feM.m', feM.b, 1, 0)
mul!(feM.r, feM.m, feM.x, -1, 1)
else
_, ch = lsmr!(feM.x, feM.m, feM.b, feM.v, feM.h, feM.hbar, feM.g; atol = tol, btol = tol, maxiter = maxiter)
iter, converged = ch.mvps, ch.isconverged
# lsmr! stops relative to the norm of its right-hand side. When the fixed effects explain
# most of that norm (e.g. a variable with a large mean), this leaves an error that is large
# relative to the residual, so solve again on the residual.
size0 = sizeb = norm(feM.b)
while true
_, ch = lsmr!(feM.x, feM.m, feM.b, feM.v, feM.h, feM.hbar, feM.g; atol = tol, btol = tol, maxiter = maxiter - iter)
iter += ch.mvps
converged = ch.isconverged
mul!(feM.r, feM.m, feM.x, -1, 1)
sizer = norm(feM.r)
(converged && iter < maxiter && sizer < sqrt(tol) * sizeb && sizer > 100 * eps(T) * size0) || break
sizeb = sizer
copyto!(feM.b, feM.r)
fill!(feM.x, zero(T))
end
end
converged || @warn "solve_residuals! did not converge within maxiter LSMR iterations; returned values may be inaccurate." iterations=iter maxiter tol
mul!(feM.r, feM.m, feM.x, -1, 1)
if !(feM.weights isa UnitWeights)
feM.r ./= sqrt.(feM.weights)
end
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16 changes: 16 additions & 0 deletions test/solve.jl
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Original file line number Diff line number Diff line change
@@ -1,3 +1,4 @@
using Random
using LinearAlgebra

p1 = repeat(1:5, inner = 2)
Expand All @@ -21,6 +22,21 @@ r_ols = [-0.2015993617092453, 0.2015993617092464, -0.2015993617092463, 0.2015
@test iterz == 0
@test all(iszero, rz)

@testset "residuals do not depend on the mean of the variable" begin
rng_mean = MersenneTwister(1)
n_mean = 2000
fes_mean = [FixedEffect(rand(rng_mean, 1:100, n_mean)), FixedEffect(rand(rng_mean, 1:100, n_mean))]
x_mean = randn(rng_mean, n_mean)
r0 = solve_residuals!(copy(x_mean), fes_mean; tol = 1e-6)[1]
for m in (1e3, 1e6, 1e9)
r1 = solve_residuals!(x_mean .+ m, fes_mean; tol = 1e-6)[1]
@test norm(r1 - r0) < 2e-3 * norm(r0)
end
# a variable explained by the fixed effects
rfe = solve_residuals!(1e6 .+ fes_mean[1].refs .+ fes_mean[2].refs .* 1.0, fes_mean; tol = 1e-6)[1]
@test norm(rfe) < 1e-6 * sqrt(n_mean)
end

@testset "maxiter semantics" begin
(r0, iter0, conv0) = @test_logs (:warn, r"solve_residuals!") solve_residuals!(deepcopy(x), fes; maxiter = 0)
@test iter0 == 0
Expand Down
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