mlogit.hpp

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#pragma once

#include "glm.hpp"
#include "utils.hpp"

namespace target {

  class MLogit {
  private:
    arma::mat _z1;  // alternative-specific with constant coef.
    arma::mat _z2;  // alternative-specific with varying c19oef.
    arma::mat _x;   // individual specific covariates
    arma::uvec _id_idx;  // Index of start of each cluster (choice
                         // observations for each individual is a 'cluster')
    arma::uvec _alt;     // Vector of alternatives
    arma::uvec _choice;  // alternative-specific with constant coef.
    // Vector of unique alternatives (base-ref: 0)
    arma::uvec alt_idx;
    arma::vec _weights;

    // Parameters
    arma::vec theta_z1;
    arma::mat theta_z2;
    arma::mat theta_x;
    arma::vec theta;
    arma::uvec idx_z1;  // Index of the parameters belonging to 'z1'
    arma::uvec idx_z2;  // Index of the parameters belonging to 'z2'
    arma::uvec idx_x;   // Index of the parameters belonging to 'x'


  public:
    unsigned n;            // Number of observations in long format
                           // (individuals and choices)
    unsigned ncl;          // Number of individuals
    unsigned J;            // Number of alternatives
    unsigned basealt = 0;  // Base alternative
    arma::vec lp;
    arma::mat zx;
    arma::vec logpr;
    unsigned p_z1;  // Number of columns in z1
    unsigned p_z2;  // Number of columns in z2
    unsigned p_x;   // Number of columns in x

    MLogit() {}  // Empty constructor
    MLogit(const arma::uvec &choice,
       const arma::uvec &alt,
       const arma::uvec &id_idx,
       const arma::mat &z1,
       const arma::mat &z2,
       const arma::mat &x,
       unsigned nalt = 0,
       arma::vec weights = arma::vec());

    arma::mat hessian(bool update = false);
    arma::mat score(bool update = false, bool indiv = true);
    double loglik();
    void updateZX();
    void updateRef(unsigned basealt);
    void updatePar(arma::vec theta);
    arma::vec getPar() { return theta; }
    void updateProb();
    void updateProb(arma::vec theta) {
      updatePar(theta);
      updateProb();
    }

    const arma::vec*  Weights() { return &_weights; }
    double            Weights(unsigned i) { return _weights(i); }

    const arma::uvec* Choice() { return &_choice; }
    unsigned          Choice(unsigned i) { return _choice(i); }

    const arma::uvec* Alt() { return &_alt; }
    unsigned          Alt(unsigned i) { return _alt(i); }

    const arma::mat* X() { return &_x; }
    arma::rowvec     X(unsigned row) { return _x.row(row); }

    const arma::mat* Z1() { return &_z1; }
    arma::rowvec     Z1(unsigned row) { return _z1.row(row); }

    const arma::mat* Z2() { return &_z2; }
    arma::rowvec     Z2(unsigned row) { return _z2.row(row); }

    const arma::uvec* cluster() { return &_id_idx; }
    unsigned          cluster(unsigned index) { return _id_idx(index); }

    void updateData(const arma::uvec &choice,
            const arma::uvec &alt,
            const arma::uvec &id_idx,
            const arma::mat &z1,
            const arma::mat &z2,
            const arma::mat &x,
            const arma::vec &weights) {
      _choice = choice;
      _z1 = z1;
      _z2 = z2;
      _x = x;
      _id_idx = id_idx;
      _alt = alt;
      _weights = weights;
      p_z1 = z1.n_cols;
      p_z2 = z2.n_cols;
      p_x = x.n_cols;
    }
  };  // class MLogit

}  // namespace target