文章基本信息

标题：TMB: Automatic Differentiation and Laplace Approximation
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作者：Kasper Kristensen ; Anders Nielsen ; Casper W. Berg 等
期刊名称：Journal of Statistical Software
印刷版ISSN：1548-7660
电子版ISSN：1548-7660
出版年度：2016
卷号：70
期号：1
页码：1-21
语种：English
出版社：University of California, Los Angeles
摘要：TMB is an open source R package that enables quick implementation of complex nonlinear random effects (latent variable) models in a manner similar to the established AD Model Builder package (ADMB, http://admb-project.org/; Fournier et al. 2011). In addition, it offers easy access to parallel computations. The user defines the joint likelihood for the data and the random effects as a C++ template function, while all the other operations are done in R; e.g., reading in the data. The package evaluates and maximizes the Laplace approximation of the marginal likelihood where the random effects are automatically integrated out. This approximation, and its derivatives, are obtained using automatic differentiation (up to order three) of the joint likelihood. The computations are designed to be fast for problems with many random effects (≈ 106 ) and parameters (≈ 103 ). Computation times using ADMB and TMB are compared on a suite of examples ranging from simple models to large spatial models where the random effects are a Gaussian random field. Speedups ranging from 1.5 to about 100 are obtained with increasing gains for large problems. The package and examples are available at http://tmb-project.org/.
关键词：automatic differentiation;AD;random effects;latent variables;C++ templates;R