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"Estimation failed. No covariance matrix to compute" with Box-Cox Utility

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Gabriel Souza
Posts: 1
Joined: 13 Dec 2023, 23:17

"Estimation failed. No covariance matrix to compute" with Box-Cox Utility

Post by Gabriel Souza »

Hi everyone.

A quick introdution:
I work with transport studies and there's this software we use, PTV Visum, which provides a variety of choice models to distribute travel demand along paths stochastically (route choice). First we setup the utility of the routes (for example, B0 * time + B1 * distance + B2 * toll) and then we setup which choice model should be used to calculate routes probabilities.

There's a choice model in the software called "Box-cox" which basically applies a Box-Cox Transformation over the Utility of the route before calculating the probabilities. Please note that we must insert just one theta (Box-Cox parameter) when setting up the process, since the transformation is applied over the utility itself, not over the independent variables one by one (time, distance etc.)

The problem:
I have some data from DCE (unlabeled alternatives, route A vs route B) and I'd like to calibrate a model (coefficients and theta) which would be the same one used by Visum in its choice model (to ensure consistency in this process of obtaining and inserting parameters in the software). I was told I could use Apollo to do that, since the package allows free specification of utilities and probabilities.

Right now I'm facing convergence problems. I believe this is due to the fact that the Box-Cox Transformation don't accept/work with negative numbers and perhaps during the convergence process some utilities are returning negative values. Giving more details, since the utilities for route choice are tipically negative (time, cost and distance all should return negative coefficients) I've already built the model as V = - f(V|theta), so that coefficients would take positive values. But there are also categorical variables in the experiment, like road type (twolane vs. multilane), and "multilane" tipically increases the utility (which means, in my "inverted model", that its coefficient is negative). So I believe that, for some few specific choice tasks in my database, some negative utilities may still appear in the middle of the convergence process.

This is my code:

Code: Select all

apollo_initialise()

### Set core controls
apollo_control = list(
  modelName       = "MNL_SP",
  modelDescr      = "RS-BNDES Route Choice",
  indivID         = "id",
  outputDirectory = "output",
  workInLogs=TRUE
)

### Vector of parameters, including any that are kept fixed in estimation
apollo_beta=c(asc_alt1     = 0,
              asc_alt2     = 0,
              b_dist       = 0.01,
              b_tempo      = 0.01,
              b_custo      = 0.01,
              b_conc       = -0.01,
              b_dupla      = -0.01,
              b_terra      = 0.01,
              b_concdupla  = -0.01,
              bc_theta     = 0.5
            )

### Vector with names (in quotes) of parameters to be kept fixed at their starting value in apollo_beta, use apollo_beta_fixed = c() if none
apollo_fixed = c("asc_alt2", "bc_theta")

apollo_inputs = apollo_validateInputs()

apollo_probabilities=function(apollo_beta, apollo_inputs, functionality="estimate"){
  ### Attach inputs and detach after function exit
  apollo_attach(apollo_beta, apollo_inputs)
  on.exit(apollo_detach(apollo_beta, apollo_inputs))
  
  ### Create list of probabilities P
  P = list()
  
  ### List of utilities: these must use the same names as in mnl_settings, order is irrelevant
  V = list()
  V[["alt1"]]  = -((((asc_alt1  + b_dist  * dv1  + b_tempo * tv1  + b_custo * cv1 + b_conc * dummy.conc1 + b_dupla * dummy.dupla1 + b_terra * dummy.terra1 + b_concdupla * dummy.concdupla1)^bc_theta)-1)/bc_theta)
  V[["alt2"]]  = -((((asc_alt2  + b_dist  * dv2  + b_tempo * tv2  + b_custo * cv2 + b_conc * dummy.conc2 + b_dupla * dummy.dupla2 + b_terra * dummy.terra2 + b_concdupla * dummy.concdupla2)^bc_theta)-1)/bc_theta)

  ### Define settings for MNL model component
  mnl_settings = list(
    alternatives  = c(alt1=0, alt2=1), 
    avail         = 1, 
    choiceVar     = Choice,
    utilities     = V
  )
  
  ### Compute probabilities using MNL model
  P[["model"]] = apollo_mnl(mnl_settings, functionality)
  
  ### Take product across observation for same individual
  P = apollo_panelProd(P, apollo_inputs, functionality)
  
  ### Prepare and return outputs of function
  P = apollo_prepareProb(P, apollo_inputs, functionality)
  return(P)
}

estimate_settings = list(
  bootstrapSE=0
)

model = apollo_estimate(apollo_beta, apollo_fixed, apollo_probabilities, apollo_inputs, estimate_settings)

modelOutput_settings = list(
  printPVal=1
)
apollo_modelOutput(model, modelOutput_settings)
This is the output:

Code: Select all

WARNING: Element bc_theta in 'apollo_fixed' is constrained to a value other than zero or one. This may be intentional. If not, stop this function by pressing the "Escape"
  key and adjust the starting values accordingly. 

  Current process will resume in 5 seconds unless interrupted by the user.....

Preparing user-defined functions.

Testing likelihood function...

Overview of choices for MNL model component :
                                    alt1    alt2
Times available                  7488.00 7488.00
Times chosen                     3507.00 3981.00
Percentage chosen overall          46.83   53.17
Percentage chosen when available   46.83   53.17


Pre-processing likelihood function...

Testing influence of parameters........
Starting main estimation

BGW is using FD derivatives for model Jacobian. (Caller did not provide derivatives.)


Iterates will be written to: 
 output/MNL_SP_iterations.csv    it    nf     F            RELDF    PRELDF    RELDX    MODEL stppar
     0     1 5.623234851e+03
     1     4 5.373310894e+03 4.444e-02 4.312e-02 9.29e-02   G   2.46e+00
     2     7 5.127290474e+03 4.579e-02 4.327e-02 1.13e-01   G   1.27e+01
     3    11 5.051877012e+03 1.471e-02 1.468e-02 2.41e-02   S   1.94e+01
     4    14 5.016548615e+03 6.993e-03 6.989e-03 1.22e-02   S   2.94e+01
     5    18 5.007878231e+03 1.728e-03 1.725e-03 3.25e-03   S   9.36e+01
     6    22 5.005690692e+03 4.368e-04 4.363e-04 9.45e-04   S   2.69e+02
     7    25 5.004556737e+03 2.265e-04 2.264e-04 5.00e-04   S   3.94e+02
     8    28 5.003956862e+03 1.199e-04 1.198e-04 2.39e-04   S   5.67e+02
     9    30 5.003324488e+03 1.264e-04 1.264e-04 2.08e-04   S   4.53e+02
    10    33 5.002920567e+03 8.073e-05 8.073e-05 6.78e-05   S   6.15e+02
    11    35 5.002491791e+03 8.570e-05 8.571e-05 4.06e-05   S   5.98e+02
    12    37 5.001594215e+03 1.794e-04 1.795e-04 4.18e-05   S   9.13e+01
    13    41 4.820028613e+03 3.630e-02 3.649e-02 5.29e-03   S   5.79e-01
    14    43 4.730828338e+03 1.851e-02 1.564e-02 7.40e-03   S   1.08e-01
    15    44 4.702528277e+03 5.982e-03 5.986e-03 5.32e-03   G   1.95e-02
    16    47 4.689024603e+03 2.872e-03 2.889e-03 3.52e-02   G   3.12e-03
    17    49 4.614805183e+03 1.583e-02 1.525e-02 2.40e-01   G   8.64e-05
    18    57 4.611472864e+03 7.221e-04 7.727e-04 1.28e-02   G   8.69e-02
    19    59 4.607199623e+03 9.267e-04 9.231e-04 1.67e-02   S   2.81e-02
    20    61 4.580590442e+03 5.776e-03 5.823e-03 1.09e-01   S   8.41e-03
    21    65 4.565872610e+03 3.213e-03 3.338e-03 8.06e-02   S   1.39e-01
    22    68 4.562392852e+03 7.621e-04 1.003e-03 2.23e-02   G   1.30e-01
    23    70 4.560316377e+03 4.551e-04 4.252e-04 2.66e-02   S   2.05e-02
    24    77 4.560014857e+03 6.612e-05 5.457e-05 1.80e-03   G   2.55e+00
    25    85 4.559997754e+03 3.751e-06 3.095e-06 2.31e-05   G   7.90e+01
    26    88 4.559984315e+03 2.947e-06 2.355e-06 1.07e-05   G   1.23e+02
    27    91 4.559971161e+03 2.885e-06 1.918e-06 4.71e-06   G   1.66e+02
    28    97 4.559969062e+03 4.603e-07 3.575e-07 2.32e-07   G   9.85e+02
    29   100 4.559967228e+03 4.023e-07 2.625e-07 1.04e-07   G   1.36e+03
    30   105 4.559966752e+03 1.043e-07 6.073e-08 1.06e-08   G   5.95e+03
    31   108 4.559966360e+03 8.599e-08 3.872e-08 4.66e-09   G   9.35e+03
    32   112 4.559966182e+03 3.897e-08 1.264e-08 9.77e-10   G   2.87e+04
    33   115 4.559966018e+03 3.596e-08 7.275e-09 4.33e-10   G   4.99e+04
    34   120 4.559965977e+03 9.153e-09 1.051e-09 4.72e-11   G   3.45e+05
    35   123 4.559965944e+03 7.063e-09 5.449e-10 2.27e-11   G   6.66e+05
    36   126 4.559965915e+03 6.369e-09 2.803e-10 1.10e-11   G   1.29e+06
    37   130 4.559965895e+03 4.511e-09 7.192e-11 2.67e-12   G   5.05e+06
    38   138 4.559965893e+03 3.963e-10 1.145e-12 4.09e-14   G   3.17e+08
    39   142 4.559965892e+03 2.531e-10 2.866e-13 1.02e-14   G   1.27e+09
    40   148 4.559965891e+03 7.157e-11 1.793e-14 6.60e-16   G   2.02e+10
    41   156 4.559965891e+03 4.471e-12 2.803e-16 9.92e-18   G   1.30e+12
    42   159 4.559965891e+03 6.106e-12 1.412e-16 4.96e-18   G   2.61e+12

***** Singular convergence *****

Estimated parameters:
               Estimate
asc_alt1    -6.6239e-04
asc_alt2       0.000000
b_dist       -4.288e-05
b_tempo        0.378654
b_custo        0.002289
b_conc         0.055112
b_dupla       -0.123840
b_terra        0.897965
b_concdupla   -0.055922
bc_theta       0.500000

Final LL: -4559.9659

WARNING: Estimation failed. No covariance matrix to compute.

  Current process will resume in 3 seconds unless interrupted by the user...

Calculating log-likelihood at equal shares (LL(0)) for applicable models...
Calculating log-likelihood at observed shares from estimation data (LL(c)) for applicable models...
Calculating LL of each model component...
Calculating other model fit measures

Your model was estimated using the BGW algorithm. Please acknowledge this by citing Bunch et al. (1993) - DOI 10.1145/151271.151279

Model run by gabriel.souza using Apollo 0.3.1 on R 4.2.1 for Windows.
Please acknowledge the use of Apollo by citing Hess & Palma (2019)
  DOI 10.1016/j.jocm.2019.100170
  www.ApolloChoiceModelling.com

Model name                                  : MNL_SP
Model description                           : RS-BNDES Route Choice
Model run at                                : 2023-12-14 19:54:55
Estimation method                           : bgw
Model diagnosis                             : Singular convergence
Number of individuals                       : 1248
Number of rows in database                  : 7488
Number of modelled outcomes                 : 7488

Number of cores used                        :  1 
Model without mixing

LL(start)                                   : -5623.23
LL at equal shares, LL(0)                   : -5190.29
LL at observed shares, LL(C)                : -5175.27
LL(final)                                   : -4559.97
Rho-squared vs equal shares                  :  0.1214 
Adj.Rho-squared vs equal shares              :  0.1199 
Rho-squared vs observed shares               :  0.1189 
Adj.Rho-squared vs observed shares           :  0.1175 
AIC                                         :  9135.93 
BIC                                         :  9191.3 

Estimated parameters                        : 8
Time taken (hh:mm:ss)                       :  00:00:11.26 
     pre-estimation                         :  00:00:5.54 
     estimation                             :  00:00:5.67 
     post-estimation                        :  00:00:0.04 
Iterations                                  :  43 (Singular convergence) 

Unconstrained optimisation.

Estimates:
               Estimate        s.e.   t.rat.(0)  p(1-sided)    Rob.s.e. Rob.t.rat.(0)  p(1-sided)
asc_alt1    -6.6239e-04          NA          NA          NA          NA            NA          NA
asc_alt2       0.000000          NA          NA          NA          NA            NA          NA
b_dist       -4.288e-05          NA          NA          NA          NA            NA          NA
b_tempo        0.378654          NA          NA          NA          NA            NA          NA
b_custo        0.002289          NA          NA          NA          NA            NA          NA
b_conc         0.055112          NA          NA          NA          NA            NA          NA
b_dupla       -0.123840          NA          NA          NA          NA            NA          NA
b_terra        0.897965          NA          NA          NA          NA            NA          NA
b_concdupla   -0.055922          NA          NA          NA          NA            NA          NA
bc_theta       0.500000          NA          NA          NA          NA            NA          NA
As you can see, it says that the estimation failed and although it returns coefficient values, no standard error/p-value is calculated.
The most simple thing I could think about to overcome this problem was to insert a "maximum condition" over the utility "pre-transformed" (if it's <0, returns 0). I tried using max() from base R inside the V specification in Apollo but it didn't work.

And just be clear, this "possible negative value in utility" is just a suspicion. I'm not sure that's the cause of the error.

I appreciate very much if anyone could help me on this one.
stephanehess
Site Admin
Posts: 998
Joined: 24 Apr 2020, 16:29

Re: "Estimation failed. No covariance matrix to compute" with Box-Cox Utility

Post by stephanehess »

Gabriel

apologies for the slow reply, David and I have been away.

It doesn't really make sense to me to apply a box-cox transform to the entire utility. The normal thing would be to apply it to the explanatory variables prior to multiplication by the associated beta. We would typically expect lambda<1 and as you correctly state, utilities tend to be negative, so the above would never really work

Stephane
--------------------------------
Stephane Hess
www.stephanehess.me.uk
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