From: Bob Leary <*bleary*>

Date: Thu, 11 Dec 2008 10:21:55 -0500

Yaning -

(my apologies for citing your work as 'X Wang' in an earlier post) . =

Thanks for the cogent explanation - indeed, the basic concept of the =

Laplacian approximation is to compute the numerical integral of an =

arbitrary joint likelihood function by replacing it with a 'nearby' =

surrogate Gaussian function and then using the analytic integral of the =

Gaussian. 'Nearby' usually means that the approximating Gaussian =

locally matches the underlying function in terms of function value at =

the peak (or as in the case of FO, approximate function value at the =

peakl) and second derivative at the peak or least some approximation to =

the second derivative (the first derivatives necessarily also match =

because they are zero at the peak). This basic Laplacian idea of =

substituting a Gaussian function for the original integrand and then =

integrating the Gaussian is common to all NONMEM FOCE/FOCEI/FO/Laplace =

variants, regardless of

whether the residual model has an eta-dependency. Indeed, the basic =

Laplacian approach generalizes to models with

discrete or categorical responses where the residual error model is =

replaced by a fairly arbitrary user defined likelihood

function. As your JPP paper shows, the variants simply differ in the =

details of how they approximate the peak value and second derivatives of =

the Gaussian surrogate.

Robert H. Leary, PhD

Principal Software Engineer

Pharsight Corp.

5520 Dillard Dr., Suite 210

Cary, NC 27511

Phone/Voice Mail: (919) 852-4625, Fax: (919) 859-6871

This email message (including any attachments) is for the sole use of =

the intended recipient and may contain confidential and proprietary =

information. Any disclosure or distribution to third parties that is =

not specifically authorized by the sender is prohibited. If you are not =

the intended recipient, please contact the sender by reply email and =

destroy all copies of the original message.

-----Original Message-----

From: Wang, Yaning [mailto:yaning.wang

Sent: Wednesday, December 10, 2008 20:45 PM

To: Matt Hutmacher; Bob Leary; ayyappa.5.chaturvedula

owner-nmusers

Subject: RE: [NMusers] OFV higher with FOCEI than FO

Matt:

That's not true. Those two references are discussing when the linearized =

structure model can also be derived from direct Laplacian approximation =

of the marginal likelihood. When there is an interaction between =

residual and between subject variability (or residual error model =

contain subject-specific random effect), linearizing the structure model =

around eta_hat cannot be derived from the Laplacian approximation any =

more. But in NONMEM, FOCE with interaction (when residual error model =

contain subject-specific random effect) is still derived from Laplacian =

approximation. In other words, NONMEM does not linearize the structure =

model for FOCE with interaction case. I discussed this in details in my =

paper (1). Adding the following splus code to the splus code in my paper =

and using the simple numerical example, you can see how NONMEM is =

calculating the objective function for FOCE with interaction. These =

things are further visualized in my talk recently put on ACCP webpage ( =

http://www.accp1.org/pharmacometrics/PopPKCourse.html).

Yaning

#reproduce NONMEM result using my equation 28 which is further =

approximation of Laplacian method

sum<-0

for (i in 1:10) {

data1<-data[data$ID==i,]

cov<-data1$fp%*%t(data1$fp)*omega+diag(data1$f**2)*eps+2*data1$fp%*%t(dat=

a1$fp)*omega*eps

cov1<-diag(data1$f**2)*eps

ginv<-solve(cov1)

sec<-t(data1$DV-data1$IPRE)%*%ginv%*%(data1$DV-data1$IPRE)+data1$ETA1[1]*=

*2/omega

frs<-determinant(cov, logarithm=T)$modulus[[1]]

sum1<-sec+frs

sum<-sum+sum1

}

sum#39.45756 same as NONMEM OFV 39.458

1. Yaning Wang. Derivation of various NONMEM estimation methods. Journal =

of Pharmacokinetics and pharmacodynamics. 34:575-93 (2007)

Yaning Wang, Ph.D.

Team Leader, Pharmacometrics

Office of Clinical Pharmacology

Office of Translational Science

Center for Drug Evaluation and Research

U.S. Food and Drug Administration

Phone: 301-796-1624

Email: yaning.wang

"The contents of this message are mine personally and do not necessarily =

reflect any position of the Government or the Food and Drug =

Administration."

_____

From: owner-nmusers

On Behalf Of Matt Hutmacher

Sent: Wednesday, December 10, 2008 2:04 PM

To: 'Bob Leary'; ayyappa.5.chaturvedula

owner-nmusers

Subject: RE: [NMusers] OFV higher with FOCEI than FO

Hi Bob,

I would just add one point of clarification. My understanding is that =

the FOCE approximate is a Laplace-based approximation (related to it) =

only if the within subject residual error model does not contain any =

subject-specific random effects.

Wolfinger R (1993). Laplace's approximation for nonlinear mixed models. =

Biometrika 80, 791-795.

Vonesh ER, Chinchilli VM (1997). Linear and nonlinear models for the =

analysis of repeated measurements. Marcel Dekker.

Matt

From: owner-nmusers

On Behalf Of Bob Leary

Sent: Wednesday, December 10, 2008 12:11 PM

To: ayyappa.5.chaturvedula

nmusers

Subject: RE: [NMusers] OFV higher with FOCEI than FO

As shown by X. Wang, FO, FOCE and LAPLACE form a hierarchy of =

approximations.

Both the FO and FOCE methods are based on the same underlying Laplacian =

approximation to the

integral of the joint likelihood function of the random effects (eta's). =

The basic Laplace approximation requires knowledge of

the value of the joint likelihood function at its peak, and the second =

derivatives at the

eta values at which the peak is reached.

The FOCE method adds 1 additional approximation to get the

Hessian matrix of second derivatives at the peak of the joint likelihood =

function

from first derivatives, but accurately

determines the position of the peak (the empirical Bayes estimates)

in random effects (eta) space

and the function value at the peak (this determination of the EBE's is =

what the 'conditional step'

is all about and is computationally costly.)

Although the underlying Laplacian approximation is based on the local =

behavior of the

joint log likelihood function in the neighborhood of its peak, FO does =

not investigate the behavior

of the joint likelihood function near its peak at all (which is =

basically why FO estimates can be arbitrarily

poor). Instead it guestimates the value at the peak by extrapolating =

from eta=0, using a single Newton step

based on approximate first and second derivatives at eta=0. It also =

simply assigns the FOCE

approximate values of the

second derivatives at eta=0 to the values at the peak in order to =

evaluate the Laplacian approximation.

These additional approximations layered on top of the basic Laplacian =

and FOCE approximations

by FO are quite dubious for significantly nonlinear model functions, and =

often result in very poor quality

parameter estimates compared to FOCE and Laplace.

Strictly speaking. FOCE and FO objective values cannot be compared in =

any consistently meaningful sense.

But loosely speaking, since both FO and FOCE share a common base =

Laplacian approximation, but FO layers

on additional approximations on top of FOCE, the difference in FO vs =

FOCE objective values reflects the

effects of the additional FO approximations. Large differences may =

suggest that the additional FO approximations

have large effects, and make the FO estimates even more suspect relative =

to FOCE.

Robert H. Leary, PhD

Principal Software Engineer

Pharsight Corp.

5520 Dillard Dr., Suite 210

Cary, NC 27511

Phone/Voice Mail: (919) 852-4625, Fax: (919) 859-6871

This email message (including any attachments) is for the sole use of =

the intended recipient and may contain confidential and proprietary =

information. Any disclosure or distribution to third parties that is =

not specifically authorized by the sender is prohibited. If you are not =

the intended recipient, please contact the sender by reply email and =

destroy all copies of the original message.

-----Original Message-----

From: owner-nmusers

[mailto:owner-nmusers

ayyappa.5.chaturvedula

Sent: Wednesday, December 10, 2008 9:40 AM

To: owner-nmusers

Subject: [NMusers] OFV higher with FOCEI than FO

Dear All,

I am analyzing a data set pooled from 4 clinical studies with rich =

sampling. When I fit a 2 comp oral absorption model with lag time using =

FO, I got successful minimization with COV step, but minimization was =

not successful when I used FO parameter estimates as initial estimates =

for FOCE run. When I used FOCE with INTER minimization was successful =

with COV step but the OFV is much higher (~25000 vs 20000) with FOCEI =

estimation than FO. The parameter estimates make more sense with FOCEI =

than FO. My questions are,

Can we get something like this or I am missing something here?

Can we compare OFV between different estimation methods (my =

understanding is no and OFV in case of FO does not make a lot of sense)? =

Regards,

Ayyappa Chaturvedula

GlaxoSmithKline

1500 Littleton Road,

Parsippany, NJ 07054

Ph:9738892200

Received on Thu Dec 11 2008 - 10:21:55 EST

Date: Thu, 11 Dec 2008 10:21:55 -0500

Yaning -

(my apologies for citing your work as 'X Wang' in an earlier post) . =

Thanks for the cogent explanation - indeed, the basic concept of the =

Laplacian approximation is to compute the numerical integral of an =

arbitrary joint likelihood function by replacing it with a 'nearby' =

surrogate Gaussian function and then using the analytic integral of the =

Gaussian. 'Nearby' usually means that the approximating Gaussian =

locally matches the underlying function in terms of function value at =

the peak (or as in the case of FO, approximate function value at the =

peakl) and second derivative at the peak or least some approximation to =

the second derivative (the first derivatives necessarily also match =

because they are zero at the peak). This basic Laplacian idea of =

substituting a Gaussian function for the original integrand and then =

integrating the Gaussian is common to all NONMEM FOCE/FOCEI/FO/Laplace =

variants, regardless of

whether the residual model has an eta-dependency. Indeed, the basic =

Laplacian approach generalizes to models with

discrete or categorical responses where the residual error model is =

replaced by a fairly arbitrary user defined likelihood

function. As your JPP paper shows, the variants simply differ in the =

details of how they approximate the peak value and second derivatives of =

the Gaussian surrogate.

Robert H. Leary, PhD

Principal Software Engineer

Pharsight Corp.

5520 Dillard Dr., Suite 210

Cary, NC 27511

Phone/Voice Mail: (919) 852-4625, Fax: (919) 859-6871

This email message (including any attachments) is for the sole use of =

the intended recipient and may contain confidential and proprietary =

information. Any disclosure or distribution to third parties that is =

not specifically authorized by the sender is prohibited. If you are not =

the intended recipient, please contact the sender by reply email and =

destroy all copies of the original message.

-----Original Message-----

From: Wang, Yaning [mailto:yaning.wang

Sent: Wednesday, December 10, 2008 20:45 PM

To: Matt Hutmacher; Bob Leary; ayyappa.5.chaturvedula

owner-nmusers

Subject: RE: [NMusers] OFV higher with FOCEI than FO

Matt:

That's not true. Those two references are discussing when the linearized =

structure model can also be derived from direct Laplacian approximation =

of the marginal likelihood. When there is an interaction between =

residual and between subject variability (or residual error model =

contain subject-specific random effect), linearizing the structure model =

around eta_hat cannot be derived from the Laplacian approximation any =

more. But in NONMEM, FOCE with interaction (when residual error model =

contain subject-specific random effect) is still derived from Laplacian =

approximation. In other words, NONMEM does not linearize the structure =

model for FOCE with interaction case. I discussed this in details in my =

paper (1). Adding the following splus code to the splus code in my paper =

and using the simple numerical example, you can see how NONMEM is =

calculating the objective function for FOCE with interaction. These =

things are further visualized in my talk recently put on ACCP webpage ( =

http://www.accp1.org/pharmacometrics/PopPKCourse.html).

Yaning

#reproduce NONMEM result using my equation 28 which is further =

approximation of Laplacian method

sum<-0

for (i in 1:10) {

data1<-data[data$ID==i,]

cov<-data1$fp%*%t(data1$fp)*omega+diag(data1$f**2)*eps+2*data1$fp%*%t(dat=

a1$fp)*omega*eps

cov1<-diag(data1$f**2)*eps

ginv<-solve(cov1)

sec<-t(data1$DV-data1$IPRE)%*%ginv%*%(data1$DV-data1$IPRE)+data1$ETA1[1]*=

*2/omega

frs<-determinant(cov, logarithm=T)$modulus[[1]]

sum1<-sec+frs

sum<-sum+sum1

}

sum#39.45756 same as NONMEM OFV 39.458

1. Yaning Wang. Derivation of various NONMEM estimation methods. Journal =

of Pharmacokinetics and pharmacodynamics. 34:575-93 (2007)

Yaning Wang, Ph.D.

Team Leader, Pharmacometrics

Office of Clinical Pharmacology

Office of Translational Science

Center for Drug Evaluation and Research

U.S. Food and Drug Administration

Phone: 301-796-1624

Email: yaning.wang

"The contents of this message are mine personally and do not necessarily =

reflect any position of the Government or the Food and Drug =

Administration."

_____

From: owner-nmusers

On Behalf Of Matt Hutmacher

Sent: Wednesday, December 10, 2008 2:04 PM

To: 'Bob Leary'; ayyappa.5.chaturvedula

owner-nmusers

Subject: RE: [NMusers] OFV higher with FOCEI than FO

Hi Bob,

I would just add one point of clarification. My understanding is that =

the FOCE approximate is a Laplace-based approximation (related to it) =

only if the within subject residual error model does not contain any =

subject-specific random effects.

Wolfinger R (1993). Laplace's approximation for nonlinear mixed models. =

Biometrika 80, 791-795.

Vonesh ER, Chinchilli VM (1997). Linear and nonlinear models for the =

analysis of repeated measurements. Marcel Dekker.

Matt

From: owner-nmusers

On Behalf Of Bob Leary

Sent: Wednesday, December 10, 2008 12:11 PM

To: ayyappa.5.chaturvedula

nmusers

Subject: RE: [NMusers] OFV higher with FOCEI than FO

As shown by X. Wang, FO, FOCE and LAPLACE form a hierarchy of =

approximations.

Both the FO and FOCE methods are based on the same underlying Laplacian =

approximation to the

integral of the joint likelihood function of the random effects (eta's). =

The basic Laplace approximation requires knowledge of

the value of the joint likelihood function at its peak, and the second =

derivatives at the

eta values at which the peak is reached.

The FOCE method adds 1 additional approximation to get the

Hessian matrix of second derivatives at the peak of the joint likelihood =

function

from first derivatives, but accurately

determines the position of the peak (the empirical Bayes estimates)

in random effects (eta) space

and the function value at the peak (this determination of the EBE's is =

what the 'conditional step'

is all about and is computationally costly.)

Although the underlying Laplacian approximation is based on the local =

behavior of the

joint log likelihood function in the neighborhood of its peak, FO does =

not investigate the behavior

of the joint likelihood function near its peak at all (which is =

basically why FO estimates can be arbitrarily

poor). Instead it guestimates the value at the peak by extrapolating =

from eta=0, using a single Newton step

based on approximate first and second derivatives at eta=0. It also =

simply assigns the FOCE

approximate values of the

second derivatives at eta=0 to the values at the peak in order to =

evaluate the Laplacian approximation.

These additional approximations layered on top of the basic Laplacian =

and FOCE approximations

by FO are quite dubious for significantly nonlinear model functions, and =

often result in very poor quality

parameter estimates compared to FOCE and Laplace.

Strictly speaking. FOCE and FO objective values cannot be compared in =

any consistently meaningful sense.

But loosely speaking, since both FO and FOCE share a common base =

Laplacian approximation, but FO layers

on additional approximations on top of FOCE, the difference in FO vs =

FOCE objective values reflects the

effects of the additional FO approximations. Large differences may =

suggest that the additional FO approximations

have large effects, and make the FO estimates even more suspect relative =

to FOCE.

Robert H. Leary, PhD

Principal Software Engineer

Pharsight Corp.

5520 Dillard Dr., Suite 210

Cary, NC 27511

Phone/Voice Mail: (919) 852-4625, Fax: (919) 859-6871

This email message (including any attachments) is for the sole use of =

the intended recipient and may contain confidential and proprietary =

information. Any disclosure or distribution to third parties that is =

not specifically authorized by the sender is prohibited. If you are not =

the intended recipient, please contact the sender by reply email and =

destroy all copies of the original message.

-----Original Message-----

From: owner-nmusers

[mailto:owner-nmusers

ayyappa.5.chaturvedula

Sent: Wednesday, December 10, 2008 9:40 AM

To: owner-nmusers

Subject: [NMusers] OFV higher with FOCEI than FO

Dear All,

I am analyzing a data set pooled from 4 clinical studies with rich =

sampling. When I fit a 2 comp oral absorption model with lag time using =

FO, I got successful minimization with COV step, but minimization was =

not successful when I used FO parameter estimates as initial estimates =

for FOCE run. When I used FOCE with INTER minimization was successful =

with COV step but the OFV is much higher (~25000 vs 20000) with FOCEI =

estimation than FO. The parameter estimates make more sense with FOCEI =

than FO. My questions are,

Can we get something like this or I am missing something here?

Can we compare OFV between different estimation methods (my =

understanding is no and OFV in case of FO does not make a lot of sense)? =

Regards,

Ayyappa Chaturvedula

GlaxoSmithKline

1500 Littleton Road,

Parsippany, NJ 07054

Ph:9738892200

Received on Thu Dec 11 2008 - 10:21:55 EST