Multistart Penalized Estimation • plavaan

library(plavaan)
library(lavaan)
#> This is lavaan 0.7-2
#> lavaan is FREE software! Please report any bugs.
data(PoliticalDemocracy)

Why multistart?

Penalized objectives such as l0a and alf are non-convex near zero. When combined with a generic optimizer like nlminb(), the risk of settling in a local optimum is real. Running the optimization from multiple starting values helps avoid this problem: if different starts converge to the same solution, you can be more confident it is (locally) optimal; if they diverge, the multistart wrapper selects the best among them.

Single-start baseline

Start with the longitudinal invariance example from [penalized_est()]. We fit a two-wave CFA and penalize differences in loadings and intercepts across time:

model <- "
  dem60 =~ y1 + y2 + y3 + y4
  dem65 =~ y5 + y6 + y7 + y8
  dem60 ~~ dem65
  dem60 ~~ 1 * dem60
  dem65 ~~ NA * dem65
  dem60 ~ 0
  dem65 ~ NA * 1
  y1 ~~ y5
  y2 ~~ y6
  y3 ~~ y7
  y4 ~~ y8
"

fit_un <- cfa(model, data = PoliticalDemocracy, std.lv = TRUE,
              meanstructure = TRUE, do.fit = FALSE)

pt <- parTable(fit_un)
load_60 <- pt$free[pt$op == "=~" & pt$lhs == "dem60"]
load_65 <- pt$free[pt$op == "=~" & pt$lhs == "dem65"]
int_60  <- pt$free[pt$op == "~1" & pt$lhs %in% c("y1", "y2", "y3", "y4")]
int_65  <- pt$free[pt$op == "~1" & pt$lhs %in% c("y5", "y6", "y7", "y8")]

fit_single <- penalized_est(
    x = fit_un,
    w = 0.03,
    pen_diff_id = list(
        loadings   = rbind(load_60, load_65),
        intercepts = rbind(int_60, int_65)
    ),
    pen_fn = "l0a"
)
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.

fit_single@optim$fx
#> [1] 0.2100911

Multistart with random jittering

penalized_est_multistart() wraps penalized_est() and tries several starting vectors. The first start is always lavaan’s default (unperturbed), so multistart can never do worse than the single-start baseline:

set.seed(3821)

fit_multi <- penalized_est_multistart(
    x = fit_un,
    w = 0.03,
    pen_diff_id = list(
        loadings   = rbind(load_60, load_65),
        intercepts = rbind(int_60, int_65)
    ),
    pen_fn = "l0a",
    n_starts = 10,
    verbose = TRUE,
    eps = .0001
)
#> Start 1 / 10...
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#>   Start 1: converged, objective = 0.279207
#> Start 2 / 10...
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#>   Start 2: converged, objective = 0.279207
#> Start 3 / 10...
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#>   Start 3: converged, objective = 0.279207
#> Start 4 / 10...
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#>   Start 4: converged, objective = 0.279207
#> Start 5 / 10...
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#>   Start 5: converged, objective = 0.279207
#> Start 6 / 10...
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#>   Start 6: converged, objective = 0.279207
#> Start 7 / 10...
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#>   Start 7: converged, objective = 0.279207
#> Start 8 / 10...
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#>   Start 8: converged, objective = 0.279207
#> Start 9 / 10...
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#>   Start 9: converged, objective = 0.279207
#> Start 10 / 10...
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#>   Start 10: converged, objective = 0.279207

# Inspect the spread of objective values across starts
attr(fit_multi, "multistart")
#>    start_id objective converged
#> 2         2 0.2792071      TRUE
#> 3         3 0.2792071      TRUE
#> 7         7 0.2792071      TRUE
#> 8         8 0.2792071      TRUE
#> 5         5 0.2792071      TRUE
#> 4         4 0.2792071      TRUE
#> 6         6 0.2792071      TRUE
#> 10       10 0.2792071      TRUE
#> 1         1 0.2792071      TRUE
#> 9         9 0.2792071      TRUE

The multistart attribute is a data frame with one row per start, showing the final penalized objective (objective) and whether it converged. Rows are sorted by ascending objective.

Comparing local solutions

When starts lead to different parameter estimates, it can be useful to inspect all solutions:

set.seed(3821)

fit_all <- penalized_est_multistart(
    x = fit_un,
    w = 0.03,
    pen_diff_id = list(
        loadings   = rbind(load_60, load_65),
        intercepts = rbind(int_60, int_65)
    ),
    pen_fn = "l0a",
    n_starts = 5,
    keep_all = TRUE
)
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.

# Extract loadings from the top-3 solutions for comparison
all_fits <- attr(fit_all, "all_fits")
ms_table <- attr(fit_all, "multistart")[order(attr(fit_all, "multistart")$objective), ]

loadings_top3 <- lapply(head(all_fits[ms_table$start_id[1:3]], 3), function(f) {
    coefs <- coef(f)[grep("^dem60=~", names(coef(f)))]
    round(coefs, 4)
})
names(loadings_top3) <- paste0("Start ", ms_table$start_id[1:3])
loadings_top3
#> $`Start 1`
#> dem60=~y1 dem60=~y2 dem60=~y3 dem60=~y4 
#>    2.0980    2.8300    2.5609    2.9006 
#> 
#> $`Start 2`
#> dem60=~y1 dem60=~y2 dem60=~y3 dem60=~y4 
#>    2.0980    2.8300    2.5609    2.9006 
#> 
#> $`Start 5`
#> dem60=~y1 dem60=~y2 dem60=~y3 dem60=~y4 
#>    2.0981    2.8300    2.5609    2.9006

Using custom starting values

Instead of random jittering, you can supply your own starting vectors via starts:

base <- lavaan::lav_export_estimation(fit_un)$starting_values
my_starts <- rbind(
    base,                              # unperturbed
    base + runif(length(base), -0.1, 0.1)  # perturbed
)

fit_custom <- penalized_est_multistart(
    x = fit_un,
    w = 0.03,
    pen_diff_id = list(
        loadings   = rbind(load_60, load_65),
        intercepts = rbind(int_60, int_65)
    ),
    starts = my_starts
)
#> Custom starting values provided (2 starts). Ignoring n_starts.
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.

attr(fit_custom, "multistart")
#>   start_id objective converged
#> 1        1 0.2100911      TRUE
#> 2        2 0.2100911      TRUE

Reproducibility

The function does not call set.seed() internally. Set your own seed before calling for reproducibility:

set.seed(7293)
fit_repro <- penalized_est_multistart(
    x = fit_un, w = 0.03,
    pen_diff_id = list(loadings = rbind(load_60, load_65)),
    n_starts = 5
)
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.
#> pen_gr is ignored when pen_fn is 'l0a'; using the built-in gradient function.

Parallel execution

Multistart runs sequentially for simplicity. For parallel execution, call penalized_est(start = ...) directly with your preferred backend (future.apply, parallel, etc.):

library(future.apply)
plan(multicore)

# Note: random_start() is an internal helper without API stability guarantees.
starts <- plavaan:::random_start(fit_un, n = 10)[-1, , drop = FALSE]  # skip base
fits <- future_lapply(seq_len(nrow(starts)), function(i) {
    penalized_est(
        x = fit_un, w = 0.03,
        pen_diff_id = list(loadings = rbind(load_60, load_65)),
        start = starts[i, ]
    )
})