From a9ba38b005c52ae7b27fb601bfdec358154c7230 Mon Sep 17 00:00:00 2001
From: Frank Weber <55132727+fweber144@users.noreply.github.com>
Date: Mon, 24 Jan 2022 15:31:46 +0100
Subject: [PATCH] Fix issue #212 (#267)

* Minor cleaning (the use of `[,]` makes things just more complicated as

dimensions could be dropped accidentally).

* Fix issue #212.
---
 R/cv_varsel.R | 7 ++++++-
 1 file changed, 6 insertions(+), 1 deletion(-)

diff --git a/R/cv_varsel.R b/R/cv_varsel.R
index 95359b15d..c21a2ecd1 100644
--- a/R/cv_varsel.R
+++ b/R/cv_varsel.R
@@ -404,7 +404,12 @@ loo_varsel <- function(refmodel, method, nterms_max, ndraws,
                   r_eff = rep(1, ncol(log_lik_sub)))
       )
       lw_sub <- suppressWarnings(loo::weights.importance_sampling(sub_psisloo))
-      loo_sub[[k]][inds] <- apply(log_lik_sub[,] + lw_sub[,], 2, log_sum_exp)
+      # Take into account that clustered draws usually have different weights:
+      lw_sub <- lw_sub + log(p_pred$weights)
+      # This re-weighting requires a re-normalization (as.array() is applied to
+      # have stricter consistency checks, see `?sweep`):
+      lw_sub <- sweep(lw_sub, 2, as.array(apply(lw_sub, 2, log_sum_exp)))
+      loo_sub[[k]][inds] <- apply(log_lik_sub + lw_sub, 2, log_sum_exp)
       for (i in seq_along(inds)) {
         mu_sub[[k]][inds[i]] <- mu_k[i, ] %*% exp(lw_sub[, i])
       }