def posterior_to_xarray(self):
"""Convert the posterior to an xarray dataset."""
var_names = get_default_varnames(self.trace.varnames,
include_transformed=False)
data = {}
data_warmup = {}
for var_name in var_names:
if self.warmup_trace:
data_warmup[var_name] = np.array(
self.warmup_trace.get_values(var_name,
combine=False,
squeeze=False))
if self.posterior_trace:
data[var_name] = np.array(
self.posterior_trace.get_values(var_name,
combine=False,
squeeze=False))
return (
dict_to_dataset(
data,
library=pymc,
coords=self.coords,
dims=self.dims,
attrs=self.attrs,
),
dict_to_dataset(
data_warmup,
library=pymc,
coords=self.coords,
dims=self.dims,
attrs=self.attrs,
),
)
def log_likelihood_to_xarray(self):
"""Extract log likelihood and log_p data from PyMC trace."""
if self.predictions or not self.log_likelihood:
return None
data_warmup = {}
data = {}
warn_msg = ("Could not compute log_likelihood, it will be omitted. "
"Check your model object or set log_likelihood=False")
if self.posterior_trace:
try:
data = self._extract_log_likelihood(self.posterior_trace)
except TypeError:
warnings.warn(warn_msg)
if self.warmup_trace:
try:
data_warmup = self._extract_log_likelihood(self.warmup_trace)
except TypeError:
warnings.warn(warn_msg)
return (
dict_to_dataset(
data,
library=pymc,
dims=self.dims,
coords=self.coords,
skip_event_dims=True,
),
dict_to_dataset(
data_warmup,
library=pymc,
dims=self.dims,
coords=self.coords,
skip_event_dims=True,
),
)
def priors_to_xarray(self):
"""Convert prior samples (and if possible prior predictive too) to xarray."""
if self.prior is None:
return {"prior": None, "prior_predictive": None}
if self.observations is not None:
prior_predictive_vars = list(self.observations.keys())
prior_vars = [
key for key in self.prior.keys()
if key not in prior_predictive_vars
]
else:
prior_vars = list(self.prior.keys())
prior_predictive_vars = None
priors_dict = {}
for group, var_names in zip(("prior", "prior_predictive"),
(prior_vars, prior_predictive_vars)):
priors_dict[group] = (
None if var_names is None else dict_to_dataset(
{k: np.expand_dims(self.prior[k], 0)
for k in var_names},
library=pymc,
coords=self.coords,
dims=self.dims,
))
return priors_dict
def observed_data_to_xarray(self):
"""Convert observed data to xarray."""
if self.predictions:
return None
return dict_to_dataset(
self.observations,
library=pymc,
coords=self.coords,
dims=self.dims,
default_dims=[],
)
def warmup_sample_stats(self):
info = self.raw.warmup_sampling_info
sample_stats = {
"lp": info["potential_energy"],
"acceptance_probability": info["acceptance_probability"],
"diverging": info["is_divergent"],
"energy": info["energy"],
"step_size": info["step_size"],
"num_integration_steps": info["num_integration_steps"],
}
return dict_to_dataset(data=sample_stats, library=mcx)
def sample_stats_to_xarray(self):
"""Extract sample_stats from PyMC trace."""
data = {}
rename_key = {
"model_logp": "lp",
"mean_tree_accept": "acceptance_rate",
"depth": "tree_depth",
"tree_size": "n_steps",
}
data = {}
data_warmup = {}
for stat in self.trace.stat_names:
name = rename_key.get(stat, stat)
if name == "tune":
continue
if self.warmup_trace:
data_warmup[name] = np.array(
self.warmup_trace.get_sampler_stats(stat, combine=False))
if self.posterior_trace:
data[name] = np.array(
self.posterior_trace.get_sampler_stats(stat,
combine=False))
return (
dict_to_dataset(
data,
library=pymc,
dims=None,
coords=self.coords,
attrs=self.attrs,
),
dict_to_dataset(
data_warmup,
library=pymc,
dims=None,
coords=self.coords,
attrs=self.attrs,
),
)
def test_var_names_filter(var_args):
"""Test var_names filter with partial naming or regular expressions."""
samples = np.random.randn(10)
data = dict_to_dataset({
"alpha": samples,
"beta1": samples,
"beta2": samples,
"p1": samples,
"p2": samples,
"phi": samples,
"theta": samples,
"theta_t": samples,
})
var_names, expected, filter_vars = var_args
assert _var_names(var_names, data, filter_vars) == expected
def log_likelihood(self):
if self.raw.loglikelihoods:
loglikelihoods = self.raw.loglikelihoods
else:
def compute_in(samples):
return self.loglikelihood_contributions_fn(**samples)
def compute(samples):
in_axes = ({key: 0 for key in self.raw.samples},)
return jax.vmap(compute_in, in_axes=in_axes)(samples)
in_axes = ({key: 0 for key in self.raw.samples},)
loglikelihoods = jax.vmap(compute, in_axes=in_axes)(self.raw.samples)
self.raw.loglikelihoods = loglikelihoods
return dict_to_dataset(data=loglikelihoods, library=mcx)
def translate_posterior_predictive_dict_to_xarray(self, dct) -> xr.Dataset:
"""Take Dict of variables to numpy ndarrays (samples) and translate into dataset."""
data = {}
for k, ary in dct.items():
shape = ary.shape
if shape[0] == self.nchains and shape[1] == self.ndraws:
data[k] = ary
elif shape[0] == self.nchains * self.ndraws:
data[k] = ary.reshape((self.nchains, self.ndraws, *shape[1:]))
else:
data[k] = np.expand_dims(ary, 0)
# pylint: disable=line-too-long
_log.warning(
"posterior predictive variable %s's shape not compatible with number of chains and draws. "
"This can mean that some draws or even whole chains are not represented.",
k,
)
return dict_to_dataset(data, library=pymc, coords=self.coords, dims=self.dims)
def constant_data_to_xarray(self):
"""Convert constant data to xarray."""
# For constant data, we are concerned only with deterministics and
# data. The constant data vars must be either pm.Data
# (TensorConstant/SharedVariable) or pm.Deterministic
constant_data_vars = {} # type: Dict[str, Var]
def is_data(name, var) -> bool:
assert self.model is not None
return (var not in self.model.deterministics
and var not in self.model.observed_RVs
and var not in self.model.free_RVs
and var not in self.model.potentials
and var not in self.model.value_vars
and (self.observations is None
or name not in self.observations)
and isinstance(var, (Constant, SharedVariable)))
# I don't know how to find pm.Data, except that they are named
# variables that aren't observed or free RVs, nor are they
# deterministics, and then we eliminate observations.
for name, var in self.model.named_vars.items():
if is_data(name, var):
constant_data_vars[name] = var
if not constant_data_vars:
return None
constant_data = {}
for name, vals in constant_data_vars.items():
if hasattr(vals, "get_value"):
vals = vals.get_value()
elif hasattr(vals, "data"):
vals = vals.data
constant_data[name] = vals
return dict_to_dataset(
constant_data,
library=pymc,
coords=self.coords,
dims=self.dims,
default_dims=[],
)
def translate_posterior_predictive_dict_to_xarray(self, dct,
kind) -> xr.Dataset:
"""Take Dict of variables to numpy ndarrays (samples) and translate into dataset."""
data = {}
warning_vars = []
for k, ary in dct.items():
if (ary.shape[0] == self.nchains) and (ary.shape[1]
== self.ndraws):
data[k] = ary
else:
data[k] = np.expand_dims(ary, 0)
warning_vars.append(k)
if warning_vars:
warnings.warn(
f"The shape of variables {', '.join(warning_vars)} in {kind} group is not compatible "
"with number of chains and draws. The automatic dimension naming might not have worked. "
"This can also mean that some draws or even whole chains are not represented.",
UserWarning,
)
return dict_to_dataset(data,
library=pymc,
coords=self.coords,
dims=self.dims)
def warmup_posterior(self):
samples = self.raw.warmup_samples
return dict_to_dataset(data=samples, library=mcx)
