def expected_counts_stationary(T, n, mu=None):
r"""Expected transition counts for Markov chain in equilibrium.
Since mu is stationary for T we have
.. math::
E(C^{(n)})=n diag(mu)*T.
Parameters
----------
T : (M, M) sparse matrix
Transition matrix.
n : int
Number of steps for chain.
mu : (M,) ndarray (optional)
Stationary distribution for T. If mu is not specified it will be
computed via diagonalization of T.
Returns
-------
EC : (M, M) sparse matrix
Expected value for transition counts after N steps.
"""
if(n<=0):
EC=coo_matrix(T.shape, dtype=float)
return EC
else:
if mu is None:
mu=decomposition.stationary_distribution_from_eigenvector(T)
D_mu=diags(mu, 0)
EC=n*D_mu.dot(T)
return EC
def is_reversible(T, mu=None, tol=1e-15):
r"""
checks whether T is reversible in terms of given stationary distribution.
If no distribution is given, it will be calculated out of T.
performs follwing check:
:math:`\pi_i P_{ij} = \pi_j P_{ji}
Parameters
----------
T : scipy.sparse matrix
Transition matrix
mu : numpy.ndarray vector
stationary distribution
tol : float
tolerance to check with
Returns
-------
Truth value : bool
True, if T is a stochastic matrix
False, otherwise
"""
if not is_transition_matrix(T, tol):
raise ValueError("given matrix is not a valid transition matrix.")
T = T.tocsr()
if mu is None:
from decomposition import stationary_distribution_from_backward_iteration as statdist
mu = statdist(T)
Mu = diags(mu, 0)
prod = Mu * T
return allclose_sparse(prod, prod.transpose(), rtol=tol)
def is_reversible(T, mu=None, tol=1e-15):
r"""
checks whether T is reversible in terms of given stationary distribution.
If no distribution is given, it will be calculated out of T.
performs follwing check:
:math:`\pi_i P_{ij} = \pi_j P_{ji}
Parameters
----------
T : scipy.sparse matrix
Transition matrix
mu : numpy.ndarray vector
stationary distribution
tol : float
tolerance to check with
Returns
-------
Truth value : bool
True, if T is a stochastic matrix
False, otherwise
"""
if not is_transition_matrix(T, tol):
raise ValueError("given matrix is not a valid transition matrix.")
T = T.tocsr()
if mu is None:
from decomposition import stationary_distribution_from_backward_iteration as statdist
mu = statdist(T)
Mu = diags(mu, 0)
prod = Mu * T
return allclose_sparse(prod, prod.transpose(), rtol=tol)
def test_expected_counts(self):
N = 50
T = self.T_sparse
p0 = self.mu_sparse
EC_n = expected_counts(T, p0, N)
D_mu = diags(self.mu_sparse, 0)
EC_true = N * D_mu.dot(T)
self.assertTrue(sparse_allclose(EC_true, EC_n))
def test_expected_counts(self):
N = 50
T = self.T_sparse
p0 = self.mu_sparse
EC_n = expected_counts(T, p0, N)
D_mu = diags(self.mu_sparse, 0)
EC_true = N * D_mu.dot(T)
self.assertTrue(sparse_allclose(EC_true, EC_n))
def is_rate_matrix(K, tol):
"""
True if K is a rate matrix
Parameters
----------
K : scipy.sparse matrix
Matrix to check
tol : float
tolerance to check with
Returns
-------
Truth value : bool
True, if K negated diagonal is positive and row sums up to zero.
False, otherwise
"""
K = K.tocsr()
# check rows sum up to zero.
row_sum = K.sum(axis = 1)
sum_eq_zero = np.allclose(row_sum, np.zeros(shape=row_sum.shape), atol=tol)
# store copy of original diagonal
org_diag = K.diagonal()
# substract diagonal
K=K-diags(org_diag, 0)
# check off diagonals are > 0
values=K.data
values_gt_zero = np.allclose(values, np.abs(values), atol = tol)
# add diagonal
K=K+diags(org_diag, 0)
return values_gt_zero and sum_eq_zero
def is_rate_matrix(K, tol):
"""
True if K is a rate matrix
Parameters
----------
K : scipy.sparse matrix
Matrix to check
tol : float
tolerance to check with
Returns
-------
Truth value : bool
True, if K negated diagonal is positive and row sums up to zero.
False, otherwise
"""
K = K.tocsr()
# check rows sum up to zero.
row_sum = K.sum(axis=1)
sum_eq_zero = np.allclose(row_sum, np.zeros(shape=row_sum.shape), atol=tol)
# store copy of original diagonal
org_diag = K.diagonal()
# substract diagonal
K = K - diags(org_diag, 0)
# check off diagonals are > 0
values = K.data
values_gt_zero = np.allclose(values, np.abs(values), atol=tol)
# add diagonal
K = K + diags(org_diag, 0)
return values_gt_zero and sum_eq_zero
def test_expected_counts_stationary(self):
n = 50
T = self.T_sparse
mu = self.mu_sparse
D_mu = diags(self.mu_sparse, 0)
EC_true = n * D_mu.dot(T)
"""Compute mu on the fly"""
EC_n = expected_counts_stationary(T, n)
self.assertTrue(sparse_allclose(EC_true, EC_n))
"""With precomputed mu"""
EC_n = expected_counts_stationary(T, n, mu=mu)
self.assertTrue(sparse_allclose(EC_true, EC_n))
n = 0
EC_true = scipy.sparse.coo_matrix(T.shape)
EC_n = expected_counts_stationary(T, n)
self.assertTrue(sparse_allclose(EC_true, EC_n))
def test_expected_counts_stationary(self):
n = 50
T = self.T_sparse
mu = self.mu_sparse
D_mu = diags(self.mu_sparse, 0)
EC_true = n * D_mu.dot(T)
"""Compute mu on the fly"""
EC_n = expected_counts_stationary(T, n)
self.assertTrue(sparse_allclose(EC_true, EC_n))
"""With precomputed mu"""
EC_n = expected_counts_stationary(T, n, mu=mu)
self.assertTrue(sparse_allclose(EC_true, EC_n))
n = 0
EC_true = scipy.sparse.coo_matrix(T.shape)
EC_n = expected_counts_stationary(T, n)
self.assertTrue(sparse_allclose(EC_true, EC_n))
def expected_counts(p0, T, N):
r"""Compute expected transition counts for Markov chain after N steps.
Expected counts are computed according to ..math::
E[C_{ij}^{(n)}]=\sum_{k=0}^{N-1} (p_0^T T^{k})_{i} p_{ij}
Parameters
----------
p0 : (M,) ndarray
Starting (probability) vector of the chain.
T : (M, M) sparse matrix
Transition matrix of the chain.
N : int
Number of steps to take from initial state.
Returns
--------
EC : (M, M) sparse matrix
Expected value for transition counts after N steps.
"""
if(N<=0):
EC=coo_matrix(T.shape, dtype=float)
return EC
else:
"""Probability vector after (k=0) propagations"""
p_k=1.0*p0
"""Sum of vectors after (k=0) propagations"""
p_sum=1.0*p_k
"""Transpose T to use sparse dot product"""
Tt=T.transpose()
for k in np.arange(N-1):
"""Propagate one step p_{k} -> p_{k+1}"""
p_k=Tt.dot(p_k)
"""Update sum"""
p_sum+=p_k
D_psum=diags(p_sum, 0)
EC=D_psum.dot(T)
return EC
