def __init__(self, mean=0, sigma=1, name='', model=None):
super().__init__(name, model)
self.Var('v1', Normal.dist(mu=mean, sigma=sigma))
Normal('v2', mu=mean, sigma=sigma)
Normal('v3', mu=mean, sigma=HalfCauchy('sd', beta=10, testval=1.))
Deterministic('v3_sq', self.v3 ** 2)
Potential('p1', tt.constant(1))
def __init__(self, mean=0, sigma=1, name="", model=None):
super().__init__(name, model)
self.register_rv(Normal.dist(mu=mean, sigma=sigma), "v1")
Normal("v2", mu=mean, sigma=sigma)
Normal("v3", mu=mean, sigma=Normal("sd", mu=10, sigma=1, initval=1.0))
Deterministic("v3_sq", self.v3 ** 2)
Potential("p1", at.constant(1))
def built_hyper_model(self):
"""
Initialise :class:`pymc3.Model` depending on configuration file,
geodetic and/or seismic data are included. Estimates initial parameter
bounds for hyperparameters.
"""
logger.info('... Building Hyper model ...\n')
pc = self.config.problem_config
if len(self.hierarchicals) == 0:
self.init_hierarchicals()
point = self.get_random_point(include=['hierarchicals', 'priors'])
for param in pc.priors.values():
point[param.name] = param.testvalue
self.update_llks(point)
with Model() as self.model:
self.init_hyperparams()
total_llk = tt.zeros((1), tconfig.floatX)
for composite in self.composites.itervalues():
total_llk += composite.get_hyper_formula(self.hyperparams, pc)
like = Deterministic('tmp', total_llk)
llk = Potential(self._like_name, like)
logger.info('Hyper model building was successful!')
def __init__(self, mean=0, sigma=1, name="", model=None):
super().__init__(name, model)
self.Var("v1", Normal.dist(mu=mean, sigma=sigma))
Normal("v2", mu=mean, sigma=sigma)
Normal("v3", mu=mean, sigma=HalfCauchy("sd", beta=10, testval=1.0))
Deterministic("v3_sq", self.v3 ** 2)
Potential("p1", aet.constant(1))
def built_model(self):
"""
Initialise :class:`pymc3.Model` depending on problem composites,
geodetic and/or seismic data are included. Composites also determine
the problem to be solved.
"""
logger.info('... Building model ...\n')
pc = self.config.problem_config
with Model() as self.model:
self.rvs, self.fixed_params = self.get_random_variables()
self.init_hyperparams()
total_llk = tt.zeros((1), tconfig.floatX)
for datatype, composite in self.composites.iteritems():
if datatype in bconfig.modes_catalog[pc.mode].keys():
input_rvs = utility.weed_input_rvs(self.rvs,
pc.mode,
datatype=datatype)
fixed_rvs = utility.weed_input_rvs(self.fixed_params,
pc.mode,
datatype=datatype)
if pc.mode == 'ffi':
# do the optimization only on the
# reference velocity model
logger.info("Loading %s Green's Functions" % datatype)
data_config = self.config[datatype + '_config']
composite.load_gfs(crust_inds=[
data_config.gf_config.reference_model_idx
],
make_shared=True)
total_llk += composite.get_formula(input_rvs, fixed_rvs,
self.hyperparams, pc)
# deterministic RV to write out llks to file
like = Deterministic('tmp', total_llk)
# will overwrite deterministic name ...
llk = Potential(self._like_name, like)
logger.info('Model building was successful!')
def built_model(self):
"""
Initialise :class:`pymc3.Model` depending on problem composites,
geodetic and/or seismic data are included. Composites also determine
the problem to be solved.
"""
logger.info('... Building model ...\n')
pc = self.config.problem_config
with Model() as self.model:
self.rvs, self.fixed_params = self.get_random_variables()
self.init_hyperparams()
total_llk = tt.zeros((1), tconfig.floatX)
for datatype, composite in self.composites.items():
if datatype in bconfig.modes_catalog[pc.mode].keys():
input_rvs = weed_input_rvs(self.rvs,
pc.mode,
datatype=datatype)
fixed_rvs = weed_input_rvs(self.fixed_params,
pc.mode,
datatype=datatype)
else:
input_rvs = self.rvs
fixed_rvs = self.fixed_params
total_llk += composite.get_formula(input_rvs, fixed_rvs,
self.hyperparams, pc)
# deterministic RV to write out llks to file
like = Deterministic('tmp', total_llk)
# will overwrite deterministic name ...
llk = Potential(self._like_name, like)
logger.info('Model building was successful! \n')
def build_model():
y = shared(np.array([15, 10, 16, 11, 9, 11, 10, 18], dtype=np.float32))
with Model() as arma_model:
sigma = HalfCauchy('sigma', 5)
theta = Normal('theta', 0, sd=2)
phi = Normal('phi', 0, sd=2)
mu = Normal('mu', 0, sd=10)
err0 = y[0] - (mu + phi * mu)
def calc_next(last_y, this_y, err, mu, phi, theta):
nu_t = mu + phi * last_y + theta * err
return this_y - nu_t
err, _ = scan(fn=calc_next,
sequences=dict(input=y, taps=[-1, 0]),
outputs_info=[err0],
non_sequences=[mu, phi, theta])
Potential('like', Normal.dist(0, sd=sigma).logp(err))
variational.advi(n=2000)
return arma_model
theta = Normal('theta', 0, sd=2)
phi = Normal('phi', 0, sd=2)
mu = Normal('mu', 0, sd=10)
err0 = y[0] - (mu + phi*mu)
def calc_next(last_y, this_y, err, mu, phi, theta):
nu_t = mu + phi*last_y + theta*err
return this_y - nu_t
err, _ = scan(fn=calc_next,
sequences=dict(input=y, taps=[-1,0]),
outputs_info=[err0],
non_sequences=[mu, phi, theta])
like = Potential('like', Normal.dist(0, sd=sigma).logp(err))
with arma_model:
mu, sds, elbo = variational.advi(n=2000)
def run(n=1000):
if n == "short":
n = 50
with arma_model:
trace = sample(1000)
burn = n/10
traceplot(trace[burn:])
# O is now (nObs, Dd)
# TODO: implement this with sparse matrices
O = np.concatenate([O[:, 0:T[i], i].T for i in range(N)])
#import pdb; pdb.set_trace()
model = Model()
with model:
#Fails: #pi = Dirichlet('pi', a = as_tensor_variable([0.147026,0.102571,0.239819,0.188710,0.267137,0.054738]), shape=M, testval = np.ones(M)/float(M))
pi = Dirichlet('pi',
a=as_tensor_variable([
0.147026, 0.102571, 0.239819, 0.188710, 0.267137,
0.054738
]),
shape=M)
pi_min_potential = Potential('pi_min_potential',
TT.switch(TT.min(pi) < .001, -np.inf, 0))
Q = DiscreteObsMJP_unif_prior('Q', M=M, lower=0.0, upper=1.0, shape=(M, M))
#S = DiscreteObsMJP('S', pi=pi, Q=Q, M=M, nObs=nObs, observed_jumps=obs_jumps, T=T, shape=(nObs), testval=np.ones(nObs,dtype='int32'))
S = DiscreteObsMJP('S',
pi=pi,
Q=Q,
M=M,
nObs=nObs,
observed_jumps=obs_jumps,
T=T,
shape=(nObs))
#B0 = Beta('B0', alpha = 1., beta = 1., shape=(K,M), testval=0.2*np.ones((K,M)))
#B = Beta('B', alpha = 1., beta = 1., shape=(K,M), testval=0.2*np.ones((K,M)))
def setUp(self):
#test Claims
N = 100 # Number of patients
M = 6 # Number of hidden states
K = 10 # Number of comorbidities
D = 721 # Number of claims
Dd = 80 # Maximum number of claims that can occur at once
min_obs = 10 # Minimum number of observed claims per patient
max_obs = 30 # Maximum number of observed claims per patient
self.M = M
self.N = N
self.K = K
# Load pre-generated data
from pickle import load
T = load(open('../../data/X_layer_100_patients_old/T.pkl', 'rb'))
self.T = T
obs_jumps = load(
open('../../data/X_layer_100_patients_old/obs_jumps.pkl', 'rb'))
S_start = load(open('../../data/X_layer_100_patients_old/S.pkl', 'rb'))
X_start = load(open('../../data/X_layer_100_patients_old/X.pkl', 'rb'))
Z_start = load(open('../../data/X_layer_100_patients_old/Z.pkl', 'rb'))
L_start = load(open('../../data/X_layer_100_patients_old/L.pkl', 'rb'))
O = load(open('../../data/X_layer_100_patients_old/O_input.pkl', 'rb'))
self.nObs = nObs = T.sum()
self.zeroIndices = np.roll(self.T.cumsum(), 1)
self.zeroIndices[0] = 0
obs_jumps = np.hstack([np.zeros((N, 1), dtype='int8'), obs_jumps])
obs_jumps = np.concatenate([obs_jumps[i, 0:T[i]] for i in range(N)])
O = np.concatenate([O[:, 0:T[i], i].T for i in range(N)])
S_start = np.concatenate([S_start[i, 0:T[i]] for i in range(N)])
X_start = np.concatenate([X_start[:, 0:T[i], i].T for i in range(N)])
anchors = []
self.Z_original
mask = np.ones((K, D))
for anchor in anchors:
for hold in anchor[1]:
mask[:, hold] = 0
mask[anchor[0], hold] = 1
Z_start = Z_start[mask.nonzero()]
with Model() as self.model:
self.pi = Dirichlet('pi',
a=as_tensor_variable(
[0.5, 0.5, 0.5, 0.5, 0.5, 0.5]),
shape=M)
pi_min_potential = Potential(
'pi_min_potential',
TT.switch(TT.min(self.pi) < .1, -np.inf, 0))
self.Q = DiscreteObsMJP_unif_prior('Q',
M=M,
lower=0.0,
upper=1.0,
shape=(M, M))
self.S = DiscreteObsMJP('S',
pi=self.pi,
Q=self.Q,
M=M,
nObs=nObs,
observed_jumps=obs_jumps,
T=T,
shape=(nObs))
self.B0 = Beta('B0', alpha=1., beta=1., shape=(K, M))
self.B = Beta('B', alpha=1., beta=1., shape=(K, M))
self.X = Comorbidities('X',
S=self.S,
B0=self.B0,
B=self.B,
T=T,
shape=(nObs, K))
#self.Z = Beta('Z', alpha = 0.1, beta = 1., shape=(K,D))
self.Z = Beta_with_anchors('Z',
anchors=anchors,
K=K,
D=D,
alpha=0.1,
beta=1.,
shape=(K, D))
self.L = Beta('L', alpha=1., beta=1., shape=D)
self.testClaims = Claims('O_obs',
X=self.X,
Z=self.Z,
L=self.L,
T=T,
D=D,
O_input=O,
shape=(nObs, Dd),
observed=O)
self.forS = ForwardS(vars=[self.S],
N=N,
T=T,
nObs=nObs,
observed_jumps=obs_jumps)
self.forX = ForwardX(vars=[self.X],
N=N,
T=T,
K=K,
D=D,
Dd=Dd,
O=O,
nObs=nObs)
from scipy.special import logit
self.Q_raw_log = logit(
np.array([0.631921, 0.229485, 0.450538, 0.206042, 0.609582]))
B_lo = logit(
np.array(
[[0.000001, 0.760000, 0.720000, 0.570000, 0.700000, 0.610000],
[0.000001, 0.460000, 0.390000, 0.220000, 0.200000, 0.140000],
[0.000001, 0.620000, 0.620000, 0.440000, 0.390000, 0.240000],
[0.000001, 0.270000, 0.210000, 0.170000, 0.190000, 0.070000],
[0.000001, 0.490000, 0.340000, 0.220000, 0.160000, 0.090000],
[0.000001, 0.620000, 0.340000, 0.320000, 0.240000, 0.120000],
[0.000001, 0.550000, 0.390000, 0.320000, 0.290000, 0.150000],
[0.000001, 0.420000, 0.240000, 0.170000, 0.170000, 0.110000],
[0.000001, 0.310000, 0.300000, 0.230000, 0.190000, 0.110000],
[0.000001, 0.470000, 0.340000, 0.190000, 0.190000,
0.110000]]))
B0_lo = logit(
np.array(
[[0.410412, 0.410412, 0.418293, 0.418293, 0.429890, 0.429890],
[0.240983, 0.240983, 0.240983, 0.240983, 0.240983, 0.240983],
[0.339714, 0.339714, 0.339714, 0.339714, 0.339714, 0.339714],
[0.130415, 0.130415, 0.130415, 0.130415, 0.130415, 0.130415],
[0.143260, 0.143260, 0.143260, 0.143260, 0.143260, 0.143260],
[0.211465, 0.211465, 0.211465, 0.211465, 0.211465, 0.211465],
[0.194187, 0.194187, 0.194187, 0.194187, 0.194187, 0.194187],
[0.185422, 0.185422, 0.185422, 0.185422, 0.185422, 0.185422],
[0.171973, 0.171973, 0.171973, 0.171973, 0.171973, 0.171973],
[0.152277, 0.152277, 0.152277, 0.152277, 0.152277,
0.152277]]))
Z_lo = logit(Z_start)
L_lo = logit(L_start)
#import pdb; pdb.set_trace()
self.myTestPoint = {
'Q_ratematrixoneway': self.Q_raw_log,
'B_logodds': B_lo,
'B0_logodds': B0_lo,
'S': S_start,
'X': X_start,
'Z_anchoredbeta': Z_lo,
'L_logodds': L_lo,
'pi_stickbreaking': np.array([0.5, 0.5, 0.5, 0.5, 0.5, 0.5])
}
K = Z_start.shape[0] # Number of comorbidities
D = Z_start.shape[1] # Number of claims
Dmax = O.shape[1] # Maximum number of claims that can occur at once
mask = np.ones((K, D))
for anchor in anchors:
for hold in anchor[1]:
mask[:, hold] = 0
mask[anchor[0], hold] = 1
Z_start = Z_start[mask.nonzero()]
model = Model()
with model:
# pi[m]: probability of starting in disease state m
pi = Dirichlet('pi', a=as_tensor_variable(pi_start.copy()), shape=M)
pi_min_potential = Potential('pi_min_potential',
TT.switch(TT.min(pi) < .001, -np.inf, 0))
# exp(t*Q)[m,m']: probability of transitioning from disease state m to m' after a period of time t
Q = DiscreteObsMJP_unif_prior('Q', M=M, lower=0.0, upper=1.0, shape=(M, M))
# S[o]: disease state (between 0 and M-1) at obeservation o
#
S = DiscreteObsMJP('S',
pi=pi,
Q=Q,
M=M,
nObs=nObs,
observed_jumps=obs_jumps,
T=T,
shape=(nObs))
def setUp(self):
#test Claims
N = 5 # Number of patients
self.N = N
M = 3 # Number of hidden states
self.M = M
K = 2 # Number of comorbidities
D = 20 # Number of claims
Dd = 4 # Maximum number of claims that can occur at once
min_obs = 2 # Minimum number of observed claims per patient
max_obs = 4 # Maximum number of observed claims per patient
#obs_jumps = np.ones((N,max_obs-1))
obs_jumps = np.array([[1, 1, 1], [1, 1, 1], [1, 1, 1], [1, 1, 1],
[1, 1, 1]])
T = np.array([4, 2, 3, 4, 2])
self.T = T
nObs = T.sum()
obs_jumps = np.hstack([np.zeros((N, 1), dtype='int8'), obs_jumps])
obs_jumps = np.concatenate([obs_jumps[i, 0:T[i]] for i in range(N)])
#O(4,4,5)
#O = np.zeros((nObs,Dd),dtype='int8')
O = np.zeros((Dd, max_obs, N), dtype='int8')
#import pdb; pdb.set_trace()
O[[0, 1, 3, 2, 3, 3], [0, 1, 3, 2, 3, 3], [0, 1, 4, 3, 3, 4]] = 1
#O[[0,5,11,12],[0,1,2,3]] = 1
O = np.concatenate([O[:, 0:T[i], i].T for i in range(N)])
Z_lo = np.array([[
-2.30258509, -2.30258509, -2.30258509, -2.30258509, -2.30258509,
-2.30258509, -2.30258509, -2.30258509, -2.30258509, -2.30258509,
-2.30258509, -2.30258509, -2.30258509, -2.30258509, -2.30258509,
-2.30258509, -2.30258509, -2.30258509, -2.30258509, -2.30258509
],
[
-2.30258509, -2.30258509, -2.30258509,
-2.30258509, -2.30258509, -2.30258509,
-2.30258509, -2.30258509, -2.30258509,
-2.30258509, -2.30258509, -2.30258509,
-2.30258509, -2.30258509, -2.30258509,
-2.30258509, -2.30258509, -2.30258509,
-2.30258509, -2.30258509
]])
anchors = []
mask = np.ones((K, D))
for anchor in anchors:
for hold in anchor[1]:
mask[:, hold] = 0
mask[anchor[0], hold] = 1
Z_lo = Z_lo[mask.nonzero()]
with Model() as self.model:
self.pi = Dirichlet('pi',
a=as_tensor_variable([0.5, 0.5, 0.5]),
shape=M)
pi_min_potential = Potential(
'pi_min_potential',
TT.switch(TT.min(self.pi) < .1, -np.inf, 0))
self.Q = DiscreteObsMJP_unif_prior('Q',
M=M,
lower=0.0,
upper=1.0,
shape=(M, M))
self.S = DiscreteObsMJP('S',
pi=self.pi,
Q=self.Q,
M=M,
nObs=nObs,
observed_jumps=obs_jumps,
T=T,
shape=(nObs))
self.B0 = Beta('B0', alpha=1., beta=1., shape=(K, M))
self.B = Beta('B', alpha=1., beta=1., shape=(K, M))
self.X = Comorbidities('X',
S=self.S,
B0=self.B0,
B=self.B,
T=T,
shape=(nObs, K))
#self.Z = Beta('Z', alpha = 0.1, beta = 1., shape=(K,D))
self.Z = Beta_with_anchors('Z',
anchors=anchors,
K=K,
D=D,
alpha=0.1,
beta=1.,
shape=(K, D))
self.L = Beta('L', alpha=1., beta=1., shape=D)
#L = Beta('L', alpha = 0.1, beta = 1, shape=D, transform=None)
#L = Uniform('L', left = 0.0, right = 1.0, shape=D, transform=None)
#L = Uniform('L', lower = 0.0, upper = 1.0, shape=D)
self.testClaims = Claims('O_obs',
X=self.X,
Z=self.Z,
L=self.L,
T=T,
D=D,
O_input=O,
shape=(nObs, Dd),
observed=O)
self.forS = ForwardS(vars=[self.S],
N=N,
T=T,
nObs=nObs,
observed_jumps=obs_jumps)
self.forX = ForwardX(vars=[self.X],
N=N,
T=T,
K=K,
D=D,
Dd=Dd,
O=O,
nObs=nObs)
self.myTestPoint = {
'Z_anchoredbeta':
Z_lo,
'Q_ratematrixoneway':
np.array([0.1, 0.1]),
'pi_stickbreaking':
np.array([0.2, 0.1]),
'S':
np.array([[0, 0, 1, 1], [1, 1, 1, 1], [1, 1, 2, 2], [0, 2, 2, 2],
[0, 0, 0, 1]],
dtype=np.int32),
'B0_logodds':
np.array([[0., 1., 0.], [0., 0., 1.]]),
'X':
np.array([[[0, 1, 1, 1, 1], [0, 1, 1, 1, 1], [1, 1, 1, 1, 1],
[1, 1, 1, 1, 1]],
[[1, 1, 0, 0, 1], [1, 1, 0, 1, 1], [1, 1, 1, 1, 1],
[1, 1, 1, 1, 1]]],
dtype=np.int8),
'L_logodds':
np.array([
0.1, 0.1, 0.1, 0.1, 0.01, 0.01, 0.01, 0.01, 0.0011, 0.0011,
0.0011, 0.0011, 0.0011, 0., 0.0101, 0.0101, 0.0101, 0.01, 0.01,
0.01
]),
'B_logodds':
np.array([[1., 0., 1.], [0., 1., 0.]])
}
self.myTestPoint['S'] = np.concatenate(
[self.myTestPoint['S'][i, 0:T[i]] for i in range(N)])
self.myTestPoint['X'] = np.concatenate(
[self.myTestPoint['X'][:, 0:T[i], i].T for i in range(N)])
stepX_Correct = np.array([[[0, 0, 0, 0, 0], [0, 0, 0, 0, 0],
[0, 0, 0, 0, 0], [0, 0, 0, 0, 1]],
[[0, 0, 0, 0, 0], [0, 0, 0, 0, 0],
[1, 0, 0, 0, 0], [1, 0, 0, 0, 0]]],
dtype=np.int8)
stepX_Correct = np.array([[[0, 0, 0, 0, 0], [0, 0, 0, 1, 0],
[0, 0, 0, 1, 0], [0, 0, 0, 1, 0]],
[[0, 1, 0, 0, 0], [0, 1, 0, 0, 0],
[0, 1, 0, 0, 0], [0, 1, 0, 0, 1]]],
dtype=np.int8)