print(sampler.noisy_logjoint(kind='pf', pf='paris', N=1000,
return_loglike=True, tqdm=tqdm))
###############################################################################
# Evaluate Fit
###############################################################################
from sgmcmc_ssm.evaluator import OfflineEvaluator, half_average_parameters_list
from sgmcmc_ssm.metric_functions import (
sample_function_parameters,
noisy_logjoint_loglike_metric,
)
# Evaluate Loglikelihood on Training Set
metric_functions=[
noisy_logjoint_loglike_metric(tqdm=tqdm, kind='pf', pf='paris', N=1000),
]
sample_functions=sample_function_parameters(['A', 'Q', 'R'])
# Evaluate SGLD samples
sgld_evaluator = OfflineEvaluator(sampler,
parameters_list=sgld_parameters,
parameters_times=sgld_time,
metric_functions = metric_functions,
sample_functions = sample_functions,
)
sgld_evaluator.evaluate(40, tqdm=tqdm)
ld_evaluator = OfflineEvaluator(sampler,
parameters_list=ld_parameters,
parameters_times=ld_time,
metric_functions = metric_functions,
sample_functions = sample_functions,
noisy_logjoint_loglike_metric(),
best_double_permutation_metric_function_parameter(
parameter_name='pi',
target_value=parameters.pi,
metric_name='mse',
best_function=min),
best_permutation_metric_function_parameter(parameter_name='mu',
target_value=parameters.mu,
metric_name='mse',
best_function=min),
best_permutation_metric_function_parameter(parameter_name='R',
target_value=parameters.R,
metric_name='mse',
best_function=min),
]
sample_functions = sample_function_parameters(
['logit_pi', 'expanded_pi', 'pi', 'mu', 'R', 'LRinv'], )
sampler = GaussHMMSampler(**parameters.dim)
sampler.setup(data['observations'], prior)
evaluator = SamplerEvaluator(
sampler=sampler,
metric_functions=metric_functions,
sample_functions=sample_functions,
)
print(evaluator.metrics)
print(evaluator.samples)
## Run a few Gibbs Sampler steps
for _ in range(10):
evaluator.evaluate_sampler_step(['sample_gibbs', 'project_parameters'])
print(evaluator.metrics)
noisy_logjoint_loglike_metric,
metric_function_parameters,
)
metric_functions = [
noisy_logjoint_loglike_metric(),
metric_function_parameters(
parameter_names=['A', 'Q', 'C', 'R'],
target_values=[parameters.A, parameters.Q,
parameters.C, parameters.R],
metric_names = ['mse', 'mse', 'mse', 'mse'],
)
]
sample_functions = sample_function_parameters(
['A', 'Q', 'LQinv', 'C', 'R', 'LRinv'],
)
sampler = SLDSSampler(**parameters.dim)
sampler.setup(data['observations'], prior)
sampler.init_sample_latent() ## THIS IS IMPORTANT
evaluator = SamplerEvaluator(
sampler=sampler,
metric_functions=metric_functions,
sample_functions=sample_functions,
)
print(evaluator.metrics)
print(evaluator.samples)
## Run a few Gibbs Sampler steps
for _ in range(10):
criteria=[min for parameter_name in parameter_names2],
),
metric_function_parameters(
parameter_names3,
target_values=[
getattr(my_data['parameters'], parameter_name)
for parameter_name in parameter_names3
],
metric_names=['mse' for parameter_name in parameter_names2],
),
# metric_compare_x(my_data['latent_vars']['x']),
# metric_compare_z(my_data['latent_vars']['z']),
noisy_logjoint_loglike_metric(subsequence_length=50, buffer_length=10),
]
my_sample_functions = [
sample_function_parameters(parameter_names2 + ['LRinv', 'LQinv']),
]
my_evaluators = {
"{0}_{1}".format(*key):
SamplerEvaluator(sampler,
my_metric_functions,
my_sample_functions,
sampler_name="{0}_{1}".format(*key))
for key, sampler in my_samplers.items()
}
keys = my_evaluators.keys()
for step in tqdm(range(1000)):
for ii, key in enumerate(keys):
my_evaluators[key].evaluate_sampler_step(
*sampler_steps[key.split("_")[0]])
################################################################################
# Sampler Evaluation
################################################################################
from sgmcmc_ssm.evaluator import OfflineEvaluator, half_average_parameters_list
from sgmcmc_ssm.metric_functions import (
sample_function_parameters,
noisy_logjoint_loglike_metric,
noisy_predictive_logjoint_loglike_metric,
)
# Evaluate Loglikelihood and Predictive Loglikelihood
metric_functions = [
noisy_logjoint_loglike_metric(),
noisy_predictive_logjoint_loglike_metric(num_steps_ahead=3),
]
sample_functions = sample_function_parameters(['pi', 'logit_pi', 'mu', 'R'])
# Evaluate Gibbs samples
gibbs_evaluator = OfflineEvaluator(
sampler,
parameters_list=half_average_parameters_list(gibbs_parameters),
parameters_times=gibbs_time,
metric_functions=metric_functions,
sample_functions=sample_functions,
)
gibbs_evaluator.evaluate(16, tqdm=tqdm)
# Evaluate SGRLD samples
sgrld_evaluator = OfflineEvaluator(
sampler,
parameters_list=half_average_parameters_list(sgrld_parameters),
),
best_permutation_metric_function_parameter(
parameter_name = 'Q',
target_value = parameters.Q,
metric_name = 'mse',
best_function = min
),
metric_function_parameters(
parameter_names=['C', 'R'],
target_values=[parameters.C, parameters.R],
metric_names = ['mse', 'mse'],
)
]
sample_functions = sample_function_parameters(
['pi', 'A', 'Q', 'C', 'R'],
)
sampler = SLDSSampler(**parameters.dim)
sampler.setup(data['observations'], prior)
sampler.init_sample_latent() ## THIS IS IMPORTANT
evaluator = SamplerEvaluator(
sampler=sampler,
metric_functions=metric_functions,
sample_functions=sample_functions,
)
print(evaluator.metrics)
print(evaluator.samples)
## Run a few Gibbs Sampler steps
for _ in tqdm(range(10)):
),
metric_function_parameters(
parameter_names2,
target_values=[
getattr(my_data['parameters'], parameter_name)
for parameter_name in parameter_names2
],
metric_names=['mse' for parameter_name in parameter_names2],
criteria=[min for parameter_name in parameter_names2],
),
metric_compare_z(my_data['latent_vars']),
metric_function_from_sampler("predictive_loglikelihood"),
noisy_logjoint_loglike_metric(),
]
my_sample_functions = [
sample_function_parameters(parameter_names + parameter_names2 +
['expanded_pi']),
]
my_evaluators = {
"{0}_{1}".format(*key):
SamplerEvaluator(sampler,
my_metric_functions,
my_sample_functions,
sampler_name="{0}_{1}".format(*key))
for key, sampler in my_samplers.items()
}
keys = my_evaluators.keys()
for step in tqdm(range(1000)):
for ii, key in enumerate(keys):
my_evaluators[key].evaluate_sampler_step(
*sampler_steps[key.split("_")[0]])
noisy_logjoint_loglike_metric,
metric_function_parameters,
)
metric_functions = [
noisy_logjoint_loglike_metric(kind='pf', N=1000),
metric_function_parameters(
parameter_names=['alpha', 'beta', 'gamma', 'tau'],
target_values=[parameters.alpha, parameters.beta,
parameters.gamma, parameters.tau],
metric_names = ['mse', 'mse', 'mse', 'mse'],
)
]
sample_functions = sample_function_parameters(
['alpha', 'beta', 'gamma', 'tau'],
)
sampler = GARCHSampler(**parameters.dim)
sampler.setup(data['observations'], prior)
evaluator = SamplerEvaluator(
sampler=sampler,
metric_functions=metric_functions,
sample_functions=sample_functions,
)
print(evaluator.metrics)
print(evaluator.samples)
## Run a few ADA_GRAD sampler steps
for _ in tqdm(range(100)):
evaluator.evaluate_sampler_step(