def test_gaussian_copula(self):
n = 10000
dimkeys = ["solar", "wind"]
dimension = len(dimkeys)
ourmean = [2, 3]
ourmeandict = {"solar": 0, "wind": 0}
rho =0.5
rho2 = 0.5
ourcov = [[1, rho], [rho, 1]]
ourcov2 = [[1, rho2], [rho2, 1]]
marginals = {"solar": UnivariateNormalDistribution(var=ourcov[0][0], mean=ourmean[0]),
"wind": UnivariateNormalDistribution(var=ourcov[1][1], mean=ourmean[1])}
data_array = np.random.multivariate_normal(ourmean, ourcov, 100000)
data_array2 = np.random.multivariate_normal(ourmean, ourcov2, 100000)
data_dict = dict.fromkeys(dimkeys)
for i in range(dimension):
data_dict[dimkeys[i]] = data_array[:, i]
data_dict2 = dict.fromkeys(dimkeys)
for i in range(dimension):
data_dict2[dimkeys[i]] = data_array2[:, i]
multigaussian1 = GaussianCopula(input_data=data_dict, dimkeys=dimkeys, marginals=marginals, quadstep=0.001)
multigaussian2 = GaussianCopula(input_data=data_dict2, dimkeys=dimkeys, marginals=marginals, quadstep=0.001)
rank_data = multigaussian2.generates_U(10000)
diag(2).rank_histogram(rank_data, 20, multigaussian1)
def test_gaussian_copula(self):
#not finished yet
print("Warning test not finished yet")
n = 10000
dimkeys = ["solar", "wind"]
dimension = len(dimkeys)
ourmean = [2, 3]
ourmeandict = {"solar": 0, "wind": 0}
rho =0.1
rho2 = 0.9
ourcov = [[1, rho], [rho, 1]]
ourcov2 = [[1, rho2], [rho2, 1]]
marginals = {"solar": UnivariateNormalDistribution(var=ourcov[0][0], mean=ourmean[0]),
"wind": UnivariateNormalDistribution(var=ourcov[1][1], mean=ourmean[1])}
data_array = np.random.multivariate_normal(ourmean, ourcov, 100000)
data_array2 = np.random.multivariate_normal(ourmean, ourcov2, 100000)
data_dict = dict.fromkeys(dimkeys)
for i in range(dimension):
data_dict[dimkeys[i]] = data_array[:, i]
data_dict2 = dict.fromkeys(dimkeys)
for i in range(dimension):
data_dict2[dimkeys[i]] = data_array2[:, i]
multigaussian1 = GaussianCopula(input_data=data_dict, dimkeys=dimkeys, marginals=marginals, quadstep=0.001)
multigaussian2 = GaussianCopula(input_data=data_dict2, dimkeys=dimkeys, marginals=marginals, quadstep=0.001)
print(emd_sort(data_array,data_array))
print(emd_sort(data_array2, data_array))
print(emd_sort(data_array2, data_array2))
def test_with_gaussian_copula_3_dim(self):
dimkeys = ["solar", "wind", "tide"]
dimension = len(dimkeys)
# dictin = {"solar": np.random.randn(200), "wind": np.random.randn(200)}
ourmean = [0, 0, 0]
ourcov = [[1, 0.1, 0.3], [0.1, 2, 0], [0.3, 0, 3]]
marginals = {"solar": UnivariateNormalDistribution(var=ourcov[0][0], mean=ourmean[0]),
"wind": UnivariateNormalDistribution(var=ourcov[1][1], mean=ourmean[1]),
"tide": UnivariateNormalDistribution(var=ourcov[2][2], mean=ourmean[2])}
valuedict = {"solar": 0, "wind": 0, "tide": 0}
lowerdict = {"solar": -1, "wind": -1, "tide": -1}
upperdict = {"solar": 1, "wind": 1, "tide": 1}
data_array = np.random.multivariate_normal(ourmean, ourcov, 1000)
data_dict = dict.fromkeys(dimkeys)
for i in range(dimension):
GaussianCopula(dimkeys, data_dict, marginals, pair_copulae_strings)
data_dict[dimkeys[i]] = data_array[:, i]
multigaussian1 = GaussianCopula(input_data=data_dict, dimkeys=dimkeys, marginals=marginals, quadstep=0.1)
multigaussian2 = MultiNormalDistribution(dimkeys, input_data=data_dict)
self.assertAlmostEqual(multigaussian1.rect_prob(lowerdict, upperdict),
multigaussian2.rect_prob(lowerdict, upperdict), 2)
self.assertAlmostEqual(multigaussian1.rect_prob(lowerdict, upperdict),multigaussian2.rect_prob(lowerdict, upperdict), 1)
def _copula(self, hidden):
scale = self.hidden_to_tril(hidden, decomp=self.decomp)
loc = torch.zeros((scale.size(0), self.code_size),
dtype=scale.dtype,
device=scale.device)
# use covariance matrix
if self.decomp == "ldl":
return GaussianCopula(loc, scale_tril=scale)
elif self.decomp == "cho":
return GaussianCopula(loc, covariance_matrix=scale)
else:
raise NotImplementedError
def test_quick_dim_2(self):
dimkeys = ["solar", "wind"]
dimension = len(dimkeys)
ourmean = [1, 0.5]
ourcov = [[1, 0.3], [0.3, 2]]
marginals = {"solar": UnivariateNormalDistribution(var=ourcov[0][0], mean=ourmean[0]),
"wind": UnivariateNormalDistribution(var=ourcov[1][1], mean=ourmean[1])}
data_array = np.random.multivariate_normal(ourmean, ourcov, 10000)
data_dict = dict.fromkeys(dimkeys)
for i in range(dimension):
data_dict[dimkeys[i]] = data_array[:, i]
pair_copulae_strings = [[None, 'student-copula'],
[None, None]]
valuedict = {"solar": 0.96, "wind": 0.87}
CVine = CVineCopula(dimkeys, data_dict, marginals, pair_copulae_strings)
DVine = DVineCopula(dimkeys, data_dict, marginals, pair_copulae_strings)
gaussiancopula = GaussianCopula(dimkeys,data_dict,marginals)
gaussiancopula.c(valuedict)
self.assertAlmostEqual(CVine.C(valuedict),DVine.C(valuedict),1)
self.assertAlmostEqual(gaussiancopula.C(valuedict), DVine.C(valuedict), 1)
self.assertAlmostEqual(CVine.C(valuedict), gaussiancopula.C(valuedict), 1)
def test_weighted_combined_copula3d(self):
dimkeys = ["solar", "wind", "tide"]
dimension = len(dimkeys)
ourmean = [0, 0, 0]
ourcov = [[1, 0.1, 0.3], [0.1, 2, 0], [0.3, 0, 3]]
marginals = {"solar": UnivariateNormalDistribution(var=ourcov[0][0], mean=ourmean[0]),
"wind": UnivariateNormalDistribution(var=ourcov[1][1], mean=ourmean[1]),
"tide": UnivariateNormalDistribution(var=ourcov[2][2], mean=ourmean[2])}
data_array = np.random.multivariate_normal(ourmean, ourcov, 10000)
data_dict = dict.fromkeys(dimkeys)
for i in range(dimension):
data_dict[dimkeys[i]] = data_array[:, i]
copulas= ['student-copula', 'gaussian-copula']
list_of_gaussian = ['gaussian-copula','gaussian-copula']
list_of_student = ['student-copula','student-copula']
weights =[0.12,0.88]
mydistr = WeightedCombinedCopula(dimkeys,data_dict,marginals,copulas,weights)
gaussian = GaussianCopula(dimkeys,data_dict,marginals)
weightedgaussian = WeightedCombinedCopula(dimkeys,data_dict,marginals,list_of_gaussian,weights)
weightedstudent = WeightedCombinedCopula(dimkeys, data_dict, marginals, list_of_student, weights)
student = StudentCopula(dimkeys,data_dict,marginals)
g = gaussian.c_log_likelihood()
s = student.c_log_likelihood()
m = mydistr.c_log_likelihood()
self.assertAlmostEqual(weightedgaussian.c_log_likelihood(),g,7)
self.assertAlmostEqual(weightedstudent.c_log_likelihood(),s,7)
self.assertGreater(g,m)
self.assertGreater(m,s)
def predict(self, data, num_samples=500):
cond_mask = data.train_mask
eval_mask = torch.logical_xor(
torch.ones_like(data.train_mask).to(dtype=torch.bool),
data.train_mask)
cov = self.get_cov(data)
logits = self.forward(data)
copula = GaussianCopula(cov)
cond_cov = (cov[cond_mask, :])[:, cond_mask]
cond_marginal = self.marginal(logits[cond_mask], cond_cov)
eval_cov = (cov[eval_mask, :])[:, eval_mask]
eval_marginal = self.marginal(logits[eval_mask], eval_cov)
cond_u = torch.clamp(self.cdf(cond_marginal, data.y[cond_mask]),
self.eps, 1 - self.eps)
cond_idx = torch.where(cond_mask)[0]
sample_idx = torch.where(eval_mask)[0]
eval_u = copula.conditional_sample(cond_val=cond_u,
sample_shape=[
num_samples,
],
cond_idx=cond_idx,
sample_idx=sample_idx)
eval_u = torch.clamp(eval_u, self.eps, 1 - self.eps)
eval_y = self.icdf(eval_marginal, eval_u)
pred_y = data.y.clone()
pred_y[eval_mask] = eval_y
return pred_y
def test_gaussian_copula2d(self):
n = 10000
dimkeys = ["solar", "wind"]
dimension = len(dimkeys)
ourmean = [2, 3]
ourmeandict = {"solar": 0, "wind": 0}
rho = 0.5
rho2 = 0.7
ourcov = [[1, rho], [rho, 1]]
ourcov2 = [[1, rho2], [rho2, 1]]
marginals = {"solar": UnivariateNormalDistribution(var=ourcov[0][0], mean=ourmean[0]),
"wind": UnivariateNormalDistribution(var=ourcov[1][1], mean=ourmean[1])}
data_array = np.random.multivariate_normal(ourmean, ourcov, 100000)
data_array2 = np.random.multivariate_normal(ourmean, ourcov2, 100000)
data_dict = dict.fromkeys(dimkeys)
for i in range(dimension):
data_dict[dimkeys[i]] = data_array[:, i]
data_dict2 = dict.fromkeys(dimkeys)
for i in range(dimension):
data_dict2[dimkeys[i]] = data_array2[:, i]
gumbel = GumbelCopula(dimkeys, data_dict, marginals)
frank = FrankCopula(dimkeys, data_dict, marginals)
clayton = ClaytonCopula(dimkeys, data_dict, marginals)
student = StudentCopula(dimkeys, data_dict, marginals)
multigaussian1 = GaussianCopula(dimkeys=dimkeys, input_data=data_dict, marginals=marginals, quadstep=0.001)
multigaussian2 = GaussianCopula(dimkeys=dimkeys, input_data=data_dict, marginals=marginals, quadstep=0.001,
cov=ourcov2)
multigaussian3 = GaussianCopula(dimkeys=dimkeys, input_data=data_dict2, marginals=marginals, quadstep=0.001,
cov=ourcov2)
multigaussian4 = GaussianCopula(dimkeys=dimkeys, input_data=data_dict2, marginals=marginals, quadstep=0.001,
cov=ourcov)
l1=multigaussian1.c_log_likelihood()
self.assertGreater(l1,multigaussian2.c_log_likelihood())
self.assertGreater(multigaussian3.c_log_likelihood(),multigaussian4.c_log_likelihood())
self.assertGreater(l1,gumbel.c_log_likelihood())
self.assertGreater(l1, clayton.c_log_likelihood())
self.assertGreater(l1, frank.c_log_likelihood())
self.assertGreater(l1, student.c_log_likelihood())
def forward(self, hidden, scale_tril):
# TODO: need to parameterize cholesky factor for gaussian copula
batch_size = hidden.size(0)
h = torch.cat(hidden, dim=2).squeeze(0)
mu = self.bnmu(self.fcmu(h))
lv = self.bnlv(self.fclv(h))
loc = torch.zeros(batch_size, self.code_size)
copula = GaussianCopula(loc, scale_tril)
return copula
def test_with_gaussian_copula_1_dim(self):
mymean = 0
myvar = 2
dimkeys1 = ["solar"]
lowerdict = {"solar": -2}
upperdict = {"solar": 1}
data_array1 = np.random.multivariate_normal([mymean], [[myvar]], 10000)
data_dict1 = {"solar": data_array1[:, 0]}
marginals1 = {"solar": UnivariateNormalDistribution(input_data=data_array1[:, 0])}
unigaussian1 = GaussianCopula(input_data=data_dict1, dimkeys=dimkeys1, marginals=marginals1)
unigaussian2 = MultiNormalDistribution(dimkeys1, input_data=data_dict1)
self.assertAlmostEqual(unigaussian1.rect_prob(lowerdict, upperdict),unigaussian2.rect_prob(lowerdict, upperdict),3)
def nll(self, data):
cov = self.get_cov(data)
cov = cov[data.train_mask, :]
cov = cov[:, data.train_mask]
logits = self.forward(data)[data.train_mask]
labels = data.y[data.train_mask]
copula = GaussianCopula(cov)
marginal = self.marginal(logits, cov)
u = self.cdf(marginal, labels)
nll_copula = -copula.log_prob(u)
nll_marginal = -torch.sum(marginal.log_prob(labels))
return (nll_copula + nll_marginal) / labels.size(0)
def test_with_gaussian_copula_2_dim(self):
dimkeys = ["solar", "wind"]
dimension = len(dimkeys)
ourmean = [3, 4]
ourmeandict = {"solar": 0, "wind": 0}
ourcov = [[1, 0.5], [0.5, 1]]
marginals = {"solar": UnivariateNormalDistribution(var=ourcov[0][0], mean=ourmean[0]),
"wind": UnivariateNormalDistribution(var=ourcov[1][1], mean=ourmean[1])}
valuedict = {"solar": 0, "wind": 0}
lowerdict = {"solar": 2, "wind": 3}
upperdict = {"solar": 4, "wind": 5}
data_array = np.random.multivariate_normal(ourmean, ourcov, 100000)
data_dict = dict.fromkeys(dimkeys)
for i in range(dimension):
data_dict[dimkeys[i]] = data_array[:, i]
multigaussian1 = GaussianCopula(input_data=data_dict, dimkeys=dimkeys, marginals=marginals, quadstep=0.001)
multigaussian2 = MultiNormalDistribution(dimkeys, input_data=data_dict)
valuedict = {"solar": 0.45, "wind": 0.89}
self.assertAlmostEqual(multigaussian1.rect_prob(lowerdict, upperdict),
multigaussian2.rect_prob(lowerdict, upperdict), 3)
import numpy as np import matplotlib.pyplot as plt from matplotlib import cm from copula import GaussianCopula from mpl_toolkits.mplot3d import Axes3D from pycopula.visualization import pdf_2d, cdf_2d # The Clayton copula clayton = GaussianCopula(dim=2) # Visualization of CDF and PDF u, v, C = cdf_2d(clayton) u, v, c = pdf_2d(clayton) # Plotting fig = plt.figure() ax = fig.add_subplot(121, projection='3d', title="Clayton copula CDF") X, Y = np.meshgrid(u, v) ax.set_zlim(0, 5) ax.plot_surface(X, Y, c, cmap=cm.Blues) ax.plot_wireframe(X, Y, c, color='black', alpha=0.3) ax = fig.add_subplot(122, title="Clayton copula PDF") ax.contour(X, Y, c, levels=np.arange(0, 5, 0.15)) plt.show()