def get_model(n_obs=50, true_params=None, seed_obs=None):
"""Return a complete Gaussian noise model.
Parameters
----------
n_obs : int, optional
the number of observations
true_params : list, optional
true_params[0] corresponds to the mean,
true_params[1] corresponds to the standard deviation
seed_obs : int, optional
seed for the observed data generation
Returns
-------
m : elfi.ElfiModel
"""
if true_params is None:
true_params = [10, 2]
y_obs = Gauss(*true_params,
n_obs=n_obs,
random_state=np.random.RandomState(seed_obs))
sim_fn = partial(Gauss, n_obs=n_obs)
m = elfi.ElfiModel()
elfi.Prior('uniform', -10, 50, model=m, name='mu')
elfi.Prior('truncnorm', 0.01, 5, model=m, name='sigma')
elfi.Simulator(sim_fn, m['mu'], m['sigma'], observed=y_obs, name='Gauss')
elfi.Summary(ss_mean, m['Gauss'], name='S1')
elfi.Summary(ss_var, m['Gauss'], name='S2')
elfi.Distance('euclidean', m['S1'], m['S2'], name='d')
return m
def inference_task(n_obs=100, true_params=None, seed_obs=12345):
"""Returns a complete MA2 model in inference task
Parameters
----------
n_obs : observation length of the MA2 process
true_params : parameters with which the observed data is generated
seed_obs : seed for the observed data generation
Returns
-------
InferenceTask
"""
if true_params is None:
true_params = [.6, .2]
if len(true_params) != 2:
raise ValueError("Invalid length of params_obs. Should be 2.")
y = MA2(n_obs, *true_params, random_state=np.random.RandomState(seed_obs))
sim = partial(MA2, n_obs)
itask = elfi.InferenceTask()
t1 = elfi.Prior('t1', 'uniform', 0, 1, inference_task=itask)
t2 = elfi.Prior('t2', 'uniform', 0, 1, inference_task=itask)
Y = elfi.Simulator('MA2', sim, t1, t2, observed=y, inference_task=itask)
S1 = elfi.Summary('S1', autocov, Y, inference_task=itask)
S2 = elfi.Summary('S2', autocov, Y, 2, inference_task=itask)
d = elfi.Discrepancy('d', discrepancy, S1, S2, inference_task=itask)
itask.parameters = [t1, t2]
return itask
def get_model(n_obs=100, true_params=None, seed_obs=None):
"""Returns a complete MA2 model in inference task
Parameters
----------
n_obs : int
observation length of the MA2 process
true_params : list
parameters with which the observed data is generated
seed_obs : None, int
seed for the observed data generation
Returns
-------
m : elfi.ElfiModel
"""
if true_params is None:
true_params = [.6, .2]
y = MA2(*true_params,
n_obs=n_obs,
random_state=np.random.RandomState(seed_obs))
sim_fn = partial(MA2, n_obs=n_obs)
m = elfi.ElfiModel(set_current=False)
elfi.Prior(CustomPrior1, 2, model=m, name='t1')
elfi.Prior(CustomPrior2, m['t1'], 1, name='t2')
elfi.Simulator(sim_fn, m['t1'], m['t2'], observed=y, name='MA2')
elfi.Summary(autocov, m['MA2'], name='S1')
elfi.Summary(autocov, m['MA2'], 2, name='S2')
elfi.Distance('euclidean', m['S1'], m['S2'], name='d')
return m
def get_model(n_obs=100, true_params=None, seed_obs=None, n_lags=5):
"""Return a complete ARCH(1) model.
Parameters
----------
n_obs: int
Observation length of the ARCH(1) process.
true_params: list, optinal
Parameters with which the observed data are generated.
seed_obs: int, optional
Seed for the observed data generation.
n_lags: int, optional
Number of lags in summary statistics.
Returns
-------
elfi.ElfiModel
"""
if true_params is None:
true_params = [0.3, 0.7]
logger.info(
f'true_params were not given. Now using [t1, t2] = {true_params}.')
# elfi model
m = elfi.ElfiModel()
# priors
t1 = elfi.Prior('uniform', -1, 2, model=m)
t2 = elfi.Prior('uniform', 0, 1, model=m)
priors = [t1, t2]
# observations
y_obs = arch(*true_params,
n_obs=n_obs,
random_state=np.random.RandomState(seed_obs))
# simulator
Y = elfi.Simulator(arch, *priors, observed=y_obs)
# summary statistics
ss = []
ss.append(elfi.Summary(sample_mean, Y, name='MU', model=m))
ss.append(elfi.Summary(sample_variance, Y, name='VAR', model=m))
for i in range(1, n_lags + 1):
ss.append(elfi.Summary(autocorr, Y, i, name=f'AC_{i}', model=m))
for i, j in combinations(range(1, n_lags + 1), 2):
ss.append(
elfi.Summary(pairwise_autocorr,
Y,
i,
j,
name=f'PW_{i}_{j}',
model=m))
# distance
elfi.Distance('euclidean', *ss, name='d', model=m)
return m
def get_model(n_obs=50, true_params=None, seed_obs=None, stochastic=True):
"""Returns a complete Ricker model in inference task.
This is a simplified example that achieves reasonable predictions. For more extensive treatment
and description using 13 summary statistics, see:
Wood, S. N. (2010) Statistical inference for noisy nonlinear ecological dynamic systems,
Nature 466, 1102–1107.
Parameters
----------
n_obs : int, optional
Number of observations.
true_params : list, optional
Parameters with which the observed data is generated.
seed_obs : None, int, optional
Seed for the observed data generation.
stochastic : bool, optional
Whether to use the stochastic or deterministic Ricker model.
Returns
-------
m : elfi.ElfiModel
"""
if stochastic:
simulator = partial(stochastic_ricker, n_obs=n_obs)
if true_params is None:
true_params = [3.8, 0.3, 10.]
else:
simulator = partial(ricker, n_obs=n_obs)
if true_params is None:
true_params = [3.8]
m = elfi.ElfiModel()
y_obs = simulator(*true_params, n_obs=n_obs, random_state=np.random.RandomState(seed_obs))
sim_fn = partial(simulator, n_obs=n_obs)
sumstats = []
if stochastic:
elfi.Prior(ss.expon, np.e, 2, model=m, name='t1')
elfi.Prior(ss.truncnorm, 0, 5, model=m, name='t2')
elfi.Prior(ss.uniform, 0, 100, model=m, name='t3')
elfi.Simulator(sim_fn, m['t1'], m['t2'], m['t3'], observed=y_obs, name='Ricker')
sumstats.append(elfi.Summary(partial(np.mean, axis=1), m['Ricker'], name='Mean'))
sumstats.append(elfi.Summary(partial(np.var, axis=1), m['Ricker'], name='Var'))
sumstats.append(elfi.Summary(num_zeros, m['Ricker'], name='#0'))
elfi.Discrepancy(chi_squared, *sumstats, name='d')
else: # very simple deterministic case
elfi.Prior(ss.expon, np.e, model=m, name='t1')
elfi.Simulator(sim_fn, m['t1'], observed=y_obs, name='Ricker')
sumstats.append(elfi.Summary(partial(np.mean, axis=1), m['Ricker'], name='Mean'))
elfi.Distance('euclidean', *sumstats, name='d')
return m
def get_model(true_params=None, seed_obs=None, **kwargs):
"""Return a complete ELFI graph ready for inference.
Selection of true values, priors etc. follows the approach in
Numminen, E., Cheng, L., Gyllenberg, M. and Corander, J.: Estimating the transmission dynamics
of Streptococcus pneumoniae from strain prevalence data, Biometrics, 69, 748-757, 2013.
and
Gutmann M U, Corander J (2016). Bayesian Optimization for Likelihood-Free Inference
of Simulator-Based Statistical Models. JMLR 17(125):1−47, 2016.
Parameters
----------
true_params : list, optional
Parameters with which the observed data is generated.
seed_obs : int, optional
Seed for the observed data generation.
Returns
-------
m : elfi.ElfiModel
"""
logger = logging.getLogger()
if true_params is None:
true_params = [3.6, 0.6, 0.1]
m = elfi.ElfiModel()
y_obs = daycare(*true_params,
random_state=np.random.RandomState(seed_obs),
**kwargs)
sim_fn = partial(daycare, **kwargs)
priors = []
sumstats = []
priors.append(elfi.Prior('uniform', 0, 11, model=m, name='t1'))
priors.append(elfi.Prior('uniform', 0, 2, model=m, name='t2'))
priors.append(elfi.Prior('uniform', 0, 1, model=m, name='t3'))
elfi.Simulator(sim_fn, *priors, observed=y_obs, name='DCC')
sumstats.append(elfi.Summary(ss_shannon, m['DCC'], name='Shannon'))
sumstats.append(elfi.Summary(ss_strains, m['DCC'], name='n_strains'))
sumstats.append(elfi.Summary(ss_prevalence, m['DCC'], name='prevalence'))
sumstats.append(elfi.Summary(ss_prevalence_multi, m['DCC'], name='multi'))
elfi.Discrepancy(distance, *sumstats, name='d')
logger.info(
"Generated observations with true parameters "
"t1: %.1f, t2: %.3f, t3: %.1f, ", *true_params)
return m
def new_sample(MA2, t_prior, t_prior_name, N=500, y_obs=y_obs):
# ELFI also supports giving the scipy.stats distributions as strings
Y = elfi.Simulator(MA2, t_prior, observed=y_obs)
S1 = elfi.Summary(autocov, Y)
S2 = elfi.Summary(autocov, Y,
2) # the optional keyword lag is given the value 2
d = elfi.Distance('euclidean', S1, S2)
rej = elfi.Rejection(d, batch_size=5000, seed=np.random.randint(10**5))
result = rej.sample(N, quantile=0.01)
return result.samples[t_prior_name].mean(axis=0)
def get_model(n_obs=50, true_params=None, seed_obs=None, **kwargs):
"""Return a complete Lotka-Volterra model in inference task.
Parameters
----------
n_obs : int, optional
Number of observations.
true_params : list, optional
Parameters with which the observed data is generated.
seed_obs : int, optional
Seed for the observed data generation.
Returns
-------
m : elfi.ElfiModel
"""
logger = logging.getLogger()
if true_params is None:
true_params = [1.0, 0.005, 0.6, 50, 100, 10.]
kwargs['n_obs'] = n_obs
y_obs = lotka_volterra(*true_params,
random_state=np.random.RandomState(seed_obs),
**kwargs)
m = elfi.ElfiModel()
sim_fn = partial(lotka_volterra, **kwargs)
priors = []
sumstats = []
priors.append(elfi.Prior(ExpUniform, -6., 2., model=m, name='r1'))
priors.append(elfi.Prior(ExpUniform, -6., 2., model=m,
name='r2')) # easily kills populations
priors.append(elfi.Prior(ExpUniform, -6., 2., model=m, name='r3'))
priors.append(elfi.Prior('poisson', 50, model=m, name='prey0'))
priors.append(elfi.Prior('poisson', 100, model=m, name='predator0'))
priors.append(
elfi.Prior(ExpUniform, np.log(0.5), np.log(50), model=m, name='sigma'))
elfi.Simulator(sim_fn, *priors, observed=y_obs, name='LV')
sumstats.append(
elfi.Summary(partial(pick_stock, species=0), m['LV'], name='prey'))
sumstats.append(
elfi.Summary(partial(pick_stock, species=1), m['LV'], name='predator'))
elfi.Distance('sqeuclidean', *sumstats, name='d')
logger.info(
"Generated %i observations with true parameters r1: %.1f, r2: %.3f, r3: %.1f, "
"prey0: %i, predator0: %i, sigma: %.1f.", n_obs, *true_params)
return m
def test_single_parameter_linear_adjustment():
"""A regression test against values obtained in the notebook."""
seed = 20170616
n_obs = 50
batch_size = 100
mu, sigma = (5, 1)
# Hyperparameters
mu0, sigma0 = (10, 100)
y_obs = gauss.Gauss(
mu, sigma, n_obs=n_obs, batch_size=1, random_state=np.random.RandomState(seed))
sim_fn = partial(gauss.Gauss, sigma=sigma, n_obs=n_obs)
# Posterior
n = y_obs.shape[1]
mu1 = (mu0 / sigma0**2 + y_obs.sum() / sigma**2) / (1 / sigma0**2 + n / sigma**2)
sigma1 = (1 / sigma0**2 + n / sigma**2)**(-0.5)
# Model
m = elfi.ElfiModel()
elfi.Prior('norm', mu0, sigma0, model=m, name='mu')
elfi.Simulator(sim_fn, m['mu'], observed=y_obs, name='Gauss')
elfi.Summary(lambda x: x.mean(axis=1), m['Gauss'], name='S1')
elfi.Distance('euclidean', m['S1'], name='d')
res = elfi.Rejection(m['d'], output_names=['S1'], seed=seed).sample(1000, threshold=1)
adj = elfi.adjust_posterior(model=m, sample=res, parameter_names=['mu'], summary_names=['S1'])
assert np.allclose(_statistics(adj.outputs['mu']), (4.9772879640569778, 0.02058680115402544))
def get_model(p, elfi_p, rl_p, observation):
env = SearchEnvironment(menu_type=p.menu_type,
menu_groups=p.menu_groups,
menu_items_per_group=p.menu_items_per_group,
semantic_levels=p.semantic_levels,
gap_between_items=p.gap_between_items,
prop_target_absent=p.prop_target_absent,
length_observations=p.length_observations,
p_obs_len_cur=p.p_obs_len_cur,
p_obs_len_adj=p.p_obs_len_adj,
n_training_menus=p.n_training_menus)
task = SearchTask(
env=env,
max_number_of_actions_per_session=p.max_number_of_actions_per_session)
rl = RLModel(rl_params=rl_p,
parameter_names=[p.name[4:] for p in elfi_p],
env=env,
task=task,
clean_after_call=True)
model = elfi_p[0].model
simulator = elfi.Simulator(elfi.tools.vectorize(rl),
*elfi_p,
model=model,
observed=observation,
name="simulator")
summary = elfi.Summary(elfi.tools.vectorize(
partial(summary_function, maxlen=p.max_number_of_actions_per_session)),
simulator,
model=model,
name="summary")
discrepancy = elfi.Discrepancy(elfi.tools.vectorize(discrepancy_function),
summary,
model=model,
name="discrepancy")
return model
def test_summary_discrepancy_input_dimensions(self):
np.random.seed(23876123)
for i in range(20):
# dimensions
n_samples = np.random.randint(1,5)
n_sum = np.random.randint(1,5)
n_dims = [np.random.randint(1,5) for i in range(n_sum)]
dims = [tuple([np.random.randint(1,5) for j in range(n_dims[i])]) for i in range(n_sum)]
# data
ret = np.zeros((n_samples, 1))
obs = ret[0]
# summary
def mock_summary(i, x):
return np.zeros((x.shape[0], ) + dims[i])
# discrepancy
def mock_discrepancy(x, y):
assert len(x) == len(y) == n_sum
for i in range(n_sum):
exp_dims = dims[i]
if len(exp_dims) == 0:
exp_dims = (1,)
assert y[i].shape == (1,) + exp_dims
assert x[i].shape == (n_samples,) + exp_dims
return np.zeros((n_samples, 1))
# model
mock = MockSimulator(ret)
si = elfi.Simulator("si", mock, None, observed=obs)
su = [elfi.Summary("su{}".format(i), partial(mock_summary, i), si) for i in range(n_sum)]
di = elfi.Discrepancy("di", mock_discrepancy, *su)
res = di.generate(n_samples).compute()
assert res.shape == (n_samples, 1)
def test_simulator_summary_input_dimensions(self):
np.random.seed(438763)
for i in range(20):
# dimensions
n_samples = np.random.randint(1,5)
n_in_dims = np.random.randint(1,5)
in_dims = [np.random.randint(1,5) for i in range(n_in_dims)]
in_dims[0] = max(2, in_dims[0])
in_dims = tuple(in_dims)
n_out_dims = np.random.randint(1,5)
out_dims = tuple([np.random.randint(1,5) for i in range(n_out_dims)])
# data
ret = np.zeros((n_samples, ) + in_dims)
obs = ret[0]
# summary
def mock_summary(x):
exp_in_dims = in_dims
if len(exp_in_dims) == 0:
exp_in_dims = (1,)
if x.shape == (n_samples, ) + exp_in_dims:
# simulation data
return np.zeros((n_samples,) + out_dims)
elif x.shape == (1,) + exp_in_dims:
# observation data
return np.zeros((1,) + out_dims)
assert False
# model
mock = MockSimulator(ret)
si = elfi.Simulator("si", mock, None, observed=obs)
su = elfi.Summary("su", mock_summary, si)
res = su.generate(n_samples).compute()
exp_out_dims = out_dims
if len(exp_out_dims) == 0:
exp_out_dims = (1,)
assert res.shape == (n_samples,) + exp_out_dims
def test_list_output():
vsim = elfi.tools.vectorize(lsimulator)
vsum = elfi.tools.vectorize(lsummary)
v = vsim(np.array([[.2, .8], [.3, .7]]))
assert is_array(v)
assert not isinstance(v[0], list)
vsim = elfi.tools.vectorize(lsimulator, dtype=False)
v = vsim(np.array([[.2, .8], [.3, .7]]))
assert is_array(v)
assert isinstance(v[0], list)
obs = lsimulator([.2, .8])
elfi.new_model()
p = elfi.Prior('dirichlet', [2, 2])
sim = elfi.Simulator(vsim, p, observed=obs)
S = elfi.Summary(vsum, sim)
d = elfi.Distance('euclidean', S)
pool = elfi.OutputPool(['sim'])
rej = elfi.Rejection(d, batch_size=100, pool=pool, output_names=['sim'])
sample = rej.sample(100, n_sim=1000)
mean = np.mean(sample.samples['p'], axis=0)
# Crude test
assert mean[1] > mean[0]
def get_model(alpha=0.2, delta=0, tau=0.198, N=20, seed_obs=None):
"""Returns the example model used in Lintusaari et al. 2016.
Here we infer alpha using the summary statistic T1. We expect the executable `bdm` be
available in the working directory.
Parameters
----------
alpha : float
birth rate
delta : float
death rate
tau : float
mutation rate
N : int
size of the population
seed_obs : None, int
Seed for the observed data generation. None gives the same data as in
Lintusaari et al. 2016
Returns
-------
m : elfi.ElfiModel
"""
if seed_obs is None and N == 20:
y = np.zeros(N, dtype='int16')
data = np.array([6, 3, 2, 2, 1, 1, 1, 1, 1, 1, 1], dtype='int16')
y[0:len(data)] = data
else:
y = BDM(alpha,
delta,
tau,
N,
random_state=np.random.RandomState(seed_obs))
m = elfi.ElfiModel(name='bdm')
elfi.Prior('uniform', .005, 2, model=m, name='alpha')
elfi.Simulator(BDM, m['alpha'], delta, tau, N, observed=y, name='BDM')
elfi.Summary(T1, m['BDM'], name='T1')
elfi.Distance('minkowski', m['T1'], p=1, name='d')
m['BDM'].uses_meta = True
# Warn the user if the executable is not present
if not os.path.isfile('bdm') and not os.path.isfile('bdm.exe'):
cpp_path = get_sources_path()
warnings.warn(
"This model uses an external simulator `bdm` implemented in C++ "
"that needs to be compiled and copied to your working directory. "
"We could not find it from your current working directory. Please"
"copy the folder `{}` to your working directory "
"and compile the source.".format(cpp_path), RuntimeWarning)
return m
def build(self,
model,
pattern,
prior_pos,
prior_cov=64,
r_bound=47.9,
pmt_mask=np.ones(127)):
### Build Priors
px = elfi.Prior(BoundedNormal_x, r_bound, prior_pos, prior_cov)
py = elfi.Prior(BoundedNormal_y, px, r_bound, prior_pos, prior_cov)
### Build Model
model = elfi.tools.vectorize(model)
Y = elfi.Simulator(model, px, py, observed=np.array([pattern]))
# TODO implement PMT mask here
#def summarize(data, key):
# # Select either energy or time for model output.
# return np.array([v[key] for v in data])
def summarize(data):
return np.array(
[list(v['energy']) + list(v['time']) for v in data])
# Build summary stat for energy and time
#S1 = elfi.Summary(summarize, Y, 'energy')
#S2 = elfi.Summary(summarize, Y, 'time')
S1 = elfi.Summary(summarize, Y)
d = elfi.Distance('braycurtis', S1)
log_d = elfi.Operation(np.log, d)
# set the ELFI model so we can remove it later
self.model = px.model
### Setup BOLFI
bounds = {'px': (-r_bound, r_bound), 'py': (-r_bound, r_bound)}
target_model = GPyRegression(log_d.model.parameter_names,
bounds=bounds)
acquisition_method = ConstraintLCBSC(target_model,
prior=ModelPrior(log_d.model),
noise_var=[1, 1],
exploration_rate=10)
bolfi = elfi.BOLFI(
log_d,
batch_size=1,
initial_evidence=50,
update_interval=1,
# bounds=bounds, # Not used when using target_model
target_model=target_model,
# acq_noise_var=[0.1, 0.1], # Not used when using acq method
acquisition_method=acquisition_method,
)
return bolfi
def get_model(n_obs=50, true_params=None, stats_summary=None, seed_obs=None):
"""Return an initialised univariate g-and-k model.
Parameters
----------
n_obs : int, optional
The number of the observed points.
true_params : array_like, optional
The parameters defining the model.
stats_summary : array_like, optional
The chosen summary statistics, expressed as a list of strings.
Options: ['ss_order'], ['ss_robust'], ['ss_octile'].
seed_obs : np.random.RandomState, optional
Returns
-------
elfi.ElfiModel
"""
m = elfi.ElfiModel()
# Initialising the default parameter settings as given in [2].
if true_params is None:
true_params = [3, 1, 2, .5]
if stats_summary is None:
stats_summary = ['ss_order']
# Initialising the default prior settings as given in [2].
elfi.Prior('uniform', 0, 10, model=m, name='a')
elfi.Prior('uniform', 0, 10, model=m, name='b')
elfi.Prior('uniform', 0, 10, model=m, name='g')
elfi.Prior('uniform', 0, 10, model=m, name='k')
# Generating the observations.
y_obs = GNK(*true_params, n_obs=n_obs,
random_state=np.random.RandomState(seed_obs))
# Defining the simulator.
fn_sim = partial(GNK, n_obs=n_obs)
elfi.Simulator(fn_sim, m['a'], m['b'], m['g'], m['k'], observed=y_obs,
name='GNK')
# Initialising the chosen summary statistics.
fns_summary_all = [ss_order, ss_robust, ss_octile]
fns_summary_chosen = []
for fn_summary in fns_summary_all:
if fn_summary.__name__ in stats_summary:
summary = elfi.Summary(fn_summary, m['GNK'],
name=fn_summary.__name__)
fns_summary_chosen.append(summary)
elfi.Discrepancy(euclidean_multidim, *fns_summary_chosen, name='d')
return m
def sleep_model(request):
"""The true param will be half of the given sleep time."""
ub_sec = request.param or .5
m = elfi.ElfiModel()
elfi.Constant(ub_sec, model=m, name='ub')
elfi.Prior('uniform', 0, m['ub'], model=m, name='sec')
elfi.Simulator(sleeper, m['sec'], model=m, name='slept')
elfi.Summary(no_op, m['slept'], model=m, name='summary')
elfi.Distance('euclidean', m['summary'], model=m, name='d')
m.observed['slept'] = ub_sec / 2
return m
def predict(self, data_test):
elfi.new_model("SMC")
prior = elfi.Prior(MVUniform, self.p_lower, self.p_upper)
sim = elfi.Simulator(self.simulator,
prior,
observed=data_test,
name='sim')
SS = elfi.Summary(self.identity, sim, name='identity')
d = elfi.Distance('euclidean', SS, name='d')
smc = elfi.SMC(d, batch_size=1, seed=42)
samples = smc.sample(self.n_particles, [self.threshold])
return samples.samples_array
def get_model(p):
y_obs = np.zeros(p)
y_obs[0] = 10
y_obs = y_obs[None, :]
sim = Simulator(p=p)
m = elfi.ElfiModel()
mu = elfi.Prior(TwistedNormal(p=p), model=m, name='mu')
simulator = elfi.Simulator(sim, mu, observed=y_obs, name='Gauss')
summary = elfi.Summary(identity, simulator, name='summary')
return m
def get_model(n_obs=150, true_params=None, seed=None):
"""Return an initialised bivariate g-and-k model.
Parameters
----------
n_obs : int, optional
Number of the observations.
true_params : array_like, optional
Parameters defining the model.
seed : np.random.RandomState, optional
Returns
-------
elfi.ElfiModel
"""
m = elfi.new_model()
# Initialising the parameters as in Drovandi & Pettitt (2011).
if true_params is None:
true_params = [3, 4, 1, 0.5, 1, 2, .5, .4, 0.6]
# Initialising the prior settings as in Drovandi & Pettitt (2011).
priors = []
priors.append(elfi.Prior('uniform', 0, 5, model=m, name='a1'))
priors.append(elfi.Prior('uniform', 0, 5, model=m, name='a2'))
priors.append(elfi.Prior('uniform', 0, 5, model=m, name='b1'))
priors.append(elfi.Prior('uniform', 0, 5, model=m, name='b2'))
priors.append(elfi.Prior('uniform', -5, 10, model=m, name='g1'))
priors.append(elfi.Prior('uniform', -5, 10, model=m, name='g2'))
priors.append(elfi.Prior('uniform', -.5, 5.5, model=m, name='k1'))
priors.append(elfi.Prior('uniform', -.5, 5.5, model=m, name='k2'))
EPS = np.finfo(float).eps
priors.append(
elfi.Prior('uniform', -1 + EPS, 2 - 2 * EPS, model=m, name='rho'))
# Obtaining the observations.
y_obs = BiGNK(*true_params,
n_obs=n_obs,
random_state=np.random.RandomState(seed))
# Defining the simulator.
fn_simulator = partial(BiGNK, n_obs=n_obs)
elfi.Simulator(fn_simulator, *priors, observed=y_obs, name='BiGNK')
# Initialising the default summary statistics.
default_ss = elfi.Summary(ss_robust, m['BiGNK'], name='ss_robust')
# Using the customEuclidean distance function designed for
# the summary statistics of shape (batch_size, dim_ss, dim_ss_point).
elfi.Discrepancy(euclidean_multiss, default_ss, name='d')
return m
def simple_gaussian_model(true_param, seed, n_summaries=10):
"""The simple gaussian model that has been used as a toy example in the LFIRE paper."""
def power(x, y):
return x**y
m = elfi.ElfiModel()
mu = elfi.Prior('uniform', -5, 10, model=m, name='mu')
y = elfi.Simulator(gauss,
*[mu],
observed=gauss(true_param, seed=seed),
name='y')
for i in range(n_summaries):
elfi.Summary(power, y, i, model=m, name=f'power_{i}')
return m
def set_simple_model(self, vectorized=True):
self.mock_sim_calls = 0
self.mock_sum_calls = 0
self.mock_dis_calls = 0
self.bounds = ((0, 1), )
self.input_dim = 1
self.obs = self.mock_simulator(0.)
self.mock_sim_calls = 0
self.p = elfi.Prior('p', 'uniform', 0, 1)
self.Y = elfi.Simulator('Y',
self.mock_simulator,
self.p,
observed=self.obs,
vectorized=vectorized)
self.S = elfi.Summary('S', self.mock_summary, self.Y)
self.d = elfi.Discrepancy('d', self.mock_discrepancy, self.S)
def run_local_object_cache_test(self, local_store):
sleep_time = .2
simfn = get_sleep_simulator(sleep_time)
sim = elfi.Simulator("sim", simfn, observed=0, store=local_store)
run_cache_test(sim, sleep_time)
assert local_store._read_data("sim", 0)[0] == 1
# Test that nodes derived from `sim` benefit from the storing
summ = elfi.Summary("sum", lambda x: x, sim)
t0 = timeit.default_timer()
res = summ.acquire(1).compute()
td = timeit.default_timer() - t0
assert td < sleep_time
assert res[0][0] == 1
clear_elfi_client()
def get_model(p, elfi_p, observation):
model = elfi_p[0].model
cm = ChoiceModel(p)
simulator = elfi.Simulator(elfi.tools.vectorize(cm),
*elfi_p,
model=model,
name="simulator")
summary = elfi.Summary(elfi.tools.vectorize(summary_function),
simulator,
model=model,
observed=observation,
name="summary")
discrepancy = elfi.Discrepancy(elfi.tools.vectorize(discrepancy_function),
summary,
model=model,
name="discrepancy")
return model
def get_model(n_obs=50, true_params=None, seed=None):
"""Initialise the g-and-k model.
Parameters
----------
n_obs : int, optional
Number of the observations.
true_params : array_like, optional
Parameters defining the model.
seed : np.random.RandomState, optional
Returns
-------
elfi.ElfiModel
"""
m = elfi.new_model()
# Initialising the parameters as in Allingham et al. (2009).
if true_params is None:
true_params = [3, 1, 2, .5]
# Initialising the prior settings as in Allingham et al. (2009).
priors = []
priors.append(elfi.Prior('uniform', 0, 10, model=m, name='A'))
priors.append(elfi.Prior('uniform', 0, 10, model=m, name='B'))
priors.append(elfi.Prior('uniform', 0, 10, model=m, name='g'))
priors.append(elfi.Prior('uniform', 0, 10, model=m, name='k'))
# Obtaining the observations.
y_obs = GNK(*true_params,
n_obs=n_obs,
random_state=np.random.RandomState(seed))
# Defining the simulator.
fn_simulator = partial(GNK, n_obs=n_obs)
elfi.Simulator(fn_simulator, *priors, observed=y_obs, name='GNK')
# Initialising the summary statistics as in Allingham et al. (2009).
default_ss = elfi.Summary(ss_order, m['GNK'], name='ss_order')
# Using the multi-dimensional Euclidean distance function as
# the summary statistics' implementations are designed for multi-dimensional cases.
elfi.Discrepancy(euclidean_multiss, default_ss, name='d')
return m
def test_dict_output():
vsim = elfi.tools.vectorize(simulator)
vsum = elfi.tools.vectorize(summary)
obs = simulator([.2, .8])
elfi.new_model()
p = elfi.Prior('dirichlet', [2, 2])
sim = elfi.Simulator(vsim, p, observed=obs)
S = elfi.Summary(vsum, sim)
d = elfi.Distance('euclidean', S)
pool = elfi.OutputPool(['sim'])
rej = elfi.Rejection(d, batch_size=100, pool=pool, output_names=['sim'])
sample = rej.sample(100, n_sim=1000)
mean = np.mean(sample.samples['p'], axis=0)
# Crude test
assert mean[1] > mean[0]
def _obtain_accepted_thetas(self, set_ss, n_sim, n_acc, batch_size):
"""Perform the ABC-rejection sampling and identify `closest' parameters.
The sampling is performed using the initialised simulator.
Parameters
----------
set_ss : List
Summary-statistics combination to be used in the rejection sampling.
n_sim : int
Number of the iterations of the rejection sampling.
n_acc : int
Number of the accepted parameters.
batch_size : int
Number of samples per batch.
Returns
-------
array_like
Accepted parameters.
"""
# Initialise the distance function.
m = self.simulator.model.copy()
list_ss = []
for ss in set_ss:
list_ss.append(elfi.Summary(ss, m[self.simulator.name], model=m))
if isinstance(self.fn_distance, str):
d = elfi.Distance(self.fn_distance, *list_ss, model=m)
else:
d = elfi.Discrepancy(self.fn_distance, *list_ss, model=m)
# Run the simulations.
# TODO: include different distance functions in the summary-statistics combinations.
sampler_rejection = elfi.Rejection(d,
batch_size=batch_size,
seed=self.seed,
pool=self.pool)
result = sampler_rejection.sample(n_acc, n_sim=n_sim)
# Extract the accepted parameters.
thetas_acc = result.samples_array
return thetas_acc
def test_worker_memory_cache(self):
sleep_time = .2
simfn = get_sleep_simulator(sleep_time)
sim = elfi.Simulator("sim",
simfn,
observed=0,
store=elfi.MemoryStore())
res = run_cache_test(sim, sleep_time)
assert res[0][0] == 1
# Test that nodes derived from `sim` benefit from the caching
summ = elfi.Summary("sum", lambda x: x, sim)
t0 = timeit.default_timer()
res = summ.acquire(1).compute()
td = timeit.default_timer() - t0
assert td < sleep_time
assert res[0][0] == 1
clear_elfi_client()
def predict(self, data_test):
elfi.new_model("BOLFI")
prior = elfi.Prior(MVUniform, self.p_lower, self.p_upper)
sim = elfi.Simulator(self.simulator,
prior,
observed=data_test,
name='sim')
SS = elfi.Summary(self.identity, sim, name='identity')
d = elfi.Distance('euclidean', SS, name='d')
log_d = elfi.Operation(np.log, d)
bolfi = elfi.BOLFI(log_d,
batch_size=1,
initial_evidence=20,
update_interval=10,
acq_noise_var=self.p_lower.size * [0.1],
bounds=None,
seed=42)
bolfi.fit(n_evidence=self.n_particles)
post = bolfi.extract_posterior(-1.)
samples = post.model.X
return samples
def make_distances(full_indices,
summary,
discrepancy_factory=None,
inplace=False):
"""Construct discrepancy nodes for each informative subset of the summary statistic.
Parameters
----------
full_indices : dict
A dictionary specifying all the informative subsets of the summary statistic.
summary : elfi.Summary
The summary statistic node in the inference model.
discrepancy_factory
A function which takes an ELFI node as an argument
and returns a discrepancy node (e.g. elfi.Distance).
inplace : bool
If true, the inference model is modified in place.
Returns
-------
distances
A dictionary mapping indices to corresponding discrepancy nodes.
"""
discrepancy_factory = discrepancy_factory or Distance()
if not inplace:
model_copy = summary.model.copy()
summary_name = summary.name
summary = model_copy[summary_name]
res = {}
for i, pair in enumerate(full_indices.items()):
param, indices = pair
sliced = elfi.Summary(sliced_summary(indices),
summary,
name='S{}'.format(i))
res[param] = discrepancy_factory(sliced, i)
return res
