def test_autocorr_multi_works():
np.random.seed(42)
xs = np.random.randn(16384, 2)
# This throws exception unconditionally in buggy impl's
acls_multi = integrated_time(xs)
acls_single = np.array(
[integrated_time(xs[:, i]) for i in range(xs.shape[1])])
assert np.all(np.abs(acls_multi - acls_single) < 2)
def test_autocorr_multi_works():
np.random.seed(42)
xs = np.random.randn(16384, 2)
# This throws exception unconditionally in buggy impl's
acls_multi = integrated_time(xs)
acls_single = np.array([integrated_time(xs[:, i])
for i in range(xs.shape[1])])
assert np.all(np.abs(acls_multi - acls_single) < 2)
def plot_autocorr(sampler, nburn, itemp=0, outfile=None):
nwalkers = sampler.chain.shape[1]
samples_before = sampler.chain[itemp, :, :nburn]
samples_after = sampler.chain[itemp, :, nburn:]
a_before = [autocorr.function(samples_before[i]) for i in range(nwalkers)]
a_int_before = max(
np.max([
autocorr.integrated_time(samples_before[i])
for i in range(nwalkers)
], 0))
fig, [ax1, ax2] = plt.subplots(2)
for a in a_before:
ax1.plot(a[:200], "k", alpha=0.1)
ax1.axhline(0, color="k")
ax1.set_xlim(0, 200)
ax1.set_xlabel(r"$\tau$")
ax1.set_ylabel(r"Autocorrelation during burn-in")
ax1.text(0.9,
0.9,
'{}'.format(a_int_before),
horizontalalignment='right',
verticalalignment='top',
transform=ax1.transAxes)
a_after = [autocorr.function(samples_after[i]) for i in range(nwalkers)]
a_int_after = max(
np.max([
autocorr.integrated_time(samples_after[i]) for i in range(nwalkers)
], 0))
for a in a_after:
ax2.plot(a[:200], "k", alpha=0.1)
ax2.axhline(0, color="k")
ax2.set_xlim(0, 200)
ax2.set_xlabel(r"$\tau$")
ax2.set_ylabel(r"Autocorrelation after burn-in")
ax2.text(0.9,
0.9,
'{}'.format(a_int_after),
horizontalalignment='right',
verticalalignment='top',
transform=ax2.transAxes)
plt.suptitle('autocorrelation')
plt.tight_layout()
plt.subplots_adjust(top=0.9)
if outfile is not None:
plt.savefig(outfile)
def get_autocor(chainFile='chain.pkl'):
'''
get the AC length across all iterations for each param averaging over all the walkers
Returns
-------
idx: int
max. ac length among all parameters
'''
# chainFile = 'chain_reconstructed.pkl'
import cPickle as pickle
with open(chainFile) as f:
chain = pickle.load(f)
from emcee import autocorr
import numpy as np
ac = []
for i in range(chain.shape[-1]):
dum = autocorr.integrated_time(np.mean(chain[:, :, i], axis=0), axis=0, fast=False)
ac.append(dum)
autocorr_message = '{0:.2f}'.format(dum)
# print(autocorr_message)
try:
idx = int(np.max(ac))
except ValueError:
idx = 150
return idx
def show_autocorrelation_time(self, figure=None, labels=[], burn=0, thin=1, accepted_only=False, figsize=None,
**kwargs):
from emcee.autocorr import integrated_time
if figure:
# print('autocorr', figure.number)
figure.clf()
else:
figure = plt.figure(figsize=figsize)
ax = figure.subplots()
samples = self.get_samples(burn=burn, thin=thin, accepted_only=accepted_only)
rep, last = len(samples) // 50, len(samples) % 50
if rep == 0:
warn('Too low number of iterations to calculate autocorrelation time (min 50 required).')
return figure
tau = np.empty((rep + 1, self.Ndim)) if last else np.empty((rep, self.Ndim))
Niterate = np.arange(1, rep + 1) * 50
# color = kwargs.pop('color',['r','g','b'])
# if type(color)==str or len(color)==1: color = list(np.atleast_1d(color))*self.Ndim
newkwargs = [{} for _ in range(self.Ndim)]
for key in kwargs:
if isinstance(kwargs[key], (list, tuple)) and len(kwargs[key]) == self.Ndim:
val = kwargs.pop(key)
for i in range(self.Ndim): newkwargs[i].update({key: val[i]})
for i in range(rep): tau[i] = integrated_time(samples[:50 * (i + 1)], tol=0)
if last:
tau[-1] = integrated_time(samples, tol=0)
Niterate = np.append(Niterate, len(samples))
# print(tau)
for i in range(self.Ndim):
newkwargs[i].update(kwargs.copy())
ax.plot(Niterate, tau[:, i], **newkwargs[i])
# print(tau[:,i])
if np.any(np.isnan(tau[-1])): self.autocorr_nanlen = len(samples)
ax.set_xlabel('Step number')
ax.set_ylabel('Autocorrelation time ($\\tau$)')
ax.xaxis.set_label_coords(0.5, -0.1)
ax.yaxis.set_label_coords(-0.1, 0.5)
figure.suptitle(f'Iteration: {self.sampler.iteration}')
# figure.canvas.draw()
# figure.canvas.flush_events()
show_accto_backend(figure)
# plt.pause(0.2)
return figure
def remove_burn_in(self, chain):
from emcee.autocorr import integrated_time
nsteps = self.p.get("mcmc")["n_steps"]
nwalkers = self.p.get("mcmc")["n_walkers"]
# first dim should be time
chain = chain.reshape((nsteps, nwalkers))
tau = integrated_time(chain, tol=20, quiet=True)
# remove burn-in elements from chain
chain = chain[int(np.ceil(tau)):].flatten()
return chain
def get_autocorr_time(self, window=50):
"""
Compute an estimate of the autocorrelation time for each parameter
(length: ``dim``).
:param window: (optional)
The size of the windowing function. This is equivalent to the
maximum number of lags to use. (default: 50)
"""
return autocorr.integrated_time(self.chain, axis=0, window=window)
def get_autocorr_time(self, window=50):
"""
Compute an estimate of the autocorrelation time for each parameter
(length: ``dim``).
:param window: (optional)
The size of the windowing function. This is equivalent to the
maximum number of lags to use. (default: 50)
"""
return autocorr.integrated_time(self.chain, axis=0, window=window)
def correlation_time(chain, window=None, c=10, fast=False):
from emcee.autocorr import integrated_time
nw, nstep, ndim = chain.shape
x = np.mean(chain, axis=0)
m = 0
if window is None:
for m in np.arange(10, nstep):
tau = integrated_time(x, axis=0, fast=fast,
window=m)
if np.all(tau * c < m) and np.all(tau > 0):
break
window = m
else:
tau = integrated_time(x, axis=0, fast=fast,
window=window)
if m == (nstep-1) or (np.any(tau < 0)):
raise(ValueError)
return tau, window
def get_kernel(t, x, f, ell_factor=5, tau_factor=2, amp_factor=10, K=10000):
# Estimate hyperparameters and set up the kernel.
i = np.random.randint(len(x), size=K)
j = np.random.randint(len(x), size=K)
r = np.sqrt(np.median(np.sum((x[i]-x[j])**2, axis=1)))
amp = amp_factor * np.var(f)
tau2 = (tau_factor * np.median(np.diff(t)) * integrated_time(f)) ** 2
kernel = IsotropicKernel(amp, ell_factor * r, ndim=x.shape[1])
print(amp, r, tau2)
K = kernel(x, x) * np.exp(-0.5 * (t[None, :] - t[:, None])**2 / tau2)
return K
def get_kernel(t, x, f, ell_factor=5, tau_factor=2, amp_factor=10, K=10000):
# Estimate hyperparameters and set up the kernel.
i = np.random.randint(len(x), size=K)
j = np.random.randint(len(x), size=K)
r = np.sqrt(np.median(np.sum((x[i] - x[j])**2, axis=1)))
amp = amp_factor * np.var(f)
tau2 = (tau_factor * np.median(np.diff(t)) * integrated_time(f))**2
kernel = IsotropicKernel(amp, ell_factor * r, ndim=x.shape[1])
print(amp, r, tau2)
K = kernel(x, x) * np.exp(-0.5 * (t[None, :] - t[:, None])**2 / tau2)
return K
def autocorrelation(chain,labels,plt_label):
npars = chain.shape[1]
maxlags = chain.shape[0]/5.
nlags = 100
lags = np.linspace(1,maxlags,nlags).astype(int)
tau = np.zeros(shape=(lags.shape[0],npars))
for l, lag in enumerate(lags):
#print('maxlag:{}').format(lag)
print l
for i in xrange(npars):
tau[l,i] = acor.acor(chain[:,i], maxlag=lag)[0]
#print('\t '+labels[i]+': {0}'.format(tau[l,i]))
### emcee version
from emcee import autocorr
c = 10
good = False
while good == False:
try:
emcee_tau = autocorr.integrated_time(chain, c=c)
good = True
except:
if c > 2:
c -= 0.5
else:
c = c ** 0.95
if (c-1) < 1e-3:
print 'FAILED TO CALCULATE AUTOCORRELATION TIMES'
emcee_tau = np.zeros(len(labels))
break
print 'AUTOCORRELATION LENGTHS'
for r, l in zip(emcee_tau,labels): print l+': '+"{:.2f}".format(r)
### plotting
fig, ax = plt.subplots(1,1, figsize=(8,8))
cmap = get_cmap(npars)
for i in xrange(npars):
ax.plot(lags,tau[:,i],label=labels[i]+'='+"{:.2f}".format(emcee_tau[i]),color=cmap(i),lw=2)
ax.set_xlabel('lag')
ax.set_ylabel('autocorrelation')
ax.legend(prop={'size':10},title='autocorrelation lengths',ncol=npars / 5,numpoints=1,markerscale=0.7)
fig.tight_layout()
plt.savefig('autocorrelation_time_'+plt_label+'.png',dpi=150)
plt.close()
def get_tau(self, chains):
from emcee.autocorr import integrated_time
nsteps = self.p.get("mcmc")["n_steps"]
nwalkers = self.p.get("mcmc")["n_walkers"]
pars = list(chains.keys())
npars = len(pars)
nzbins = len(self.p.get("data_vectors"))
taus = np.zeros((npars, nzbins))
for i, par in enumerate(pars):
for j, chain in enumerate(chains[par]):
# first dim should be time
chain = chain.reshape((nsteps, nwalkers))
taus[i, j] = integrated_time(chain, tol=20, quiet=True)
return taus
def plot_acor(sampler, nmin=100, nsample=10, tol_length=50, ax=None, **kwargs):
if ax is None:
fig, ax = plt.subplots(**kwargs)
chain = sampler.get_chain(discard=sampler.nburn)
assert len(chain) > nmin, "Not enough samples in chain"
n, tau = np.transpose([(nmax, np.mean(integrated_time(chain[:nmax], tol=0)))
for nmax in tqdm(np.linspace(100, len(chain), nsample, dtype=int),
desc="Compute autocorrelation times")])
ax.plot(n, tau)
ax.plot(n, n/tol_length, linestyle="--", color="gray")
ax.set_ylabel(r"$\tau$")
return ax.get_figure(), ax
def autocor_checks(sampler, nburn, itemp=0, outfile=None):
print('Chains contain {} samples'.format(sampler.chain.shape[-2]),
file=outfile)
print('Specified burn-in is {} samples'.format(nburn), file=outfile)
a_exp = sampler.acor[0]
a_int = np.max([
autocorr.integrated_time(sampler.chain[itemp, i, nburn:])
for i in range(sampler.chain.shape[1])
], 0)
a_exp = max(a_exp)
a_int = max(a_int)
print('A reasonable burn-in should be around '
'{:d} steps'.format(int(10 * a_exp)),
file=outfile)
print('After burn-in, each chain produces one independent '
'sample per {:d} steps'.format(int(a_int)),
file=outfile)
return a_exp, a_int
def autocorrelation(self, inputData, nMax):
predictions = self.predict(inputData, n=1)
output = np.squeeze(np.array(predictions)).T
valFunc=0
accepted=0
for x in range(len(output)):
temp = (integrated_time(output[x], tol=5, quiet=True))
if(not math.isnan(temp)):
valFunc += np.array((function_1d(output[x])))
accepted+=1
valFunc=valFunc/accepted
if(nMax<len(valFunc)):
valFunc = valFunc[:nMax]
return(valFunc)
def autoCorrelationLength(self, inputData, nMax):
predictions = self.predict(inputData, n=1)
output = np.squeeze(np.array(predictions)).T
val=0
accepted=0
for x in range(len(output)):
temp = (integrated_time(output[x], tol=5, quiet=True))
if(not math.isnan(temp)):
val += temp
accepted+=1
val=val/accepted
if(val[0]>nMax):
print("Correlation time is greater than maximum accepted value.")
return(val[0])
def __init__(self, lc, dist_factor=10.0, time_factor=0.1, matern=False):
self.time = lc.time
self.flux = lc.flux - 1.0
self.ferr = lc.ferr
# Convert to parts per thousand.
self.flux *= 1e3
self.ferr *= 1e3
# Hackishly build a kernel.
tau = np.median(np.diff(self.time)) * integrated_time(self.flux)
tau = max(0.1, tau) # Tau should be floored.
amp = np.median((self.flux - np.median(self.flux))**2)
self.kernel = amp * ExpSquaredKernel(tau**2)
self.gp = george.GP(self.kernel, solver=george.HODLRSolver)
self.gp.compute(self.time, self.ferr, seed=1234)
# Compute the likelihood of the null model.
self.ll0 = self.lnlike()
def __init__(self, lc, dist_factor=10.0, time_factor=0.1, matern=False):
self.time = lc.time
self.flux = lc.flux - 1.0
self.ferr = lc.ferr
# Convert to parts per thousand.
self.flux *= 1e3
self.ferr *= 1e3
# Hackishly build a kernel.
tau = np.median(np.diff(self.time)) * integrated_time(self.flux)
tau = max(0.1, tau) # Tau should be floored.
amp = np.median((self.flux - np.median(self.flux))**2)
self.kernel = amp * ExpSquaredKernel(tau ** 2)
self.gp = george.GP(self.kernel, solver=george.HODLRSolver)
self.gp.compute(self.time, self.ferr, seed=1234)
# Compute the likelihood of the null model.
self.ll0 = self.lnlike()
def autocorrelation(mcmc_fit_instance,
correlations_to_plot=None,
flat_chain=None,
variable_labels=None):
"""
Plots correlation function of defined parameters.
:param mcmc_fit_instance: Union[elisa.analytics.binary_fit.lc_fit.LCFit, elisa.analytics.binary_fit.rv_fit.RVFit];
:param correlations_to_plot: List; names of variables which autocorrelation function will be displayed
:param flat_chain: numpy.array; flattened chain of all parameters
:param variable_labels: List; list of variables during a MCMC run, which is used
to identify columns in `flat_chain`
"""
autocorr_plot_kwargs = dict()
flat_chain = deepcopy(mcmc_fit_instance.flat_chain
) if flat_chain is None else deepcopy(flat_chain)
variable_labels = mcmc_fit_instance.variable_labels if variable_labels is None else variable_labels
correlations_to_plot = variable_labels if correlations_to_plot is None else correlations_to_plot
if flat_chain is None:
raise ValueError('You can use trace plot only in case of mcmc method '
'or for some reason the flat chain was not found.')
labels = serialize_plot_labels(variable_labels)
autocorr_fns = np.empty((flat_chain.shape[0], len(variable_labels)))
autocorr_time = np.empty((flat_chain.shape[0]))
for i, lbl in enumerate(variable_labels):
autocorr_fns[:, i] = function_1d(flat_chain[:, i])
autocorr_time[i] = integrated_time(flat_chain[:, i], quiet=True)
autocorr_plot_kwargs.update({
'correlations_to_plot': correlations_to_plot,
'autocorr_fns': autocorr_fns,
'autocorr_time': autocorr_time,
'variable_labels': variable_labels,
'labels': labels
})
MCMCPlot.autocorr(**autocorr_plot_kwargs)
def main(config_file, mpi=False, threads=None, overwrite=False, continue_sampler=False):
""" TODO: """
# get a pool object given the configuration parameters
# -- This needs to go here so I don't read in the particle file for each thread. --
pool = get_pool(mpi=mpi, threads=threads)
# read configuration from a YAML file
config = io.read_config(config_file)
np.random.seed(config["seed"])
random.seed(config["seed"])
if not os.path.exists(config['streams_path']):
raise IOError("Specified streams path '{}' doesn't exist!".format(config['streams_path']))
logger.debug("Path to streams project: {}".format(config['streams_path']))
# the path to write things to
output_path = config["output_path"]
logger.debug("Will write data to:\n\t{}".format(output_path))
cache_output_path = os.path.join(output_path, "cache")
# get a StreamModel from a config dict
model = si.StreamModel.from_config(config)
logger.info("Model has {} parameters".format(model.nparameters))
if os.path.exists(cache_output_path) and overwrite:
logger.info("Writing over output path '{}'".format(cache_output_path))
logger.debug("Deleting files: '{}'".format(os.listdir(cache_output_path)))
shutil.rmtree(cache_output_path)
# emcee parameters
# read in the number of walkers to use
nwalkers = config["walkers"]
nsteps = config["steps"]
output_every = config.get("output_every", None)
nburn = config.get("burn_in", 0)
start_truth = config.get("start_truth", False)
a = config.get("a", 2.) # emcee tuning param
if not os.path.exists(cache_output_path) and not continue_sampler:
logger.info("Output path '{}' doesn't exist, running inference..."\
.format(cache_output_path))
os.mkdir(cache_output_path)
# sample starting positions
p0 = model.sample_priors(size=nwalkers,
start_truth=start_truth)
logger.debug("Priors sampled...")
if nburn > 0:
sampler = si.StreamModelSampler(model, nwalkers, pool=pool, a=a)
time0 = time.time()
logger.info("Burning in sampler for {} steps...".format(nburn))
pos, xx, yy = sampler.run_mcmc(p0, nburn)
pos = fix_whack_walkers(pos, sampler.acceptance_fraction,
sampler.flatlnprobability, sampler.flatchain,
threshold=config.get("acceptance_threshold", None))
t = time.time() - time0
logger.debug("Spent {} seconds on burn-in...".format(t))
else:
pos = p0
if nsteps > 0:
sampler = si.StreamModelSampler(model, nwalkers, pool=pool, a=a)
sampler.run_inference(pos, nsteps, path=cache_output_path, first_step=0,
output_every=output_every,
output_file_fmt="inference_{:06d}.hdf5")
elif os.path.exists(cache_output_path) and not continue_sampler:
logger.info("Output path '{}' already exists, not running sampler..."\
.format(cache_output_path))
elif os.path.exists(cache_output_path) and continue_sampler:
if len(os.listdir(cache_output_path)) == 0:
logger.error("No files in path: {}".format(cache_output_path))
sys.exit(1)
continue_files = glob.glob(os.path.join(cache_output_path, "inference_*.hdf5"))
continue_file = config.get("continue_file", sorted(continue_files)[-1])
continue_file = os.path.join(cache_output_path, continue_file)
if not os.path.exists(continue_file):
logger.error("File {} doesn't exist!".format(continue_file))
sys.exit(1)
with h5py.File(continue_file, "r") as f:
old_chain = f["chain"].value
old_flatchain = np.vstack(old_chain)
old_lnprobability = f["lnprobability"].value
old_flatlnprobability = np.vstack(old_lnprobability)
old_acc_frac = f["acceptance_fraction"].value
last_step = f["last_step"].value
pos = old_chain[:,-1]
pos = fix_whack_walkers(pos, old_acc_frac,
old_flatlnprobability,
old_flatchain,
threshold=config.get("acceptance_threshold", None))
sampler = si.StreamModelSampler(model, nwalkers, pool=pool, a=a)
logger.info("Continuing sampler...running {} walkers for {} steps..."\
.format(nwalkers, nsteps))
sampler.run_inference(pos, nsteps, path=cache_output_path, first_step=last_step,
output_every=output_every,
output_file_fmt = "inference_{:07d}.hdf5")
else:
print("Unknown state.")
sys.exit(1)
pool.close() if hasattr(pool, 'close') else None
#############################################################
# Plotting
#
plot_config = config.get("plot", dict())
plot_ext = plot_config.get("ext", "png")
# glob properly orders the list
for filename in sorted(glob.glob(os.path.join(cache_output_path,"inference_*.hdf5"))):
logger.debug("Reading file {}...".format(filename))
with h5py.File(filename, "r") as f:
try:
chain = np.hstack((chain,f["chain"].value))
except NameError:
chain = f["chain"].value
acceptance_fraction = f["acceptance_fraction"].value
try:
acor = autocorr.integrated_time(np.mean(chain, axis=0), axis=0,
window=50) # 50 comes from emcee
except:
acor = []
flatchain = np.vstack(chain)
# thin chain
if config.get("thin_chain", True):
if len(acor) > 0:
t_med = np.median(acor)
thin_chain = chain[:,::int(t_med)]
thin_flatchain = np.vstack(thin_chain)
logger.info("Median autocorrelation time: {}".format(t_med))
else:
logger.warn("FAILED TO THIN CHAIN")
thin_chain = chain
thin_flatchain = flatchain
else:
thin_chain = chain
thin_flatchain = flatchain
# plot true_particles, true_satellite over the rest of the stream
gc_particles = model.true_particles.to_frame(galactocentric)
m = model.true_satellite.mass
# HACK
sgr = SgrSimulation("sgr_nfw/M2.5e+0{}".format(int(np.floor(np.log10(m)))), "SNAP113")
all_gc_particles = sgr.particles(n=1000, expr="tub!=0").to_frame(galactocentric)
fig,axes = plt.subplots(1,2,figsize=(16,8))
axes[0].plot(all_gc_particles["x"].value, all_gc_particles["z"].value,
markersize=10., marker='.', linestyle='none', alpha=0.25)
axes[0].plot(gc_particles["x"].value, gc_particles["z"].value,
markersize=10., marker='o', linestyle='none', alpha=0.75)
axes[1].plot(all_gc_particles["vx"].to(u.km/u.s).value,
all_gc_particles["vz"].to(u.km/u.s).value,
markersize=10., marker='.', linestyle='none', alpha=0.25)
axes[1].plot(gc_particles["vx"].to(u.km/u.s).value,
gc_particles["vz"].to(u.km/u.s).value,
markersize=10., marker='o', linestyle='none', alpha=0.75)
fig.savefig(os.path.join(output_path, "xyz_vxvyvz.{}".format(plot_ext)))
if plot_config.get("mcmc_diagnostics", False):
logger.debug("Plotting MCMC diagnostics...")
diagnostics_path = os.path.join(output_path, "diagnostics")
if not os.path.exists(diagnostics_path):
os.mkdir(diagnostics_path)
# plot histogram of autocorrelation times
if len(acor) > 0:
fig,ax = plt.subplots(1,1,figsize=(12,6))
ax.plot(acor, marker='o', linestyle='none') #model.nparameters//5)
ax.set_xlabel("Parameter index")
ax.set_ylabel("Autocorrelation time")
fig.savefig(os.path.join(diagnostics_path, "acor.{}".format(plot_ext)))
# plot histogram of acceptance fractions
fig,ax = plt.subplots(1,1,figsize=(8,8))
ax.hist(acceptance_fraction, bins=nwalkers//5)
ax.set_xlabel("Acceptance fraction")
fig.suptitle("Histogram of acceptance fractions for all walkers")
fig.savefig(os.path.join(diagnostics_path, "acc_frac.{}".format(plot_ext)))
# plot individual walkers
plt.figure(figsize=(12,6))
for k in range(model.nparameters):
plt.clf()
for ii in range(nwalkers):
plt.plot(chain[ii,:,k], alpha=0.4, drawstyle='steps', color='k')
plt.axhline(model.truths[k], color='r', lw=2., linestyle='-', alpha=0.5)
plt.savefig(os.path.join(diagnostics_path, "param_{}.{}".format(k, plot_ext)))
plt.close('all')
if plot_config.get("posterior", False):
logger.debug("Plotting posterior distributions...")
flatchain_dict = model.label_flatchain(thin_flatchain)
p0 = model.sample_priors(size=1000) # HACK HACK HACK
p0_dict = model.label_flatchain(np.vstack(p0))
potential_group = model.parameters.get('potential', None)
particles_group = model.parameters.get('particles', None)
satellite_group = model.parameters.get('satellite', None)
flatchains = dict()
if potential_group:
this_flatchain = np.zeros((len(thin_flatchain),len(potential_group)))
this_p0 = np.zeros((len(p0),len(potential_group)))
this_truths = []
this_extents = []
for ii,pname in enumerate(potential_group.keys()):
f = _unit_transform[pname]
p = model.parameters['potential'][pname]
this_flatchain[:,ii] = f(np.squeeze(flatchain_dict['potential'][pname]))
this_p0[:,ii] = f(np.squeeze(p0_dict['potential'][pname]))
this_truths.append(f(p.truth))
this_extents.append((f(p._prior.a), f(p._prior.b)))
print(pname, np.median(this_flatchain[:,ii]), np.std(this_flatchain[:,ii]))
fig = triangle.corner(this_p0,
point_kwargs=dict(color='#2b8cbe',alpha=0.1),
hist_kwargs=dict(color='#2b8cbe',alpha=0.75,normed=True,bins=50),
plot_contours=False)
fig = triangle.corner(this_flatchain,
fig=fig,
truths=this_truths,
labels=[_label_map[k] for k in potential_group.keys()],
extents=this_extents,
point_kwargs=dict(color='k',alpha=1.),
hist_kwargs=dict(color='k',alpha=0.75,normed=True,bins=50))
fig.savefig(os.path.join(output_path, "potential.{}".format(plot_ext)))
flatchains['potential'] = this_flatchain
nparticles = model.true_particles.nparticles
if particles_group and len(particles_group) > 1:
for jj in range(nparticles):
this_flatchain = np.zeros((len(thin_flatchain),len(particles_group)))
this_p0 = np.zeros((len(p0),len(particles_group)))
this_truths = []
this_extents = None
for ii,pname in enumerate(particles_group.keys()):
f = _unit_transform[pname]
p = model.parameters['particles'][pname]
this_flatchain[:,ii] = f(np.squeeze(flatchain_dict['particles'][pname][:,jj]))
this_p0[:,ii] = f(np.squeeze(p0_dict['particles'][pname][:,jj]))
this_truths.append(f(p.truth[jj]))
#this_extents.append((f(p._prior.a), f(p._prior.b)))
fig = triangle.corner(this_p0,
point_kwargs=dict(color='#2b8cbe',alpha=0.1),
hist_kwargs=dict(color='#2b8cbe',alpha=0.75,normed=True,bins=50),
plot_contours=False)
fig = triangle.corner(this_flatchain,
fig=fig,
truths=this_truths,
labels=[_label_map[k] for k in particles_group.keys()],
extents=this_extents,
point_kwargs=dict(color='k',alpha=1.),
hist_kwargs=dict(color='k',alpha=0.75,normed=True,bins=50))
fig.savefig(os.path.join(output_path, "particle{}.{}".format(jj,plot_ext)))
# plot the posterior for the satellite parameters
if satellite_group and len(satellite_group) > 1:
jj = 0
this_flatchain = np.zeros((len(thin_flatchain),len(satellite_group)))
this_p0 = np.zeros((len(p0),len(satellite_group)))
this_truths = []
this_extents = None
for ii,pname in enumerate(satellite_group.keys()):
f = _unit_transform[pname]
p = model.parameters['satellite'][pname]
this_flatchain[:,ii] = f(np.squeeze(flatchain_dict['satellite'][pname][:,jj]))
this_p0[:,ii] = f(np.squeeze(p0_dict['satellite'][pname][:,jj]))
try:
this_truths.append(f(p.truth[jj]))
except: # IndexError:
this_truths.append(f(p.truth))
#this_extents.append((f(p._prior.a), f(p._prior.b)))
fig = triangle.corner(this_p0,
point_kwargs=dict(color='#2b8cbe',alpha=0.1),
hist_kwargs=dict(color='#2b8cbe',alpha=0.75,normed=True,bins=50),
plot_contours=False)
fig = triangle.corner(this_flatchain,
fig=fig,
truths=this_truths,
labels=[_label_map[k] for k in satellite_group.keys()],
extents=this_extents,
point_kwargs=dict(color='k',alpha=1.),
hist_kwargs=dict(color='k',alpha=0.75,normed=True,bins=50))
fig.savefig(os.path.join(output_path, "satellite.{}".format(plot_ext)))
flatchains['satellite'] = this_flatchain
if flatchains.has_key('potential') and flatchains.has_key('satellite'):
this_flatchain = np.hstack((flatchains['potential'],flatchains['satellite']))
labels = [_label_map[k] for k in potential_group.keys()+satellite_group.keys()]
fig = triangle.corner(this_flatchain,
labels=labels,
point_kwargs=dict(color='k',alpha=1.),
hist_kwargs=dict(color='k',alpha=0.75,normed=True,bins=50))
fig.savefig(os.path.join(output_path, "suck-it-up.{}".format(plot_ext)))
def test_nd(seed=1234, ndim=3, N=150000):
x = get_chain(seed=seed, ndim=ndim, N=N)
tau = integrated_time(x)
assert np.all(np.abs(tau - 19.0) / 19.0 < 0.2)
def _plot_chain_func(sampler, p, last_step=False):
chain = sampler.chain
label = sampler.labels[p]
import matplotlib.pyplot as plt
from scipy import stats
if len(chain.shape) > 2:
traces = chain[:, :, p]
if last_step:
# keep only last step
dist = traces[:, -1]
else:
# convert chain to flatchain
dist = traces.flatten()
else:
log.warning(
'we need the full chain to plot the traces, not a flatchain!')
return None
nwalkers = traces.shape[0]
nsteps = traces.shape[1]
f = plt.figure()
ax1 = f.add_subplot(221)
ax2 = f.add_subplot(122)
f.subplots_adjust(left=0.1, bottom=0.15, right=0.95, top=0.9)
# plot five percent of the traces darker
if nwalkers < 60:
thresh = 1 - 3. / nwalkers
else:
thresh = 0.95
red = np.arange(nwalkers) / float(nwalkers) >= thresh
ax1.set_rasterization_zorder(1)
for t in traces[-red]: # range(nwalkers):
ax1.plot(t, color=(0.1,) * 3, lw=1.0, alpha=0.25, zorder=0)
for t in traces[red]:
ax1.plot(t, color=color_cycle[0], lw=1.5, alpha=0.75, zorder=0)
ax1.set_xlabel('step number')
# [l.set_rotation(45) for l in ax1.get_yticklabels()]
ax1.set_ylabel(label)
ax1.yaxis.set_label_coords(-0.15, 0.5)
ax1.set_title('Walker traces')
nbins = min(max(25, int(len(dist) / 100.)), 100)
xlabel = label
n, x, _ = ax2.hist(
dist,
nbins,
histtype='stepfilled',
color=color_cycle[0],
lw=0,
normed=1)
kde = stats.kde.gaussian_kde(dist)
ax2.plot(x, kde(x), color='k', label='KDE')
quant = [16, 50, 84]
xquant = np.percentile(dist, quant)
quantiles = dict(six.moves.zip(quant, xquant))
ax2.axvline(
quantiles[50],
ls='--',
color='k',
alpha=0.5,
lw=2,
label='50% quantile')
ax2.axvspan(
quantiles[16],
quantiles[84],
color=(0.5,) * 3,
alpha=0.25,
label='68% CI',
lw=0)
# ax2.legend()
for l in ax2.get_xticklabels():
l.set_rotation(45)
ax2.set_xlabel(xlabel)
ax2.xaxis.set_label_coords(0.5, -0.1)
ax2.set_title('posterior distribution')
ax2.set_ylim(top=n.max() * 1.05)
# Print distribution parameters on lower-left
try:
try:
ac = sampler.get_autocorr_time()[p]
except AttributeError:
ac = autocorr.integrated_time(
np.mean(
chain, axis=0), axis=0, fast=False)[p]
autocorr_message = '{0:.1f}'.format(ac)
except autocorr.AutocorrError:
# Raised when chain is too short for meaningful auto-correlation
# estimation
autocorr_message = None
if last_step:
clen = 'last ensemble'
else:
clen = 'whole chain'
chain_props = 'Walkers: {0} \nSteps in chain: {1} \n'.format(nwalkers,
nsteps)
if autocorr_message is not None:
chain_props += 'Autocorrelation time: {0}\n'.format(autocorr_message)
chain_props += 'Mean acceptance fraction: {0:.3f}\n'.format(
np.mean(sampler.acceptance_fraction)) +\
'Distribution properties for the {clen}:\n \
$-$ median: ${median}$, std: ${std}$ \n \
$-$ median with uncertainties based on \n \
the 16th and 84th percentiles ($\sim$1$\sigma$):\n'.format(
median=_latex_float(quantiles[50]),
std=_latex_float(np.std(dist)), clen=clen)
info_line = ' ' * 10 + label + ' = ' + _latex_value_error(
quantiles[50], quantiles[50] - quantiles[16], quantiles[84] -
quantiles[50])
chain_props += info_line
if 'log10(' in label or 'log(' in label:
nlabel = label.split('(')[-1].split(')')[0]
ltype = label.split('(')[0]
if ltype == 'log10':
new_dist = 10**dist
elif ltype == 'log':
new_dist = np.exp(dist)
quant = [16, 50, 84]
quantiles = dict(six.moves.zip(quant, np.percentile(new_dist, quant)))
label_template = '\n' + ' ' * 10 + '{{label:>{0}}}'.format(len(label))
new_line = label_template.format(label=nlabel)
new_line += ' = ' + _latex_value_error(quantiles[50], quantiles[50] -
quantiles[16], quantiles[84] -
quantiles[50])
chain_props += new_line
info_line += new_line
log.info('{0:-^50}\n'.format(label) + info_line)
f.text(0.05, 0.45, chain_props, ha='left', va='top')
return f
print("Diffs: max:{}, low:{}, high:{}, dbin:{}".format(
vals["max"], vals["minus"], vals["plus"], vals["dbin"]))
print()
fig.subplots_adjust(hspace=0.5, bottom=0.05, top=0.99)
fig.savefig(fname)
if args.hdis:
plot_hdis(flatchain)
# Make the triangle plot
if args.tri:
import corner
figure = corner.corner(flatchain,
bins=30,
labels=labels,
quantiles=[0.16, 0.5, 0.84],
plot_contours=True,
plot_datapoints=True,
show_titles=True)
figure.savefig("triangle.png")
else:
print("Not plotting triangle, no --tri flag.")
# Compute the autocorrelation time, following emcee
# Notes here: http://dfm.io/posts/autocorr/
print("Integrated autocorrelation time")
from emcee import autocorr
print(autocorr.integrated_time(chain))
def _plot_chain_func(sampler, p, last_step=False):
chain = sampler.chain
label = sampler.labels[p]
import matplotlib.pyplot as plt
from scipy import stats
if len(chain.shape) > 2:
traces = chain[:, :, p]
if last_step:
# keep only last step
dist = traces[:, -1]
else:
# convert chain to flatchain
dist = traces.flatten()
else:
log.warning(
'we need the full chain to plot the traces, not a flatchain!')
return None
nwalkers = traces.shape[0]
nsteps = traces.shape[1]
f = plt.figure()
ax1 = f.add_subplot(221)
ax2 = f.add_subplot(122)
f.subplots_adjust(left=0.1, bottom=0.15, right=0.95, top=0.9)
# plot five percent of the traces darker
if nwalkers < 60:
thresh = 1 - 3. / nwalkers
else:
thresh = 0.95
red = np.arange(nwalkers) / float(nwalkers) >= thresh
ax1.set_rasterization_zorder(1)
for t in traces[~red]: # range(nwalkers):
ax1.plot(t, color=(0.1, ) * 3, lw=1.0, alpha=0.25, zorder=0)
for t in traces[red]:
ax1.plot(t, color=color_cycle[0], lw=1.5, alpha=0.75, zorder=0)
ax1.set_xlabel('step number')
# [l.set_rotation(45) for l in ax1.get_yticklabels()]
ax1.set_ylabel(label)
ax1.yaxis.set_label_coords(-0.15, 0.5)
ax1.set_title('Walker traces')
nbins = min(max(25, int(len(dist) / 100.)), 100)
xlabel = label
n, x, _ = ax2.hist(dist,
nbins,
histtype='stepfilled',
color=color_cycle[0],
lw=0,
normed=1)
kde = stats.kde.gaussian_kde(dist)
ax2.plot(x, kde(x), color='k', label='KDE')
quant = [16, 50, 84]
xquant = np.percentile(dist, quant)
quantiles = dict(six.moves.zip(quant, xquant))
ax2.axvline(quantiles[50],
ls='--',
color='k',
alpha=0.5,
lw=2,
label='50% quantile')
ax2.axvspan(quantiles[16],
quantiles[84],
color=(0.5, ) * 3,
alpha=0.25,
label='68% CI',
lw=0)
# ax2.legend()
for l in ax2.get_xticklabels():
l.set_rotation(45)
ax2.set_xlabel(xlabel)
ax2.xaxis.set_label_coords(0.5, -0.1)
ax2.set_title('posterior distribution')
ax2.set_ylim(top=n.max() * 1.05)
# Print distribution parameters on lower-left
try:
try:
ac = sampler.get_autocorr_time()[p]
except AttributeError:
ac = autocorr.integrated_time(np.mean(chain, axis=0),
axis=0,
fast=False)[p]
autocorr_message = '{0:.1f}'.format(ac)
except autocorr.AutocorrError:
# Raised when chain is too short for meaningful auto-correlation
# estimation
autocorr_message = None
if last_step:
clen = 'last ensemble'
else:
clen = 'whole chain'
chain_props = 'Walkers: {0} \nSteps in chain: {1} \n'.format(
nwalkers, nsteps)
if autocorr_message is not None:
chain_props += 'Autocorrelation time: {0}\n'.format(autocorr_message)
chain_props += 'Mean acceptance fraction: {0:.3f}\n'.format(
np.mean(sampler.acceptance_fraction)) +\
'Distribution properties for the {clen}:\n \
$-$ median: ${median}$, std: ${std}$ \n \
$-$ median with uncertainties based on \n \
the 16th and 84th percentiles ($\sim$1$\sigma$):\n' .format(
median=_latex_float(quantiles[50]),
std=_latex_float(np.std(dist)), clen=clen)
info_line = ' ' * 10 + label + ' = ' + _latex_value_error(
quantiles[50], quantiles[50] - quantiles[16],
quantiles[84] - quantiles[50])
chain_props += info_line
if 'log10(' in label or 'log(' in label:
nlabel = label.split('(')[-1].split(')')[0]
ltype = label.split('(')[0]
if ltype == 'log10':
new_dist = 10**dist
elif ltype == 'log':
new_dist = np.exp(dist)
quant = [16, 50, 84]
quantiles = dict(six.moves.zip(quant, np.percentile(new_dist, quant)))
label_template = '\n' + ' ' * 10 + '{{label:>{0}}}'.format(len(label))
new_line = label_template.format(label=nlabel)
new_line += ' = ' + _latex_value_error(quantiles[50],
quantiles[50] - quantiles[16],
quantiles[84] - quantiles[50])
chain_props += new_line
info_line += new_line
log.info('{0:-^50}\n'.format(label) + info_line)
f.text(0.05, 0.45, chain_props, ha='left', va='top')
return f
def mcmc_std(vals: np.ndarray) -> list:
tau_f = integrated_time(vals)[0]
# print(tau_f, vals.size, np.var(vals))
return np.sqrt(tau_f / vals.size * np.var(vals)), tau_f
pl.plot(lc[0], lc[1], ".", ms=3)
pl.savefig("raw_data.png")
# Set up the initial system.
system = transit.System(transit.Central(radius=0.95))
planet = transit.Body(r=2.03 * 0.01, period=period, t0=t0, b=0.9)
system.add_body(planet)
texp = kplr.EXPOSURE_TIMES[1] / 60. / 60. / 24.
mean_function = partial(system.light_curve, texp=texp)
# Set up the Gaussian processes.
pl.clf()
offset = 0.001
models = []
for i, lc in enumerate(light_curves):
dt = np.median(np.diff(lc[0])) * integrated_time(lc[1])
kernel = np.var(lc[1]) * kernels.Matern32Kernel(dt ** 2)
gp = george.GP(kernel, mean=mean_function, solver=george.HODLRSolver)
gp.compute(lc[0], lc[2])
models.append((gp, lc[1]))
t = (lc[0]-t0+hp) % period-hp
pl.plot(t, lc[1] + i * offset, ".k", ms=3)
pl.plot(t, gp.predict(lc[1], lc[0], mean_only=True) + i*offset, "b")
pl.savefig("initial.png")
pl.xlim(-5, 5)
pl.savefig("initial_zoom.png")
model = ProbabilisticModel(system, planet, models)
p0 = model.get_parameters()
lp = lq
acc += 1
chain[i] = theta
return chain, acc / niter
if __name__ == "__main__":
import corner
from emcee import autocorr
import matplotlib.pyplot as plt
# Run the sampler.
chain, acc_frac = mh(log_p_func, np.random.randn(2), 400000)
tau = autocorr.integrated_time(chain)
print("Acceptance fraction: {0:.3f}".format(acc_frac))
print("Autocorrelation times: {0}, {1}".format(
*(map("{0:.0f}".format, tau))))
with open("numbers-mh.tex", "w") as f:
f.write("% Automatically generated\n")
f.write("\\newcommand{{\\accfrac}}{{{0:.2f}}}\n".format(acc_frac))
f.write("\\newcommand{{\\taua}}{{{0:.0f}}}\n".format(tau[0]))
f.write("\\newcommand{{\\taub}}{{{0:.0f}}}\n".format(tau[1]))
# Plot the traces and corner plot.
fig, axes = plt.subplots(2, 1, figsize=SQUARE_FIGSIZE, sharex=True)
axes[0].plot(chain[:5000, 0], "k")
axes[1].plot(chain[:5000, 1], "k")
axes[0].set_ylabel(r"$\theta_1$")
axes[1].set_ylabel(r"$\theta_2$")
def main(potential_name, results_path=None, split_ix=None, overwrite=False):
all_ophdata = OphiuchusData()
# top-level output path for saving (this will create a subdir within output_path)
if results_path is None:
top_path = RESULTSPATH
else:
top_path = os.path.abspath(os.path.expanduser(results_path))
if top_path is None:
raise ValueError("If $PROJECTSPATH is not set, you must provide a path to save "
"the results in with the --results_path argument.")
output_path = os.path.join(top_path, potential_name, "orbitfit")
logger.debug("Output path: {}".format(output_path))
w0_filename = os.path.join(output_path, "w0.npy")
if os.path.exists(w0_filename) and overwrite:
os.remove(w0_filename)
if os.path.exists(w0_filename):
logger.debug("File {} exists".format(w0_filename))
return
with open(os.path.join(output_path, "sampler.pickle"), 'rb') as f:
sampler = pickle.load(f)
# default is to split in half
if split_ix is None:
split_ix = sampler.chain.shape[1] // 2
# measure the autocorrelation time for each parameter
tau = np.median(acor.integrated_time(np.mean(sampler.chain[:,split_ix:], axis=0)))
logger.debug("Autocorrelation time: {:.1f}".format(tau))
every = int(tau)
logger.debug("Taking every {} sample".format(every))
if every == 0 or tau > sampler.chain.shape[1]:
logger.warning("Autocorrelation time is too long! Run your MCMC for longer...")
raise ValueError("Autocorrelation time is too long to thin chains")
_x0 = np.vstack(sampler.chain[:,split_ix::every,:5])
np.random.shuffle(_x0)
w0 = all_ophdata._mcmc_sample_to_w0(_x0.T).T
mean_w0 = all_ophdata._mcmc_sample_to_w0(np.mean(_x0, axis=0)).T
w0 = np.vstack((mean_w0, w0))
logger.info("{} initial conditions after thinning chains".format(w0.shape[0]))
# convert to w0 and save
np.save(w0_filename, w0)
potential = op.load_potential(potential_name)
# plot orbit fits
ix = np.random.randint(len(sampler.flatchain), size=64)
fig = plot_data_orbit(all_ophdata)
for sample in sampler.flatchain[ix]:
sample_w0 = all_ophdata._mcmc_sample_to_w0(sample[:5])[:,0]
tf,tb = (5.,-5.)
w = integrate_forward_backward(potential, sample_w0, t_forw=tf, t_back=tb)
fig = plot_data_orbit(all_ophdata, orbit=w, data_style=dict(marker=None),
orbit_style=dict(color='#2166AC', alpha=0.1), fig=fig)
fig.savefig(os.path.join(output_path, "orbits.png"), dpi=300)
nuts = sampler.run_mcmc(q, 10000) # In[14]: plt.plot(nuts[0][:, 0]) # In[18]: import corner corner.corner(nuts[0][:, -4:]) # In[19]: chain = nuts[0] # In[20]: from emcee.autocorr import integrated_time tau_nuts = integrated_time(chain[:, None, :]) neff_nuts = len(chain) / np.mean(tau_nuts) tau_nuts, neff_nuts # In[24]: nu_max_value = np.exp(get_value_for_param(nuts[0][:, 0], *log_numax_range)) dnu_value = np.exp(get_value_for_param(nuts[0][:, 3], *log_dnu_range)) corner.corner(np.vstack((nu_max_value, dnu_value)).T) # In[ ]:
def plot_autocorr(trace_name, db, save=False):
"""
Plot autocorrelation diagrams for a given traced quantity. For ensemble
(multi-walker) database data, the mean of all walkers for the given traced
quantity is used to estimate autocorrelation (same as emcee)
:param trace_name: Name of traced quantity, including all with priors, as
well as derived quantities: magdiff, centerdist, sbeff, and axisratio.
:param db: Filename of psfMC database
:param save: If True, plots will not be displayed but will be saved to disk
in pdf format.
"""
disp_name, db, model = _load_db_and_model(db, None)
trace = _get_trace(trace_name, db)
n_walkers = db['walker'].max() + 1
n_samples = trace.shape[0] // n_walkers
for col in range(trace.shape[1]):
fig_acorr = pp.figure()
ax_acorr = fig_acorr.add_subplot(111)
trace_walkers = trace[:, col].reshape((n_samples, n_walkers),
order='F')
lags = np.arange(n_samples)
acorr_all = autocorr.function(trace_walkers)
trace_avg = np.mean(trace_walkers, axis=1)
acorr_avg = autocorr.function(trace_avg)
tau = autocorr.integrated_time(trace_avg, c=1)
eff_samples = n_samples / tau
maxlag = np.argmin(acorr_avg > 0)
for walk in range(n_walkers):
ax_acorr.plot(lags,
acorr_all[:, walk],
marker=None,
ls='solid',
lw=1,
color='black',
alpha=0.3,
drawstyle='steps-mid')
ax_acorr.plot(lags,
acorr_avg,
marker=None,
ls='solid',
lw=2,
drawstyle='steps-mid')
neff_label = '$n_{{eff}}$ = {:0.1f}'.format(eff_samples)
trace_label = trace_name
if 'xy' in trace_label:
trace_label = trace_label.replace('xy', 'xy'[col])
disp_name = ' '.join([disp_name, _axis_label(trace_label)])
fig_acorr.suptitle(disp_name)
ax_acorr.set_xlim(0, maxlag * 1.01)
ax_acorr.axhline(0.0, color='black')
ax_acorr.set_xlabel('Lag Length (Samples)')
ax_acorr.set_ylabel('Autocorrelation (Normalized)')
ax_acorr.text(0.95,
0.95,
neff_label,
va='top',
ha='right',
transform=ax_acorr.transAxes)
if save:
fig_acorr.savefig('_'.join([disp_name, trace_name, 'acorr.pdf']))
else:
pp.show()
pp.close(fig_acorr)
model = pickle.load(open(args.model))
# print(model.parameters)
# Load the samples.
with h5py.File(args.chainfile, "r") as f:
i = f.attrs["iteration"]+1
chain = f["samples"][:, args.skip:i:args.thin, :]
lnprob = f["lnprob"][:, args.skip:i:args.thin]
# Get the dimensions.
nwalkers, nsteps, ndim = chain.shape
flatchain = chain.reshape((nwalkers*nsteps, ndim))
# Get the autocorrelation time.
from emcee.autocorr import integrated_time
print(integrated_time(np.mean(chain, axis=0)))
# assert 0
# Get some basic results.
def print_constraint(nm, s):
print("{0} = {1} +/- {2}".format(nm, np.mean(s), np.std(s)))
if ndim == 53:
print("Circular orbit")
columns = [("\ln a", None), ("r/R", None)]
columns += [("t_{{{0}}}".format(j+1), None) for j in range(21)]
columns += [("b_{{{0}}}".format(j+1), None) for j in range(21)]
columns += [("q_1", None), ("q_2", None),
(r"\ln \alpha_\mathrm{LC}", None),
for i in range(hyper.shape[1]):
pl.clf()
pl.plot(hyper[:, i])
pl.savefig(os.path.join(bp, "time-hyper-{0:03d}.png".format(i)))
pl.clf()
pl.plot(lnprob)
pl.savefig(os.path.join(bp, "time-lnprob.png"))
nstar = 42557.0
ntot = 200000
samples = samples[-ntot:, :] # [::50, :]
# Reformat the samples and save the samples.
thin_by = int(np.min(integrated_time(samples, axis=0)))
thinned = samples[::thin_by, :]
grids = thinned.reshape((len(thinned), pop.shape[0], pop.shape[1]))
print(grids.shape)
print([b.shape for b in pop.bins])
def xmap(f, i):
return (f(*x) for x in i)
print("Hyper:")
h_mu = np.mean(hyper[-ntot:][::thin_by, :2], axis=0)
h_std = np.std(hyper[-ntot:][::thin_by, :2], axis=0)
print("\n".join(xmap("{0} ± {1}".format, zip(h_mu, h_std))))
def test_too_short(seed=1234, ndim=3, N=100):
x = get_chain(seed=seed, ndim=ndim, N=N)
with pytest.raises(AutocorrError):
integrated_time(x)
tau = integrated_time(x, quiet=True) # NOQA
def sample_emcee(logpdf_tt,
sampler,
start,
timers,
time_grid_ms,
n_grid,
n_walkers_min=50,
thin=100,
data_scale=None,
ball_size=1e-6):
'''Use default thin of 100 since otherwise too fast and could blow out
memory with samples on high time limit.'''
assert (start.ndim == 1)
D, = start.shape
data_scale = np.ones(D) if data_scale is None else data_scale
assert (data_scale.shape == (D, ))
n_walkers = max(2 * D + 2, n_walkers_min)
ball = (ball_size * data_scale[None, :]) * np.random.randn(n_walkers, D)
start = ball + start[None, :]
# emcee does not need gradients so we could pass np only implemented
# version if that is less overhead, but not that is not clear. So, just
# compile the theano version.
x_tt = T.vector('x')
x_tt.tag.test_value = np.zeros(D)
logpdf_val = logpdf_tt(x_tt)
logpdf_f = theano.function([x_tt], logpdf_val)
print 'running emcee with %d, %d' % (n_walkers, D)
sampler_obj = BUILD_STEP_MC[sampler](n_walkers, D, logpdf_f)
print 'doing init'
# Might want to consider putting save chain to false since emcee uses
# np.concat to grow chain. Might be less overhead to append to list in the
# loop below.
sample_gen = sampler_obj.sample(start,
iterations=(MAX_N * thin) / n_walkers,
thin=thin,
storechain=True)
time_grid_s = 1e-3 * time_grid_ms
TC = time_chunker(sample_gen, time_grid_s, timers, n_grid=n_grid)
print 'starting to sample'
# This could all go in a list comp if we get rid of the assert check
cum_size = 0
meta = []
for trace, metarow in TC:
meta.append(metarow)
cum_size += metarow[CHUNK_SIZE]
# assert(sampler_obj.chain.shape == (n_walkers, MAX_N, D))
# Build rep for trace data
# Same as:
# np.concatenate([X[ii, :, :] for ii in xrange(X.shape[0])], axis=0)
# EnsembleSampler.flatchain does this too but doesn't truncate at cum_size
trace = np.reshape(sampler_obj.chain[:, :cum_size, :], (-1, D))
# TODO
# assert(trace.shape == (cum_size * n_walkers, D))
# Log the emcee version of autocorr for future ref
try:
tau = integrated_time(trace, axis=0)
print 'flat auto-corr'
print tau
except Exception as err:
print 'emcee autocorr est failed'
print str(err)
return trace, meta
def main(config_file,
mpi=False,
threads=None,
overwrite=False,
continue_sampler=False):
""" TODO: """
# get a pool object given the configuration parameters
# -- This needs to go here so I don't read in the particle file for each thread. --
pool = get_pool(mpi=mpi, threads=threads)
# read configuration from a YAML file
config = io.read_config(config_file)
np.random.seed(config["seed"])
random.seed(config["seed"])
if not os.path.exists(config['streams_path']):
raise IOError("Specified streams path '{}' doesn't exist!".format(
config['streams_path']))
logger.debug("Path to streams project: {}".format(config['streams_path']))
# the path to write things to
output_path = config["output_path"]
logger.debug("Will write data to:\n\t{}".format(output_path))
cache_output_path = os.path.join(output_path, "cache")
# get a StreamModel from a config dict
model = si.StreamModel.from_config(config)
logger.info("Model has {} parameters".format(model.nparameters))
if os.path.exists(cache_output_path) and overwrite:
logger.info("Writing over output path '{}'".format(cache_output_path))
logger.debug("Deleting files: '{}'".format(
os.listdir(cache_output_path)))
shutil.rmtree(cache_output_path)
# emcee parameters
# read in the number of walkers to use
nwalkers = config["walkers"]
nsteps = config["steps"]
output_every = config.get("output_every", None)
nburn = config.get("burn_in", 0)
start_truth = config.get("start_truth", False)
a = config.get("a", 2.) # emcee tuning param
if not os.path.exists(cache_output_path) and not continue_sampler:
logger.info("Output path '{}' doesn't exist, running inference..."\
.format(cache_output_path))
os.mkdir(cache_output_path)
# sample starting positions
p0 = model.sample_priors(size=nwalkers, start_truth=start_truth)
logger.debug("Priors sampled...")
if nburn > 0:
sampler = si.StreamModelSampler(model, nwalkers, pool=pool, a=a)
time0 = time.time()
logger.info("Burning in sampler for {} steps...".format(nburn))
pos, xx, yy = sampler.run_mcmc(p0, nburn)
pos = fix_whack_walkers(pos,
sampler.acceptance_fraction,
sampler.flatlnprobability,
sampler.flatchain,
threshold=config.get(
"acceptance_threshold", None))
t = time.time() - time0
logger.debug("Spent {} seconds on burn-in...".format(t))
else:
pos = p0
if nsteps > 0:
sampler = si.StreamModelSampler(model, nwalkers, pool=pool, a=a)
sampler.run_inference(pos,
nsteps,
path=cache_output_path,
first_step=0,
output_every=output_every,
output_file_fmt="inference_{:06d}.hdf5")
elif os.path.exists(cache_output_path) and not continue_sampler:
logger.info("Output path '{}' already exists, not running sampler..."\
.format(cache_output_path))
elif os.path.exists(cache_output_path) and continue_sampler:
if len(os.listdir(cache_output_path)) == 0:
logger.error("No files in path: {}".format(cache_output_path))
sys.exit(1)
continue_files = glob.glob(
os.path.join(cache_output_path, "inference_*.hdf5"))
continue_file = config.get("continue_file", sorted(continue_files)[-1])
continue_file = os.path.join(cache_output_path, continue_file)
if not os.path.exists(continue_file):
logger.error("File {} doesn't exist!".format(continue_file))
sys.exit(1)
with h5py.File(continue_file, "r") as f:
old_chain = f["chain"].value
old_flatchain = np.vstack(old_chain)
old_lnprobability = f["lnprobability"].value
old_flatlnprobability = np.vstack(old_lnprobability)
old_acc_frac = f["acceptance_fraction"].value
last_step = f["last_step"].value
pos = old_chain[:, -1]
pos = fix_whack_walkers(pos,
old_acc_frac,
old_flatlnprobability,
old_flatchain,
threshold=config.get("acceptance_threshold",
None))
sampler = si.StreamModelSampler(model, nwalkers, pool=pool, a=a)
logger.info("Continuing sampler...running {} walkers for {} steps..."\
.format(nwalkers, nsteps))
sampler.run_inference(pos,
nsteps,
path=cache_output_path,
first_step=last_step,
output_every=output_every,
output_file_fmt="inference_{:07d}.hdf5")
else:
print("Unknown state.")
sys.exit(1)
pool.close() if hasattr(pool, 'close') else None
#############################################################
# Plotting
#
plot_config = config.get("plot", dict())
plot_ext = plot_config.get("ext", "png")
# glob properly orders the list
for filename in sorted(
glob.glob(os.path.join(cache_output_path, "inference_*.hdf5"))):
logger.debug("Reading file {}...".format(filename))
with h5py.File(filename, "r") as f:
try:
chain = np.hstack((chain, f["chain"].value))
except NameError:
chain = f["chain"].value
acceptance_fraction = f["acceptance_fraction"].value
try:
acor = autocorr.integrated_time(np.mean(chain, axis=0),
axis=0,
window=50) # 50 comes from emcee
except:
acor = []
flatchain = np.vstack(chain)
# thin chain
if config.get("thin_chain", True):
if len(acor) > 0:
t_med = np.median(acor)
thin_chain = chain[:, ::int(t_med)]
thin_flatchain = np.vstack(thin_chain)
logger.info("Median autocorrelation time: {}".format(t_med))
else:
logger.warn("FAILED TO THIN CHAIN")
thin_chain = chain
thin_flatchain = flatchain
else:
thin_chain = chain
thin_flatchain = flatchain
# plot true_particles, true_satellite over the rest of the stream
gc_particles = model.true_particles.to_frame(galactocentric)
m = model.true_satellite.mass
# HACK
sgr = SgrSimulation("sgr_nfw/M2.5e+0{}".format(int(np.floor(np.log10(m)))),
"SNAP113")
all_gc_particles = sgr.particles(n=1000,
expr="tub!=0").to_frame(galactocentric)
fig, axes = plt.subplots(1, 2, figsize=(16, 8))
axes[0].plot(all_gc_particles["x"].value,
all_gc_particles["z"].value,
markersize=10.,
marker='.',
linestyle='none',
alpha=0.25)
axes[0].plot(gc_particles["x"].value,
gc_particles["z"].value,
markersize=10.,
marker='o',
linestyle='none',
alpha=0.75)
axes[1].plot(all_gc_particles["vx"].to(u.km / u.s).value,
all_gc_particles["vz"].to(u.km / u.s).value,
markersize=10.,
marker='.',
linestyle='none',
alpha=0.25)
axes[1].plot(gc_particles["vx"].to(u.km / u.s).value,
gc_particles["vz"].to(u.km / u.s).value,
markersize=10.,
marker='o',
linestyle='none',
alpha=0.75)
fig.savefig(os.path.join(output_path, "xyz_vxvyvz.{}".format(plot_ext)))
if plot_config.get("mcmc_diagnostics", False):
logger.debug("Plotting MCMC diagnostics...")
diagnostics_path = os.path.join(output_path, "diagnostics")
if not os.path.exists(diagnostics_path):
os.mkdir(diagnostics_path)
# plot histogram of autocorrelation times
if len(acor) > 0:
fig, ax = plt.subplots(1, 1, figsize=(12, 6))
ax.plot(acor, marker='o', linestyle='none') #model.nparameters//5)
ax.set_xlabel("Parameter index")
ax.set_ylabel("Autocorrelation time")
fig.savefig(
os.path.join(diagnostics_path, "acor.{}".format(plot_ext)))
# plot histogram of acceptance fractions
fig, ax = plt.subplots(1, 1, figsize=(8, 8))
ax.hist(acceptance_fraction, bins=nwalkers // 5)
ax.set_xlabel("Acceptance fraction")
fig.suptitle("Histogram of acceptance fractions for all walkers")
fig.savefig(
os.path.join(diagnostics_path, "acc_frac.{}".format(plot_ext)))
# plot individual walkers
plt.figure(figsize=(12, 6))
for k in range(model.nparameters):
plt.clf()
for ii in range(nwalkers):
plt.plot(chain[ii, :, k],
alpha=0.4,
drawstyle='steps',
color='k')
plt.axhline(model.truths[k],
color='r',
lw=2.,
linestyle='-',
alpha=0.5)
plt.savefig(
os.path.join(diagnostics_path,
"param_{}.{}".format(k, plot_ext)))
plt.close('all')
if plot_config.get("posterior", False):
logger.debug("Plotting posterior distributions...")
flatchain_dict = model.label_flatchain(thin_flatchain)
p0 = model.sample_priors(size=1000) # HACK HACK HACK
p0_dict = model.label_flatchain(np.vstack(p0))
potential_group = model.parameters.get('potential', None)
particles_group = model.parameters.get('particles', None)
satellite_group = model.parameters.get('satellite', None)
flatchains = dict()
if potential_group:
this_flatchain = np.zeros(
(len(thin_flatchain), len(potential_group)))
this_p0 = np.zeros((len(p0), len(potential_group)))
this_truths = []
this_extents = []
for ii, pname in enumerate(potential_group.keys()):
f = _unit_transform[pname]
p = model.parameters['potential'][pname]
this_flatchain[:, ii] = f(
np.squeeze(flatchain_dict['potential'][pname]))
this_p0[:, ii] = f(np.squeeze(p0_dict['potential'][pname]))
this_truths.append(f(p.truth))
this_extents.append((f(p._prior.a), f(p._prior.b)))
print(pname, np.median(this_flatchain[:, ii]),
np.std(this_flatchain[:, ii]))
fig = triangle.corner(this_p0,
point_kwargs=dict(color='#2b8cbe',
alpha=0.1),
hist_kwargs=dict(color='#2b8cbe',
alpha=0.75,
normed=True,
bins=50),
plot_contours=False)
fig = triangle.corner(
this_flatchain,
fig=fig,
truths=this_truths,
labels=[_label_map[k] for k in potential_group.keys()],
extents=this_extents,
point_kwargs=dict(color='k', alpha=1.),
hist_kwargs=dict(color='k', alpha=0.75, normed=True, bins=50))
fig.savefig(
os.path.join(output_path, "potential.{}".format(plot_ext)))
flatchains['potential'] = this_flatchain
nparticles = model.true_particles.nparticles
if particles_group and len(particles_group) > 1:
for jj in range(nparticles):
this_flatchain = np.zeros(
(len(thin_flatchain), len(particles_group)))
this_p0 = np.zeros((len(p0), len(particles_group)))
this_truths = []
this_extents = None
for ii, pname in enumerate(particles_group.keys()):
f = _unit_transform[pname]
p = model.parameters['particles'][pname]
this_flatchain[:, ii] = f(
np.squeeze(flatchain_dict['particles'][pname][:, jj]))
this_p0[:, ii] = f(
np.squeeze(p0_dict['particles'][pname][:, jj]))
this_truths.append(f(p.truth[jj]))
#this_extents.append((f(p._prior.a), f(p._prior.b)))
fig = triangle.corner(this_p0,
point_kwargs=dict(color='#2b8cbe',
alpha=0.1),
hist_kwargs=dict(color='#2b8cbe',
alpha=0.75,
normed=True,
bins=50),
plot_contours=False)
fig = triangle.corner(
this_flatchain,
fig=fig,
truths=this_truths,
labels=[_label_map[k] for k in particles_group.keys()],
extents=this_extents,
point_kwargs=dict(color='k', alpha=1.),
hist_kwargs=dict(color='k',
alpha=0.75,
normed=True,
bins=50))
fig.savefig(
os.path.join(output_path,
"particle{}.{}".format(jj, plot_ext)))
# plot the posterior for the satellite parameters
if satellite_group and len(satellite_group) > 1:
jj = 0
this_flatchain = np.zeros(
(len(thin_flatchain), len(satellite_group)))
this_p0 = np.zeros((len(p0), len(satellite_group)))
this_truths = []
this_extents = None
for ii, pname in enumerate(satellite_group.keys()):
f = _unit_transform[pname]
p = model.parameters['satellite'][pname]
this_flatchain[:, ii] = f(
np.squeeze(flatchain_dict['satellite'][pname][:, jj]))
this_p0[:,
ii] = f(np.squeeze(p0_dict['satellite'][pname][:, jj]))
try:
this_truths.append(f(p.truth[jj]))
except: # IndexError:
this_truths.append(f(p.truth))
#this_extents.append((f(p._prior.a), f(p._prior.b)))
fig = triangle.corner(this_p0,
point_kwargs=dict(color='#2b8cbe',
alpha=0.1),
hist_kwargs=dict(color='#2b8cbe',
alpha=0.75,
normed=True,
bins=50),
plot_contours=False)
fig = triangle.corner(
this_flatchain,
fig=fig,
truths=this_truths,
labels=[_label_map[k] for k in satellite_group.keys()],
extents=this_extents,
point_kwargs=dict(color='k', alpha=1.),
hist_kwargs=dict(color='k', alpha=0.75, normed=True, bins=50))
fig.savefig(
os.path.join(output_path, "satellite.{}".format(plot_ext)))
flatchains['satellite'] = this_flatchain
if flatchains.has_key('potential') and flatchains.has_key('satellite'):
this_flatchain = np.hstack(
(flatchains['potential'], flatchains['satellite']))
labels = [
_label_map[k]
for k in potential_group.keys() + satellite_group.keys()
]
fig = triangle.corner(this_flatchain,
labels=labels,
point_kwargs=dict(color='k', alpha=1.),
hist_kwargs=dict(color='k',
alpha=0.75,
normed=True,
bins=50))
fig.savefig(
os.path.join(output_path, "suck-it-up.{}".format(plot_ext)))
for i in range(hyper.shape[1]):
pl.clf()
pl.plot(hyper[:, i])
pl.savefig(os.path.join(bp, "time-hyper-{0:03d}.png".format(i)))
pl.clf()
pl.plot(lnprob)
pl.savefig(os.path.join(bp, "time-lnprob.png"))
nstar = 42557.0
ntot = 200000
samples = samples[-ntot:, :] # [::50, :]
# Reformat the samples and save the samples.
thin_by = int(np.min(integrated_time(samples, axis=0)))
thinned = samples[::thin_by, :]
grids = thinned.reshape((len(thinned), pop.shape[0], pop.shape[1]))
print(grids.shape)
print([b.shape for b in pop.bins])
def xmap(f, i):
return (f(*x) for x in i)
print("Hyper:")
h_mu = np.mean(hyper[-ntot:][::thin_by, :2], axis=0)
h_std = np.std(hyper[-ntot:][::thin_by, :2], axis=0)
print("\n".join(xmap("{0} ± {1}".format, zip(h_mu, h_std))))
def autocorr_plot(outfile, skip_step=100, **kwargs):
"""Autocorrelation plots.
0 is good, 1 is bad
extra keyword arguments get passed into emcee.autocorr.intergrated_time
Parameters
----------
outfile : str
hdf5 file name
skip_step : int, optional
number of steps to skip to thin the flattened chain
Returns
-------
fig : matplotlib.figure.Figure
axarr : ndarray
2d array of matplotlib.axes._subplots.AxesSubplot instances
"""
chain = io.read_dataset(outfile, "chain")
model = io.read_model(outfile)
nwalkers, niterations, ndim = chain.shape
assert ndim == len(model.params)
labels = []
for i, name in enumerate(model.params.names):
if name in label_map:
labels.append(label_map[name])
else:
labels.append(name)
# lower integrated autocorrelation times are better
flatchain = chain.reshape((-1, ndim))
nsamples = flatchain.shape[0]
acorr = autocorr_function(flatchain)
try:
acorr_times = integrated_time(flatchain, **kwargs)
except:
acorr_times = np.zeros(ndim)
n = skip_step
steps = n * np.arange(1, flatchain.shape[0] / n + 1)
ncols = int(np.sqrt(ndim))
nrows = int(np.ceil(ndim / ncols))
label_str = r'$\sqrt{\tau_\mathrm{int} / n} = $'
fig, axarr = plt.subplots(nrows,
ncols,
sharex="col",
sharey="row",
figsize=(4.8 * ncols, 2.4 * nrows))
# fig.tight_layout()
for i in range(ndim):
col = i % ncols
row = int(np.floor((i - col) / ncols))
unc = np.sqrt(acorr_times[i] / nsamples)
axarr[row][col].plot(steps, acorr[::n, i], alpha=0.5)
axarr[row][col].annotate(labels[i],
xy=(0.1, 0.7),
xycoords="axes fraction",
bbox={
"fc": "w",
"ec": "k",
"pad": 4.0,
"alpha": 0.5
})
axarr[row][col].annotate(label_str + '{:.1e}'.format(unc),
xy=(0.5, 0.7),
xycoords="axes fraction",
fontsize=10,
bbox={
"fc": "w",
"ec": "k",
"pad": 4.0,
"alpha": 0.5
})
for col in range(ncols):
axarr[-1][col].set_xlabel('Iterations')
return fig, axarr
def MCMC(self,
niter=500,
nburn=200,
nwalkers=200,
threads=1,
fit_partial=False,
width=3,
savedir=None,
refit=False,
thin=10,
conf=0.95,
maxslope=MAXSLOPE,
debug=False,
p0=None):
"""
Fit transit signal to trapezoid model using MCMC
.. note:: As currently implemented, this method creates a
bunch of attributes relevant to the MCMC fit; I plan
to refactor this to define those attributes as properties
so as not to have their creation hidden away here. I plan
to refactor how this works.
"""
if fit_partial:
wok = np.where((np.absolute(self.ts - self.center) <
(width * self.dur)) & ~np.isnan(self.fs))
else:
wok = np.where(~np.isnan(self.fs))
if savedir is not None:
if not os.path.exists(savedir):
os.mkdir(savedir)
alreadydone = True
alreadydone &= savedir is not None
alreadydone &= os.path.exists('%s/ts.npy' % savedir)
alreadydone &= os.path.exists('%s/fs.npy' % savedir)
if savedir is not None and alreadydone:
ts_done = np.load('%s/ts.npy' % savedir)
fs_done = np.load('%s/fs.npy' % savedir)
alreadydone &= np.all(ts_done == self.ts[wok])
alreadydone &= np.all(fs_done == self.fs[wok])
if alreadydone and not refit:
logging.info('MCMC fit already done for %s. Loading chains.' %
self.name)
Ts = np.load('%s/duration_chain.npy' % savedir)
ds = np.load('%s/depth_chain.npy' % savedir)
slopes = np.load('%s/slope_chain.npy' % savedir)
tcs = np.load('%s/tc_chain.npy' % savedir)
else:
logging.info(
'Fitting data to trapezoid shape with MCMC for %s....' %
self.name)
if p0 is None:
p0 = self.trapfit.copy()
p0[0] = np.absolute(p0[0])
if p0[2] < 2:
p0[2] = 2.01
if p0[1] < 0:
p0[1] = 1e-5
logging.debug('p0 for MCMC = {}'.format(p0))
sampler = traptransit_MCMC(self.ts[wok],
self.fs[wok],
self.dfs[wok],
niter=niter,
nburn=nburn,
nwalkers=nwalkers,
threads=threads,
p0=p0,
return_sampler=True,
maxslope=maxslope)
Ts, ds, slopes, tcs = (sampler.flatchain[:,
0], sampler.flatchain[:,
1],
sampler.flatchain[:,
2], sampler.flatchain[:,
3])
self.sampler = sampler
if savedir is not None:
np.save('%s/duration_chain.npy' % savedir, Ts)
np.save('%s/depth_chain.npy' % savedir, ds)
np.save('%s/slope_chain.npy' % savedir, slopes)
np.save('%s/tc_chain.npy' % savedir, tcs)
np.save('%s/ts.npy' % savedir, self.ts[wok])
np.save('%s/fs.npy' % savedir, self.fs[wok])
if debug:
print(Ts)
print(ds)
print(slopes)
print(tcs)
N = len(Ts)
try:
self.Ts_acor = integrated_time(Ts)
self.ds_acor = integrated_time(ds)
self.slopes_acor = integrated_time(slopes)
self.tcs_acor = integrated_time(tcs)
self.fit_converged = True
except AutocorrError:
self.fit_converged = False
ok = (Ts > 0) & (ds > 0) & (slopes > 0) & (slopes < self.maxslope)
logging.debug('trapezoidal fit has {} good sample points'.format(
ok.sum()))
if ok.sum() == 0:
if (Ts > 0).sum() == 0:
#logging.debug('{} points with Ts > 0'.format((Ts > 0).sum()))
logging.debug('{}'.format(Ts))
raise MCMCError('{}: 0 points with Ts > 0'.format(self.name))
if (ds > 0).sum() == 0:
#logging.debug('{} points with ds > 0'.format((ds > 0).sum()))
logging.debug('{}'.format(ds))
raise MCMCError('{}: 0 points with ds > 0'.format(self.name))
if (slopes > 0).sum() == 0:
#logging.debug('{} points with slopes > 0'.format((slopes > 0).sum()))
logging.debug('{}'.format(slopes))
raise MCMCError('{}: 0 points with slopes > 0'.format(
self.name))
if (slopes < self.maxslope).sum() == 0:
#logging.debug('{} points with slopes < maxslope ({})'.format((slopes < self.maxslope).sum(),self.maxslope))
logging.debug('{}'.format(slopes))
raise MCMCError('{} points with slopes < maxslope ({})'.format(
(slopes < self.maxslope).sum(), self.maxslope))
durs, deps, logdeps, slopes = (Ts[ok], ds[ok], np.log10(ds[ok]),
slopes[ok])
inds = (np.arange(len(durs) / thin) * thin).astype(int)
durs, deps, logdeps, slopes = (durs[inds], deps[inds], logdeps[inds],
slopes[inds])
self.durs, self.deps, self.logdeps, self.slopes = (durs, deps, logdeps,
slopes)
self._make_kde(conf=conf)
self.hasMCMC = True
def convergenceVals(algor, ndim, varIdxs, chains_nruns, bi_steps):
"""
Convergence statistics.
"""
if algor == 'emcee':
from emcee import autocorr
with warnings.catch_warnings():
warnings.simplefilter("ignore")
if algor == 'ptemcee':
# Mean Tau across chains, shape: (post-bi steps, ndims)
x = np.mean(chains_nruns.T, axis=1).T
tau_autocorr = []
j = 10 # Here in case the line below is skipped
for j in np.arange(50, x.shape[0], 50):
# tau.shape: ndim
tau = util.autocorr_integrated_time(x[:j])
# Autocorrelation time. Mean across dimensions.
tau_autocorr.append([bi_steps + j, np.mean(tau)])
# Add one last point with the entire chain.
if j < x.shape[0]:
tau = util.autocorr_integrated_time(x)
tau_autocorr.append([bi_steps + x.shape[0], np.mean(tau)])
tau_autocorr = np.array(tau_autocorr).T
elif algor == 'emcee':
tau_autocorr = None
# Autocorrelation time for each parameter, mean across chains.
if algor == 'emcee':
acorr_t = autocorr.integrated_time(chains_nruns, tol=0, quiet=True)
elif algor == 'ptemcee':
x = np.mean(chains_nruns.transpose(1, 0, 2), axis=0)
acorr_t = util.autocorr_integrated_time(x)
# Autocorrelation time for each chain for each parameter.
logger = logging.getLogger()
logger.disabled = True
at = []
# For each parameter/dimension
for p in chains_nruns.T:
at_p = []
# For each chain for this parameter/dimension
for c in p:
if algor == 'emcee':
at_p.append(autocorr.integrated_time(c, quiet=True)[0])
elif algor == 'ptemcee':
at_p.append(util.autocorr_integrated_time(c))
at.append(at_p)
logger.disabled = False
# IAT for all chains and all parameters.
all_taus = [item for subl in at for item in subl]
# # Worst chain: chain with the largest acorr time.
# max_at_c = [np.argmax(a) for a in at]
# # Best chain: chain with the smallest acorr time.
# min_at_c = [np.argmin(a) for a in at]
# Chain with the closest IAT to the median
med_at_c = [np.argmin(np.abs(np.median(a) - a)) for a in at]
# Mean Geweke z-scores and autocorrelation functions for all chains.
geweke_z, acorr_function = [[] for _ in range(ndim)],\
[[] for _ in range(ndim)]
for i, p in enumerate(chains_nruns.T):
for c in p:
try:
geweke_z[i].append(geweke(c))
except ZeroDivisionError:
geweke_z[i].append([np.nan, np.nan])
try:
if algor == 'emcee':
acorr_function[i].append(autocorr.function_1d(c))
elif algor == 'ptemcee':
acorr_function[i].append(util.autocorr_function(c))
except FloatingPointError:
acorr_function[i].append([np.nan])
# Mean across chains
geweke_z = np.nanmean(geweke_z, axis=1)
acorr_function = np.nanmean(acorr_function, axis=1)
# # Cut the autocorrelation function just after *all* the parameters
# # have crossed the zero line.
# try:
# lag_zero = max([np.where(_ < 0)[0][0] for _ in acorr_function])
# except IndexError:
# # Could not obtain zero lag
# lag_zero = acorr_function.shape[-1]
# acorr_function = acorr_function[:, :int(lag_zero + .2 * lag_zero)]
# # Approx IAT
# lag_iat = 1. + 2. * np.sum(acorr_function, axis=1)
# print(" Approx (zero lag) IAT: ", lag_iat)
# Effective Sample Size (per param) = (nsteps / tau) * nchains
mcmc_ess = (chains_nruns.shape[0] / acorr_t) * chains_nruns.shape[1]
# TODO fix this function
# # Minimum effective sample size (ESS), and multi-variable ESS.
# minESS, mESS = fminESS(ndim), multiESS(chains_nruns)
# # print("mESS: {}".format(mESS))
# mESS_epsilon = [[], [], []]
# for alpha in [.01, .05, .1, .2, .3, .4, .5, .6, .7, .8, .9, .95]:
# mESS_epsilon[0].append(alpha)
# mESS_epsilon[1].append(fminESS(ndim, alpha=alpha, ess=minESS))
# mESS_epsilon[2].append(fminESS(ndim, alpha=alpha, ess=mESS))
return tau_autocorr, acorr_t, med_at_c, all_taus, geweke_z,\
acorr_function, mcmc_ess
def test_nd(seed=1234, ndim=3, N=150000):
x = get_chain(seed=seed, ndim=ndim, N=N)
tau = integrated_time(x)
assert np.all(np.abs(tau - 19.0) / 19. < 0.2)
def test_too_short(seed=1234, ndim=3, N=100):
x = get_chain(seed=seed, ndim=ndim, N=N)
with pytest.raises(AutocorrError):
integrated_time(x)
tau = integrated_time(x, quiet=True) # NOQA
pl.plot(lc[0], lc[1], ".", ms=3)
pl.savefig("raw_data.png")
# Set up the initial system.
system = transit.System(transit.Central(radius=0.95))
planet = transit.Body(r=2.03 * 0.01, period=period, t0=t0, b=0.9)
system.add_body(planet)
texp = kplr.EXPOSURE_TIMES[1] / 60. / 60. / 24.
mean_function = partial(system.light_curve, texp=texp)
# Set up the Gaussian processes.
pl.clf()
offset = 0.001
models = []
for i, lc in enumerate(light_curves):
dt = np.median(np.diff(lc[0])) * integrated_time(lc[1])
kernel = np.var(lc[1]) * kernels.Matern32Kernel(dt**2)
gp = george.GP(kernel, mean=mean_function, solver=george.HODLRSolver)
gp.compute(lc[0], lc[2])
models.append((gp, lc[1]))
t = (lc[0] - t0 + hp) % period - hp
pl.plot(t, lc[1] + i * offset, ".k", ms=3)
pl.plot(t, gp.predict(lc[1], lc[0], mean_only=True) + i * offset, "b")
pl.savefig("initial.png")
pl.xlim(-5, 5)
pl.savefig("initial_zoom.png")
model = ProbabilisticModel(system, planet, models)
p0 = model.get_parameters()