def rmh_master_glm_coef(comm, b_prev, MPIROOT=0, propDf=5., method='newton',
cov=emulate.cov_sqexp, n_iter_refine=2,
final_info_refine=1, prior_log_density=None,
prior_args=tuple(), prior_kwargs={}):
'''
Master component of single Metropolis-Hastings step for GLM coefficients
using a normal approximation to their posterior distribution. Proposes
linearly-transformed vector of independent t_propDf random variables.
Builds normal approximation based upon local data, then combines this with
others on the master process. These approximations are used to generate a
proposal, which is then broadcast back to the workers. The workers then
evaluate the log-target ratio and combine these on the master to execute
the MH step. The resulting draw is __not__ brought back to the workers until
the next synchronization.
Returns a 2-tuple consisting of the resulting coefficients and a boolean
indicating acceptance.
'''
# Compute dimensions
p = np.size(b_prev)
if method == 'emulate':
# Gather emulators from workers
emulator = emulate.aggregate_emulators_mpi(
comm=comm, emulator=None, MPIROOT=MPIROOT,
info=lambda e: linalg.cho_solve((e['slope_mean'], True),
np.eye(e['slope_mean'].shape[0])))
# Find root of combined approximate score function
b_hat = emulator['center']
b_hat = optimize.fsolve(
func=emulate.evaluate_emulator, x0=b_hat, args=(emulator, cov))
# Compute Cholesky decomposition of approximate combined information
# for proposal
U = linalg.cholesky(emulator['info'], lower=False)
else:
# Build normal approximation to posterior of transformed hyperparameters.
# Aggregating local results from workers.
# This assumes that rmh_worker_nbinom_glm_coef() has been called on all
# workers.
b_hat, prec = posterior_approx_distributed(
comm=comm, dim_param=p, MPIROOT=MPIROOT)
# Refine approximation with single Newton-Raphson step
b_hat, prec = refine_distributed_approx(
comm=comm, est=b_hat, prec=prec, dim_param=p, n_iter=n_iter_refine,
final_info=final_info_refine, MPIROOT=MPIROOT)
# Cholesky decompose precision matrix for draws and density calculations
U = linalg.cholesky(prec, lower=False)
# Propose from linearly-transformed t with appropriate mean and covariance
z_prop = (np.random.randn(p) /
np.sqrt(np.random.gamma(shape=propDf / 2., scale=2., size=p) /
propDf))
b_prop = b_hat + linalg.solve_triangular(U, z_prop, lower=False)
# Demean and decorrelate previous draw of b
z_prev = np.dot(U, b_prev - b_hat)
# Broadcast b_prop to workers
comm.Bcast([b_prop, MPI.DOUBLE], root=MPIROOT)
# Compute log-ratio of target densities.
# Start by obtaining likelihood component from workers.
log_target_ratio = np.array(0.)
buf = np.array(0.)
comm.Reduce([buf, MPI.DOUBLE], [log_target_ratio, MPI.DOUBLE],
op=MPI.SUM, root=MPIROOT)
if prior_log_density is not None:
log_target_ratio += (
prior_log_density(b_prop, *prior_args, **prior_kwargs) -
prior_log_density(b_prev, *prior_args, **prior_kwargs))
# Compute log-ratio of proposal densities. This is very easy with the
# demeaned and decorrelated values z.
log_prop_ratio = -(propDf + 1.) / 2. * \
np.sum(np.log(1. + z_prop ** 2 / propDf) - \
np.log(1. + z_prev ** 2 / propDf))
return mh_update(prop=b_prop, prev=b_prev,
log_target_ratio=log_target_ratio,
log_prop_ratio=log_prop_ratio)
def rmh_master_nbinom_hyperparams(comm, r_prev, p_prev, MPIROOT=0,
prior_mean_log=2.65,
prior_prec_log=1. / 0.652 ** 2,
prior_a=1., prior_b=1., propDf=5.,
method='newton', cov=emulate.cov_sqexp,
n_iter_refine=10, final_info_refine=1):
'''
Master side of Metropolis-Hastings step for negative-binomial
hyperparameters given all other parameters.
Using a log-normal prior for the r (convolution) hyperparameter and a
conditionally-conjugate beta prior for p.
Proposing from normal approximation to the conditional posterior
(conditional independence chain). Parameters are log- and logit-transformed.
Builds normal approximation based upon local data, then combines this with
others on the master process. These approximations are used to generate a
proposal, which is then broadcast back to the workers. The workers then
evaluate the log-target ratio and combine these on the master to execute
the MH step. The resulting draw is __not__ brought back to the workers until
the next synchronization.
Returns a 2-tuple consisting of the new (shape, rate) and a boolean
indicating acceptance.
'''
if method=='emulate':
# Gather emulators from workers
emulator = emulate.aggregate_emulators_mpi(
comm=comm, emulator=None, MPIROOT=MPIROOT,
info=lambda e: linalg.cho_solve((e['slope_mean'], True),
np.eye(e['slope_mean'].shape[0])))
# Find root of combined approximate score function
theta_hat = emulator['center']
theta_hat = optimize.fsolve(
func=emulate.evaluate_emulator, x0=theta_hat, args=(emulator, cov))
# Compute Cholesky decomposition of approximate combined information
# for proposal
U = linalg.cholesky(emulator['info'], lower=False)
elif method == 'newton':
# Build normal approximation to posterior of transformed hyperparameters.
# Aggregating local results from workers.
# This assumes that rmh_worker_nbinom_hyperparameters() has been called
# on all workers.
theta_hat, prec = posterior_approx_distributed(
comm=comm, dim_param=2, MPIROOT=MPIROOT)
# Refine approximation with single Newton-Raphson step
theta_hat, prec = refine_distributed_approx(
comm=comm, est=theta_hat, prec=prec, dim_param=2,
n_iter=n_iter_refine, final_info=final_info_refine, MPIROOT=MPIROOT)
# Cholesky decompose precision matrix for draws and density calculations
U = linalg.cholesky(prec, lower=False)
else:
print >> sys.stderr, "Error - method %s unknown" % method
return
# Propose r and p jointly
z_prop = (np.random.randn(2) /
np.sqrt(np.random.gamma(shape=propDf / 2., scale=2.,
size=2) / propDf))
theta_prop = theta_hat + linalg.solve_triangular(U, z_prop)
r_prop, p_prop = np.exp(theta_prop)
p_prop = p_prop / (1. + p_prop)
# Demean and decorrelate previous draws
theta_prev = np.log(np.array([r_prev, p_prev]))
theta_prev[1] -= np.log(1. - p_prev)
z_prev = np.dot(U, theta_prev - theta_hat)
# Broadcast theta_prop to workers
comm.Bcast([theta_prop, MPI.DOUBLE], root=MPIROOT)
# Compute log-ratio of target densities.
# Start by obtaining likelihood component from workers.
log_target_ratio = np.array(0.)
buf = np.array(0.)
comm.Reduce([buf, MPI.DOUBLE], [log_target_ratio, MPI.DOUBLE],
op=MPI.SUM, root=MPIROOT)
if prior_prec_log > 0:
# Add the log-normal prior on r
log_target_ratio += (dlnorm(r_prop, mu=prior_mean_log,
sigmasq=1. / prior_prec_log, log=True) -
dlnorm(r_prev, mu=prior_mean_log,
sigmasq=1. / prior_prec_log, log=True))
# Add the beta prior on p
log_target_ratio += (dbeta(p_prop, a=prior_a, b=prior_b, log=True) -
dbeta(p_prev, a=prior_a, b=prior_b, log=True))
# Compute log-ratio of proposal densities
# These are transformed bivariate t's with equivalent covariance
# matrices, so the resulting Jacobian terms cancel. We are left to
# contend with the z's and the Jacobian terms resulting from the
# exponential and logit transformations.
log_prop_ratio = -np.sum(np.log(1. + z_prop ** 2 / propDf) -
np.log(1. + z_prev ** 2 / propDf))
log_prop_ratio *= (propDf + 1.) / 2.
log_prop_ratio += -(np.log(r_prop) - np.log(r_prev))
log_prop_ratio += -(np.log(p_prop) + np.log(1. - p_prop)
- np.log(p_prev) - np.log(1. - p_prev))
# Execute MH update
return mh_update(prop=(r_prop, p_prop), prev=(r_prev, p_prev),
log_target_ratio=log_target_ratio,
log_prop_ratio=log_prop_ratio)
def rmh_worker_glm_coef(comm, b_hat, b_prev, y, X, I, family, w=1, V=None,
method='newton', MPIROOT=0, coverage_prob=0.999,
grid_min_spacing=0.5, cov=emulate.cov_sqexp, **kwargs):
'''
Worker component of single Metropolis-Hastings step for GLM coefficients
using a normal approximation to their posterior distribution. Proposes
linearly-transformed vector of independent t_propDf random variables.
At least one of I (the Fisher information) and V (the inverse Fisher
information) must be provided. If I is provided, V is ignored. It is more
efficient to provide the information matrix than the covariance matrix.
Returns None.
'''
# Get number of workers
n_workers = comm.Get_size() - 1
# Get dimensions
p = X.shape[1]
if method == 'emulate':
# Build local emulator for score function
grid_radius = emulate.approx_quantile(coverage_prob=coverage_prob,
d=p, n=n_workers)
if V is None:
L = linalg.solve_triangular(linalg.cholesky(I, lower=True),
np.eye(p), lower=True)
else:
L = linalg.cholesky(V, lower=True)
emulator = emulate.build_emulator(
glm.score, center=b_hat, slope_mean=L, cov=cov,
grid_min_spacing=grid_min_spacing, grid_radius=grid_radius,
f_kwargs={'y' : y, 'X' : X, 'w' : w, 'family' : family})
# Send emulator to master node
emulate.aggregate_emulators_mpi(
comm=comm, emulator=emulator, MPIROOT=MPIROOT)
elif method == 'newton':
# Build necessary quantities for distributed posterior approximation
z_hat = np.dot(I, b_hat)
# Condense approximation to a single vector for reduction
approx = np.r_[z_hat, I[np.tril_indices(p)]]
# Combine with other approximations on master.
comm.Reduce([approx, MPI.DOUBLE], None,
op=MPI.SUM, root=MPIROOT)
# Receive settings for refinement
settings = np.zeros(2, dtype=int)
comm.Bcast([settings, MPI.INT], root=MPIROOT)
n_iter, final_info = settings
# Newton-Raphson iterations for refinement of approximation
for i in xrange(n_iter):
# Receive updated estimate from master
comm.Bcast([b_hat, MPI.DOUBLE], root=MPIROOT)
# Compute score and information matrix at combined estimate
eta = np.dot(X, b_hat)
mu = family.link.inv(eta)
weights = w * family.weights(mu)
dmu_deta = family.link.deriv(eta)
sqrt_W_X = (X.T * np.sqrt(weights)).T
grad = np.dot(X.T, weights / dmu_deta * (y - mu))
info = np.dot(sqrt_W_X.T, sqrt_W_X)
# Condense update to a single vector for reduction
update = np.r_[grad, info[np.tril_indices(p)]]
# Combine with other updates on master
comm.Reduce([update, MPI.DOUBLE], None,
op=MPI.SUM, root=MPIROOT)
# Contribute to final information matrix refinement if requested
if final_info:
# Receive updated estimate
comm.Bcast([b_hat, MPI.DOUBLE], root=MPIROOT)
# Update information matrix
eta = np.dot(X, b_hat)
mu = family.link.inv(eta)
weights = w * family.weights(mu)
sqrt_W_X = (X.T * np.sqrt(weights)).T
info = np.dot(sqrt_W_X.T, sqrt_W_X)
# Combine informations on master
comm.Reduce([info[np.tril_indices(p)], MPI.DOUBLE], None,
op=MPI.SUM, root=MPIROOT)
else:
print >> sys.stderr, "Error - method %s unknown" % method
return
# Obtain proposed value of coefficients from master.
b_prop = np.empty(p)
comm.Bcast([b_prop, MPI.DOUBLE], root=MPIROOT)
# Compute proposed and previous means
eta_prop = np.dot(X, b_prop)
eta_prev = np.dot(X, b_prev)
mu_prop = family.link.inv(eta_prop)
mu_prev = family.link.inv(eta_prev)
# Compute log-ratio of target densities
log_target_ratio = np.sum(family.loglik(y=y, mu=mu_prop, w=w) -
family.loglik(y=y, mu=mu_prev, w=w))
# Reduce log-target ratio for MH step on master.
comm.Reduce([np.array(log_target_ratio), MPI.DOUBLE], None,
op=MPI.SUM, root=MPIROOT)
def rmh_worker_nbinom_hyperparams(comm, x, r_prev, p_prev, MPIROOT=0,
prior_mean_log=2.65,
prior_prec_log=1. / 0.652 ** 2,
prior_a=1., prior_b=1.,
brent_scale=6., fallback_upper=10000.,
correct_prior=True, method='newton',
coverage_prob=0.999,
grid_min_spacing=0.5, cov=emulate.cov_sqexp):
'''
Worker side of Metropolis-Hastings step for negative-binomial
hyperparameters given all other parameters.
Using a log-normal prior for the r (convolution) hyperparameter and a
conditionally-conjugate beta prior for p.
Proposing from normal approximation to the conditional posterior
(conditional independence chain). Parameters are log- and logit-transformed.
Builds normal approximation based upon local data, then combines this with
others on the master process. These approximations are used to generate a
proposal, which is then broadcast back to the workers. The workers then
evaluate the log-target ratio and combine these on the master to execute
the MH step. The resulting draw is __not__ brought back to the workers until
the next synchronization.
Returns None.
'''
# Correct / adjust prior for distributed approximation, if requested
adj = 1.
if correct_prior:
adj = comm.Get_size() - 1.
# Setup arguments
nbinom_args = dict(x=x, prior_a=prior_a, prior_b=prior_b,
prior_mean_log=prior_mean_log,
prior_prec_log=prior_prec_log, prior_adj=adj)
# Compute posterior mode for r and p using profile log-posterior
r_hat, p_hat = map_estimator_nbinom(transform=True,
brent_scale=brent_scale,
fallback_upper=fallback_upper,
**nbinom_args)
# Propose using a bivariate normal approximate to the joint conditional
# posterior of (r, p)
# Compute posterior information matrix for parameters
info = info_posterior_nbinom(r=r_hat, p=p_hat, transform=True,
**nbinom_args)
# Transform point estimate
theta_hat = np.log(np.array([r_hat, p_hat]))
theta_hat[1] -= np.log(1. - p_hat)
if method == 'emulate':
# Build local emulator for score function
grid_radius = emulate.approx_quantile(coverage_prob=coverage_prob,
d=2, n=adj)
L = linalg.solve_triangular(linalg.cholesky(info, lower=True),
np.eye(2), lower=True)
emulator = emulate.build_emulator(
score_posterior_nbinom_vec, center=theta_hat, slope_mean=L, cov=cov,
grid_min_spacing=grid_min_spacing, grid_radius=grid_radius,
f_kwargs=nbinom_args)
# Send emulator to master node
emulate.aggregate_emulators_mpi(
comm=comm, emulator=emulator, MPIROOT=MPIROOT)
else:
# Build necessary quantities for distributed posterior approximation
z_hat = np.dot(info, theta_hat)
# Condense approximation to a single vector for reduction
approx = np.r_[z_hat, info[np.tril_indices(2)]]
# Combine with other approximations on master.
comm.Reduce([approx, MPI.DOUBLE], None,
op=MPI.SUM, root=MPIROOT)
# Receive settings for refinement
settings = np.zeros(2, dtype=int)
comm.Bcast([settings, MPI.INT], root=MPIROOT)
n_iter, final_info = settings
# Newton-Raphson iterations for refinement of approximation
for i in xrange(n_iter):
# Receive updated estimate from master
comm.Bcast([theta_hat, MPI.DOUBLE], root=MPIROOT)
# Compute score and information matrix at combined estimate
r_hat = np.exp(theta_hat[0])
p_hat = 1. / (1. + np.exp(-theta_hat[1]))
grad = score_posterior_nbinom_vec(theta_hat,
**nbinom_args).flatten()
info = info_posterior_nbinom(r=r_hat, p=p_hat, transform=True,
**nbinom_args)
# Condense update to a single vector for reduction
update = np.r_[grad, info[np.tril_indices(2)]]
# Combine with other updates on master
comm.Reduce([update, MPI.DOUBLE], None,
op=MPI.SUM, root=MPIROOT)
# Contribute to final information matrix refinement if requested
if final_info:
# Receive updated estimate
comm.Bcast([theta_hat, MPI.DOUBLE], root=MPIROOT)
r_hat = np.exp(theta_hat[0])
p_hat = 1. / (1 + np.exp(-theta_hat[1]))
info = info_posterior_nbinom(r=r_hat, p=p_hat, transform=True,
**nbinom_args)
# Combine informations on master
comm.Reduce([info[np.tril_indices(2)], MPI.DOUBLE], None,
op=MPI.SUM, root=MPIROOT)
# Obtain proposed value of theta from master.
theta_prop = np.empty(2)
comm.Bcast([theta_prop, MPI.DOUBLE], root=MPIROOT)
r_prop, p_prop = np.exp(theta_prop)
p_prop = p_prop / (1. + p_prop)
# Compute log-ratio of target densities, omitting prior.
# Log-ratio of prior densities is handled on the master.
# Only component is log-likelihood ratio for x.
log_target_ratio = np.sum(dnbinom(x, r=r_prop, p=p_prop, log=True) -
dnbinom(x, r=r_prev, p=p_prev, log=True))
# Reduce log-target ratio for MH step on master.
comm.Reduce([np.array(log_target_ratio), MPI.DOUBLE], None,
op=MPI.SUM, root=MPIROOT)
