def test_conditional_density_2d():
"""
Test whether the conditional density matches analytical results for MVN.
This uses a 3D joint and conditions on the last value to generate a 2D conditional.
"""
joint_mean = torch.zeros(3)
joint_cov = torch.tensor([[1.0, 0.0, 0.7], [0.0, 1.0, 0.7], [0.7, 0.7, 1.0]])
joint_dist = MultivariateNormal(joint_mean, joint_cov)
condition_dim2 = torch.ones(1)
full_condition = torch.ones(3)
resolution = 100
vals_to_eval_at_dim1 = (
torch.linspace(-3, 3, resolution).repeat(resolution).unsqueeze(1)
)
vals_to_eval_at_dim2 = torch.repeat_interleave(
torch.linspace(-3, 3, resolution), resolution
).unsqueeze(1)
vals_to_eval_at = torch.cat((vals_to_eval_at_dim1, vals_to_eval_at_dim2), axis=1)
# Solution with sbi.
probs = eval_conditional_density(
density=joint_dist,
condition=full_condition,
limits=torch.tensor([[-3, 3], [-3, 3], [-3, 3]]),
dim1=0,
dim2=1,
resolution=resolution,
)
probs_sbi = probs / torch.sum(probs)
# Analytical solution.
conditional_mean, conditional_cov = conditional_of_mvn(
joint_mean, joint_cov, condition_dim2
)
conditional_dist = torch.distributions.MultivariateNormal(
conditional_mean, conditional_cov
)
probs = torch.exp(conditional_dist.log_prob(vals_to_eval_at))
probs = torch.reshape(probs, (resolution, resolution))
probs_analytical = probs / torch.sum(probs)
assert torch.all(torch.abs(probs_analytical - probs_sbi) < 1e-5)
def test_sample_conditional(set_seed):
"""
Test whether sampling from the conditional gives the same results as evaluating.
This compares samples that get smoothed with a Gaussian kde to evaluating the
conditional log-probability with `eval_conditional_density`.
`eval_conditional_density` is itself tested in `sbiutils_test.py`. Here, we use
a bimodal posterior to test the conditional.
"""
num_dim = 3
dim_to_sample_1 = 0
dim_to_sample_2 = 2
x_o = zeros(1, num_dim)
likelihood_shift = -1.0 * ones(num_dim)
likelihood_cov = 0.1 * eye(num_dim)
prior = utils.BoxUniform(-2.0 * ones(num_dim), 2.0 * ones(num_dim))
def simulator(theta):
if torch.rand(1) > 0.5:
return linear_gaussian(theta, likelihood_shift, likelihood_cov)
else:
return linear_gaussian(theta, -likelihood_shift, likelihood_cov)
net = utils.posterior_nn("maf", hidden_features=20)
simulator, prior = prepare_for_sbi(simulator, prior)
inference = SNPE_C(
prior,
density_estimator=net,
show_progress_bars=False,
)
# We need a pretty big dataset to properly model the bimodality.
theta, x = simulate_for_sbi(simulator, prior, 10000)
_ = inference.append_simulations(theta, x).train(max_num_epochs=50)
posterior = inference.build_posterior().set_default_x(x_o)
samples = posterior.sample((50, ))
# Evaluate the conditional density be drawing samples and smoothing with a Gaussian
# kde.
cond_samples = posterior.sample_conditional(
(500, ),
condition=samples[0],
dims_to_sample=[dim_to_sample_1, dim_to_sample_2])
_ = utils.pairplot(
cond_samples,
limits=[[-2, 2], [-2, 2], [-2, 2]],
fig_size=(2, 2),
diag="kde",
upper="kde",
)
limits = [[-2, 2], [-2, 2], [-2, 2]]
density = gaussian_kde(cond_samples.numpy().T, bw_method="scott")
X, Y = np.meshgrid(
np.linspace(
limits[0][0],
limits[0][1],
50,
),
np.linspace(
limits[1][0],
limits[1][1],
50,
),
)
positions = np.vstack([X.ravel(), Y.ravel()])
sample_kde_grid = np.reshape(density(positions).T, X.shape)
# Evaluate the conditional with eval_conditional_density.
eval_grid = utils.eval_conditional_density(
posterior,
condition=samples[0],
dim1=dim_to_sample_1,
dim2=dim_to_sample_2,
limits=torch.tensor([[-2, 2], [-2, 2], [-2, 2]]),
)
# Compare the two densities.
sample_kde_grid = sample_kde_grid / np.sum(sample_kde_grid)
eval_grid = eval_grid / torch.sum(eval_grid)
error = np.abs(sample_kde_grid - eval_grid.numpy())
max_err = np.max(error)
assert max_err < 0.0025