def packParamBagForPost(nu=None,
beta=None,
m=None,
kappa=None,
D=None,
Post=None,
**kwargs):
'''
'''
m = as2D(m)
beta = as2D(beta)
if D is None:
D = m.shape[1]
if m.shape[1] != D:
m = m.T.copy()
if beta.shape[1] != D:
beta = beta.T.copy()
K, _ = m.shape
if Post is None:
Post = ParamBag(K=K, D=D)
else:
assert isinstance(Post, ParamBag)
assert Post.K == K
assert Post.D == D
Post.setField('nu', as1D(nu), dims=('K'))
Post.setField('beta', beta, dims=('K', 'D'))
Post.setField('m', m, dims=('K', 'D'))
Post.setField('kappa', as1D(kappa), dims=('K'))
return Post
def packParamBagForPost(pnu_K=None,
ptau_K=None,
w_KE=None,
P_KEE=None,
Post=None,
**kwargs):
''' Parse provided array args and pack into parameter bag
Returns
-------
Post : ParamBag, with K clusters
'''
pnu_K = as1D(pnu_K)
ptau_K = as1D(ptau_K)
w_KE = as2D(w_KE)
P_KEE = as3D(P_KEE)
K = pnu_K.size
E = w_KE.shape[1]
if Post is None:
Post = ParamBag(K=K, D=E - 1, E=E)
elif not hasattr(Post, 'E'):
Post.E = E
assert Post.K == K
assert Post.D == E - 1
assert Post.E == E
Post.setField('pnu_K', pnu_K, dims=('K'))
Post.setField('ptau_K', ptau_K, dims=('K'))
Post.setField('w_KE', w_KE, dims=('K', 'E'))
Post.setField('P_KEE', P_KEE, dims=('K', 'E', 'E'))
return Post
def createParamBagForPrior(Data,
D=0,
nu=0,
beta=None,
m=None,
kappa=None,
MMat='zero',
ECovMat=None,
sF=1.0,
Prior=None,
**kwargs):
''' Initialize ParamBag of parameters which specify prior.
Returns
-------
Prior : ParamBag
'''
if Data is None:
D = int(D)
else:
D = int(Data.dim)
nu = np.maximum(nu, D + 2)
kappa = np.maximum(kappa, 1e-8)
if beta is None:
if ECovMat is None or isinstance(ECovMat, str):
ECovMat = createECovMatFromUserInput(D, Data, ECovMat, sF)
beta = np.diag(ECovMat) * (nu - 2)
else:
if beta.ndim == 0:
beta = np.asarray([beta], dtype=np.float)
if m is None:
if MMat == 'data':
m = np.sum(Data.X, axis=0)
else:
m = np.zeros(D)
elif m.ndim < 1:
m = np.asarray([m], dtype=np.float)
if Prior is None:
Prior = ParamBag(K=0, D=D)
assert Prior.D == D
Prior.setField('nu', nu, dims=None)
Prior.setField('kappa', kappa, dims=None)
Prior.setField('m', m, dims=('D'))
Prior.setField('beta', beta, dims=('D'))
return Prior
class GaussObsModel(AbstractObsModel):
''' Full-covariance gaussian data generation model for real vectors.
Attributes for Prior (Normal-Wishart)
--------
nu : float
degrees of freedom
B : 2D array, size D x D
scale parameters that set mean of parameter sigma
m : 1D array, size D
mean of the parameter mu
kappa : float
scalar precision on parameter mu
Attributes for k-th component of EstParams (EM point estimates)
---------
mu[k] : 1D array, size D
Sigma[k] : 2D array, size DxD
Attributes for k-th component of Post (VB parameter)
---------
nu[k] : float
B[k] : 1D array, size D
m[k] : 1D array, size D
kappa[k] : float
'''
def __init__(self,
inferType='EM',
D=0,
min_covar=None,
Data=None,
**PriorArgs):
''' Initialize bare obsmodel with valid prior hyperparameters.
Resulting object lacks either EstParams or Post,
which must be created separately (see init_global_params).
'''
if Data is not None:
self.D = Data.dim
else:
self.D = int(D)
self.K = 0
self.inferType = inferType
self.min_covar = min_covar
self.createPrior(Data, **PriorArgs)
self.Cache = dict()
def createPrior(self,
Data,
nu=0,
B=None,
m=None,
kappa=None,
MMat='zero',
ECovMat=None,
sF=1.0,
**kwargs):
''' Initialize Prior ParamBag attribute.
Post Condition
--------------
Prior expected covariance matrix set to match provided value.
'''
D = self.D
nu = np.maximum(nu, D + 2)
if B is None:
if ECovMat is None or isinstance(ECovMat, str):
ECovMat = createECovMatFromUserInput(D, Data, ECovMat, sF)
B = ECovMat * (nu - D - 1)
if B.ndim == 1:
B = np.asarray([B], dtype=np.float)
elif B.ndim == 0:
B = np.asarray([[B]], dtype=np.float)
if m is None:
if MMat == 'data':
m = np.mean(Data.X, axis=0)
else:
m = np.zeros(D)
elif m.ndim < 1:
m = np.asarray([m], dtype=np.float)
kappa = np.maximum(kappa, 1e-8)
self.Prior = ParamBag(K=0, D=D)
self.Prior.setField('nu', nu, dims=None)
self.Prior.setField('kappa', kappa, dims=None)
self.Prior.setField('m', m, dims=('D'))
self.Prior.setField('B', B, dims=('D', 'D'))
def get_mean_for_comp(self, k=None):
if hasattr(self, 'EstParams'):
return self.EstParams.mu[k]
elif k is None or k == 'prior':
return self.Prior.m
else:
return self.Post.m[k]
def get_covar_mat_for_comp(self, k=None):
if hasattr(self, 'EstParams'):
return self.EstParams.Sigma[k]
elif k is None or k == 'prior':
return self._E_CovMat()
else:
return self._E_CovMat(k)
def get_name(self):
return 'Gauss'
def get_info_string(self):
return 'Gaussian with full covariance.'
def get_info_string_prior(self):
msg = 'Gauss-Wishart on mean and covar of each cluster\n'
if self.D > 2:
sfx = ' ...'
else:
sfx = ''
S = self._E_CovMat()[:2, :2]
msg += 'E[ mean[k] ] = \n %s %s\n' % (str(self.Prior.m[:2]), sfx)
msg += 'E[ covar[k] ] = \n'
msg += str(S) + sfx
msg = msg.replace('\n', '\n ')
return msg
def setEstParams(self,
obsModel=None,
SS=None,
LP=None,
Data=None,
mu=None,
Sigma=None,
**kwargs):
''' Create EstParams ParamBag with fields mu, Sigma
'''
self.ClearCache()
if obsModel is not None:
self.EstParams = obsModel.EstParams.copy()
self.K = self.EstParams.K
return
if LP is not None and Data is not None:
SS = self.calcSummaryStats(Data, None, LP)
if SS is not None:
self.updateEstParams(SS)
else:
Sigma = as3D(Sigma)
K, D, D2 = Sigma.shape
mu = as2D(mu)
if mu.shape[0] != K:
mu = mu.T
assert mu.shape[0] == K
assert mu.shape[1] == D
self.EstParams = ParamBag(K=K, D=D)
self.EstParams.setField('mu', mu, dims=('K', 'D'))
self.EstParams.setField('Sigma', Sigma, dims=('K', 'D', 'D'))
self.K = self.EstParams.K
def setEstParamsFromPost(self, Post):
''' Convert from Post (nu, B, m, kappa) to EstParams (mu, Sigma),
each EstParam is set to its posterior mean.
'''
self.EstParams = ParamBag(K=Post.K, D=Post.D)
mu = Post.m.copy()
Sigma = Post.B / (Post.nu[:, np.newaxis, np.newaxis] - Post.D - 1)
self.EstParams.setField('mu', mu, dims=('K', 'D'))
self.EstParams.setField('Sigma', Sigma, dims=('K', 'D', 'D'))
self.K = self.EstParams.K
def setPostFactors(self,
obsModel=None,
SS=None,
LP=None,
Data=None,
nu=0,
B=0,
m=0,
kappa=0,
**kwargs):
''' Set attribute Post to provided values.
'''
self.ClearCache()
if obsModel is not None:
if hasattr(obsModel, 'Post'):
self.Post = obsModel.Post.copy()
self.K = self.Post.K
else:
self.setPostFromEstParams(obsModel.EstParams)
return
if LP is not None and Data is not None:
SS = self.calcSummaryStats(Data, None, LP)
if SS is not None:
self.updatePost(SS)
else:
m = as2D(m)
if m.shape[1] != self.D:
m = m.T.copy()
K, _ = m.shape
self.Post = ParamBag(K=K, D=self.D)
self.Post.setField('nu', as1D(nu), dims=('K'))
self.Post.setField('B', B, dims=('K', 'D', 'D'))
self.Post.setField('m', m, dims=('K', 'D'))
self.Post.setField('kappa', as1D(kappa), dims=('K'))
self.K = self.Post.K
def setPostFromEstParams(self, EstParams, Data=None, N=None):
''' Set attribute Post based on values in EstParams.
'''
K = EstParams.K
D = EstParams.D
if Data is not None:
N = Data.nObsTotal
N = np.asarray(N, dtype=np.float)
if N.ndim == 0:
N = N / K * np.ones(K)
nu = self.Prior.nu + N
B = np.zeros((K, D, D))
for k in xrange(K):
B[k] = (nu[k] - D - 1) * EstParams.Sigma[k]
m = EstParams.mu.copy()
kappa = self.Prior.kappa + N
self.Post = ParamBag(K=K, D=D)
self.Post.setField('nu', nu, dims=('K'))
self.Post.setField('B', B, dims=('K', 'D', 'D'))
self.Post.setField('m', m, dims=('K', 'D'))
self.Post.setField('kappa', kappa, dims=('K'))
self.K = self.Post.K
def calcSummaryStats(self, Data, SS, LP, **kwargs):
''' Calculate summary statistics for given dataset and local parameters
Returns
--------
SS : SuffStatBag object, with K components.
'''
return calcSummaryStats(Data, SS, LP, **kwargs)
def forceSSInBounds(self, SS):
''' Force count vector N to remain positive
This avoids numerical problems due to incremental add/subtract ops
which can cause computations like
x = 10.
x += 1e-15
x -= 10
x -= 1e-15
to be slightly different than zero instead of exactly zero.
Returns
-------
None. SS.N updated in-place.
'''
np.maximum(SS.N, 0, out=SS.N)
def incrementSS(self, SS, k, x):
SS.x[k] += x
SS.xxT[k] += np.outer(x, x)
def decrementSS(self, SS, k, x):
SS.x[k] -= x
SS.xxT[k] -= np.outer(x, x)
def calcSummaryStatsForContigBlock(self, Data, SS=None, a=0, b=0):
''' Calculate sufficient stats for a single contiguous block of data
'''
if SS is None:
SS = SuffStatBag(K=1, D=Data.dim)
SS.setField('N', (b - a) * np.ones(1), dims='K')
SS.setField('x',
np.sum(Data.X[a:b], axis=0)[np.newaxis, :],
dims=('K', 'D'))
SS.setField('xxT',
dotATA(Data.X[a:b])[np.newaxis, :, :],
dims=('K', 'D', 'D'))
return SS
def calcLogSoftEvMatrix_FromEstParams(self, Data, **kwargs):
''' Compute log soft evidence matrix for Dataset under EstParams.
Returns
---------
L : 2D array, N x K
'''
K = self.EstParams.K
L = np.empty((Data.nObs, K))
for k in xrange(K):
L[:, k] = - 0.5 * self.D * LOGTWOPI \
- 0.5 * self._logdetSigma(k) \
- 0.5 * self._mahalDist_EstParam(Data.X, k)
return L
def _mahalDist_EstParam(self, X, k):
''' Calc Mahalanobis distance from comp k to every row of X
Args
---------
X : 2D array, size N x D
k : integer ID of comp
Returns
----------
dist : 1D array, size N
'''
Q = np.linalg.solve(self.GetCached('cholSigma', k),
(X - self.EstParams.mu[k]).T)
Q *= Q
return np.sum(Q, axis=0)
def _cholSigma(self, k):
''' Calculate lower cholesky decomposition of Sigma[k]
Returns
--------
L : 2D array, size D x D, lower triangular
Sigma = np.dot(L, L.T)
'''
return scipy.linalg.cholesky(self.EstParams.Sigma[k], lower=1)
def _logdetSigma(self, k):
''' Calculate log determinant of EstParam.Sigma for comp k
Returns
---------
logdet : scalar real
'''
return 2 * np.sum(np.log(np.diag(self.GetCached('cholSigma', k))))
def updateEstParams_MaxLik(self, SS):
''' Update attribute EstParams for all comps given suff stats.
Update uses the maximum likelihood objective for point estimation.
Post Condition
---------
Attributes K and EstParams updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'EstParams') or self.EstParams.K != SS.K:
self.EstParams = ParamBag(K=SS.K, D=SS.D)
mu = SS.x / SS.N[:, np.newaxis]
minCovMat = self.min_covar * np.eye(SS.D)
covMat = np.tile(minCovMat, (SS.K, 1, 1))
for k in xrange(SS.K):
covMat[k] += SS.xxT[k] / SS.N[k] - np.outer(mu[k], mu[k])
self.EstParams.setField('mu', mu, dims=('K', 'D'))
self.EstParams.setField('Sigma', covMat, dims=('K', 'D', 'D'))
self.K = SS.K
def updateEstParams_MAP(self, SS):
''' Update attribute EstParams for all comps given suff stats.
Update uses the MAP objective for point estimation.
Post Condition
---------
Attributes K and EstParams updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'EstParams') or self.EstParams.K != SS.K:
self.EstParams = ParamBag(K=SS.K, D=SS.D)
Prior = self.Prior
nu = Prior.nu + SS.N
kappa = Prior.kappa + SS.N
PB = Prior.B + Prior.kappa * np.outer(Prior.m, Prior.m)
m = np.empty((SS.K, SS.D))
B = np.empty((SS.K, SS.D, SS.D))
for k in xrange(SS.K):
km_x = Prior.kappa * Prior.m + SS.x[k]
m[k] = 1.0 / kappa[k] * km_x
B[k] = PB + SS.xxT[k] - 1.0 / kappa[k] * np.outer(km_x, km_x)
mu, Sigma = MAPEstParams_inplace(nu, B, m, kappa)
self.EstParams.setField('mu', mu, dims=('K', 'D'))
self.EstParams.setField('Sigma', Sigma, dims=('K', 'D', 'D'))
self.K = SS.K
def updatePost(self, SS):
''' Update attribute Post for all comps given suff stats.
Update uses the variational objective.
Post Condition
---------
Attributes K and Post updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'Post') or self.Post.K != SS.K:
self.Post = ParamBag(K=SS.K, D=SS.D)
nu, B, m, kappa = self.calcPostParams(SS)
self.Post.setField('nu', nu, dims=('K'))
self.Post.setField('kappa', kappa, dims=('K'))
self.Post.setField('m', m, dims=('K', 'D'))
self.Post.setField('B', B, dims=('K', 'D', 'D'))
self.K = SS.K
def calcPostParams(self, SS):
''' Calc updated params (nu, B, m, kappa) for all comps given suff stats
These params define the common-form of the exponential family
Normal-Wishart posterior distribution over mu, diag(Lambda)
Returns
--------
nu : 1D array, size K
B : 3D array, size K x D x D, each B[k] is symmetric and pos. def.
m : 2D array, size K x D
kappa : 1D array, size K
'''
Prior = self.Prior
nu = Prior.nu + SS.N
kappa = Prior.kappa + SS.N
m = (Prior.kappa * Prior.m + SS.x) / kappa[:, np.newaxis]
Bmm = Prior.B + Prior.kappa * np.outer(Prior.m, Prior.m)
B = SS.xxT + Bmm[np.newaxis, :]
for k in range(B.shape[0]):
B[k] -= kappa[k] * np.outer(m[k], m[k])
return nu, B, m, kappa
def calcPostParamsForComp(self, SS, kA=None, kB=None):
''' Calc params (nu, B, m, kappa) for specific comp, given suff stats
These params define the common-form of the exponential family
Normal-Wishart posterior distribution over mu[k], diag(Lambda)[k]
Returns
--------
nu : positive scalar
B : 2D array, size D x D, symmetric and positive definite
m : 1D array, size D
kappa : positive scalar
'''
if kB is None:
SN = SS.N[kA]
Sx = SS.x[kA]
SxxT = SS.xxT[kA]
else:
SN = SS.N[kA] + SS.N[kB]
Sx = SS.x[kA] + SS.x[kB]
SxxT = SS.xxT[kA] + SS.xxT[kB]
Prior = self.Prior
nu = Prior.nu + SN
kappa = Prior.kappa + SN
m = (Prior.kappa * Prior.m + Sx) / kappa
B = Prior.B + SxxT \
+ Prior.kappa * np.outer(Prior.m, Prior.m) \
- kappa * np.outer(m, m)
return nu, B, m, kappa
def updatePost_stochastic(self, SS, rho):
''' Update attribute Post for all comps given suff stats
Update uses the stochastic variational formula.
Post Condition
---------
Attributes K and Post updated in-place.
'''
assert hasattr(self, 'Post')
assert self.Post.K == SS.K
self.ClearCache()
self.convertPostToNatural()
nu, Bnat, km, kappa = self.calcNaturalPostParams(SS)
Post = self.Post
Post.nu[:] = (1 - rho) * Post.nu + rho * nu
Post.Bnat[:] = (1 - rho) * Post.Bnat + rho * Bnat
Post.km[:] = (1 - rho) * Post.km + rho * km
Post.kappa[:] = (1 - rho) * Post.kappa + rho * kappa
self.convertPostToCommon()
def calcNaturalPostParams(self, SS):
''' Calc natural posterior parameters given suff stats SS.
Returns
--------
nu : 1D array, size K
Bnat : 3D array, size K x D x D
km : 2D array, size K x D
kappa : 1D array, size K
'''
Prior = self.Prior
nu = Prior.nu + SS.N
kappa = Prior.kappa + SS.N
km = Prior.kappa * Prior.m + SS.x
Bnat = (Prior.B + Prior.kappa * np.outer(Prior.m, Prior.m)) + SS.xxT
return nu, Bnat, km, kappa
def convertPostToNatural(self):
''' Convert current posterior params from common to natural form
'''
Post = self.Post
assert hasattr(Post, 'nu')
assert hasattr(Post, 'kappa')
km = Post.m * Post.kappa[:, np.newaxis]
Bnat = np.empty((self.K, self.D, self.D))
for k in range(self.K):
Bnat[k] = Post.B[k] + np.outer(km[k], km[k]) / Post.kappa[k]
Post.setField('km', km, dims=('K', 'D'))
Post.setField('Bnat', Bnat, dims=('K', 'D', 'D'))
def convertPostToCommon(self):
''' Convert current posterior params from natural to common form
'''
Post = self.Post
assert hasattr(Post, 'nu')
assert hasattr(Post, 'kappa')
if hasattr(Post, 'm'):
Post.m[:] = Post.km / Post.kappa[:, np.newaxis]
else:
m = Post.km / Post.kappa[:, np.newaxis]
Post.setField('m', m, dims=('K', 'D'))
if hasattr(Post, 'B'):
B = Post.B # update in place, no reallocation!
else:
B = np.empty((self.K, self.D, self.D))
for k in range(self.K):
B[k] = Post.Bnat[k] - \
np.outer(Post.km[k], Post.km[k]) / Post.kappa[k]
Post.setField('B', B, dims=('K', 'D', 'D'))
def calcLogSoftEvMatrix_FromPost(self, Data, **kwargs):
''' Calculate expected log soft ev matrix under Post.
Returns
------
L : 2D array, size N x K
'''
K = self.Post.K
L = np.zeros((Data.nObs, K))
for k in range(K):
L[:, k] = - 0.5 * self.D * LOGTWOPI \
+ 0.5 * self.GetCached('E_logdetL', k) \
- 0.5 * self._mahalDist_Post(Data.X, k)
return L
def _mahalDist_Post(self, X, k):
''' Calc expected mahalonobis distance from comp k to each data atom
Returns
--------
distvec : 1D array, size nObs
distvec[n] gives E[ (x-\mu) \Lam (x-\mu) ] for comp k
'''
Q = np.linalg.solve(self.GetCached('cholB', k), (X - self.Post.m[k]).T)
Q *= Q
return self.Post.nu[k] * np.sum(Q, axis=0) \
+ self.D / self.Post.kappa[k]
def calcELBO_Memoized(self, SS, returnVec=0, afterMStep=False, **kwargs):
""" Calculate obsModel's objective using suff stats SS and Post.
Args
-------
SS : bnpy SuffStatBag
afterMStep : boolean flag
if 1, elbo calculated assuming M-step just completed
Returns
-------
obsELBO : scalar float
Equal to E[ log p(x) + log p(phi) - log q(phi)]
"""
elbo = np.zeros(SS.K)
Post = self.Post
Prior = self.Prior
for k in range(SS.K):
elbo[k] = c_Diff(
Prior.nu,
self.GetCached('logdetB'),
Prior.m,
Prior.kappa,
Post.nu[k],
self.GetCached('logdetB', k),
Post.m[k],
Post.kappa[k],
)
if not afterMStep:
aDiff = SS.N[k] + Prior.nu - Post.nu[k]
bDiff = SS.xxT[k] + Prior.B \
+ Prior.kappa * np.outer(Prior.m, Prior.m) \
- Post.B[k] \
- Post.kappa[k] * np.outer(Post.m[k], Post.m[k])
cDiff = SS.x[k] + Prior.kappa * Prior.m \
- Post.kappa[k] * Post.m[k]
dDiff = SS.N[k] + Prior.kappa - Post.kappa[k]
elbo[k] += 0.5 * aDiff * self.GetCached('E_logdetL', k) \
- 0.5 * self._trace__E_L(bDiff, k) \
+ np.inner(cDiff, self.GetCached('E_Lmu', k)) \
- 0.5 * dDiff * self.GetCached('E_muLmu', k)
if returnVec:
return elbo - (0.5 * SS.D * LOGTWOPI) * SS.N
return elbo.sum() - 0.5 * np.sum(SS.N) * SS.D * LOGTWOPI
def getDatasetScale(self, SS):
''' Get number of observed scalars in dataset from suff stats.
Used for normalizing the ELBO so it has reasonable range.
Returns
---------
s : scalar positive integer
'''
return SS.N.sum() * SS.D
def calcHardMergeGap(self, SS, kA, kB):
''' Calculate change in ELBO after a hard merge applied to this model
Returns
---------
gap : scalar real, indicates change in ELBO after merge of kA, kB
'''
Post = self.Post
Prior = self.Prior
cA = c_Func(Post.nu[kA], Post.B[kA], Post.m[kA], Post.kappa[kA])
cB = c_Func(Post.nu[kB], Post.B[kB], Post.m[kB], Post.kappa[kB])
cPrior = c_Func(Prior.nu, Prior.B, Prior.m, Prior.kappa)
nu, B, m, kappa = self.calcPostParamsForComp(SS, kA, kB)
cAB = c_Func(nu, B, m, kappa)
return cA + cB - cPrior - cAB
def calcHardMergeGap_AllPairs(self, SS):
''' Calculate change in ELBO for all candidate hard merge pairs
Returns
---------
Gap : 2D array, size K x K, upper-triangular entries non-zero
Gap[j,k] : scalar change in ELBO after merge of k into j
'''
Post = self.Post
Prior = self.Prior
cPrior = c_Func(Prior.nu, Prior.B, Prior.m, Prior.kappa)
c = np.zeros(SS.K)
for k in range(SS.K):
c[k] = c_Func(Post.nu[k], Post.B[k], Post.m[k], Post.kappa[k])
Gap = np.zeros((SS.K, SS.K))
for j in range(SS.K):
for k in range(j + 1, SS.K):
nu, B, m, kappa = self.calcPostParamsForComp(SS, j, k)
cjk = c_Func(nu, B, m, kappa)
Gap[j, k] = c[j] + c[k] - cPrior - cjk
return Gap
def calcHardMergeGap_SpecificPairs(self, SS, PairList):
''' Calc change in ELBO for specific list of candidate hard merge pairs
Returns
---------
Gaps : 1D array, size L
Gap[j] : scalar change in ELBO after merge of pair in PairList[j]
'''
Gaps = np.zeros(len(PairList))
for ii, (kA, kB) in enumerate(PairList):
Gaps[ii] = self.calcHardMergeGap(SS, kA, kB)
return Gaps
def calcHardMergeGap_SpecificPairSS(self, SS1, SS2):
''' Calc change in ELBO for merge of two K=1 suff stat bags.
Returns
-------
gap : scalar float
'''
assert SS1.K == 1
assert SS2.K == 1
Prior = self.Prior
cPrior = c_Func(Prior.nu, Prior.B, Prior.m, Prior.kappa)
# Compute cumulants of individual states 1 and 2
nu1, B1, m1, kappa1 = self.calcPostParamsForComp(SS1, 0)
nu2, B2, m2, kappa2 = self.calcPostParamsForComp(SS2, 0)
c1 = c_Func(nu1, B1, m1, kappa1)
c2 = c_Func(nu2, B2, m2, kappa2)
# Compute cumulant of merged state 1&2
SS12 = SS1 + SS2
nu12, B12, m12, kappa12 = self.calcPostParamsForComp(SS12, 0)
c12 = c_Func(nu12, B12, m12, kappa12)
return c1 + c2 - cPrior - c12
def calcLogMargLikForComp(self, SS, kA, kB=None, **kwargs):
''' Calc log marginal likelihood of data assigned to given component
Args
-------
SS : bnpy suff stats object
kA : integer ID of target component to compute likelihood for
kB : (optional) integer ID of second component.
If provided, we merge kA, kB into one component for calculation.
Returns
-------
logM : scalar real
logM = log p( data assigned to comp kA )
computed up to an additive constant
'''
nu, beta, m, kappa = self.calcPostParamsForComp(SS, kA, kB)
return -1 * c_Func(nu, beta, m, kappa)
def calcMargLik(self, SS):
''' Calc log marginal likelihood across all comps, given suff stats
Returns
--------
logM : scalar real
logM = \sum_{k=1}^K log p( data assigned to comp k | Prior)
'''
return self.calcMargLik_CFuncForLoop(SS)
def calcMargLik_CFuncForLoop(self, SS):
Prior = self.Prior
logp = np.zeros(SS.K)
for k in xrange(SS.K):
nu, B, m, kappa = self.calcPostParamsForComp(SS, k)
logp[k] = c_Diff(Prior.nu, Prior.B, Prior.m, Prior.kappa, nu, B, m,
kappa)
return np.sum(logp) - 0.5 * np.sum(SS.N) * LOGTWOPI
def calcPredProbVec_Unnorm(self, SS, x):
''' Calculate predictive probability that each comp assigns to vector x
Returns
--------
p : 1D array, size K, all entries positive
p[k] \propto p( x | SS for comp k)
'''
return self._calcPredProbVec_Fast(SS, x)
def _calcPredProbVec_cFunc(self, SS, x):
nu, B, m, kappa = self.calcPostParams(SS)
pSS = SS.copy()
pSS.N += 1
pSS.x += x[np.newaxis, :]
pSS.xxT += np.outer(x, x)[np.newaxis, :, :]
pnu, pB, pm, pkappa = self.calcPostParams(pSS)
logp = np.zeros(SS.K)
for k in xrange(SS.K):
logp[k] = c_Diff(nu[k], B[k], m[k], kappa[k], pnu[k], pB[k], pm[k],
pkappa[k])
return np.exp(logp - np.max(logp))
def _calcPredProbVec_Fast(self, SS, x):
nu, B, m, kappa = self.calcPostParams(SS)
kB = B
kB *= ((kappa + 1) / kappa)[:, np.newaxis, np.newaxis]
logp = np.zeros(SS.K)
p = logp # Rename so its not confusing what we're returning
for k in xrange(SS.K):
cholKB = scipy.linalg.cholesky(kB[k], lower=1)
logdetKB = 2 * np.sum(np.log(np.diag(cholKB)))
mVec = np.linalg.solve(cholKB, x - m[k])
mDist_k = np.inner(mVec, mVec)
logp[k] = -0.5 * logdetKB - 0.5 * \
(nu[k] + 1) * np.log(1.0 + mDist_k)
logp += gammaln(0.5 * (nu + 1)) - gammaln(0.5 * (nu + 1 - self.D))
logp -= np.max(logp)
np.exp(logp, out=p)
return p
def _Verify_calcPredProbVec(self, SS, x):
''' Verify that the predictive prob vector is correct,
by comparing very different implementations
'''
pA = self._calcPredProbVec_Fast(SS, x)
pC = self._calcPredProbVec_cFunc(SS, x)
pA /= np.sum(pA)
pC /= np.sum(pC)
assert np.allclose(pA, pC)
def _E_CovMat(self, k=None):
if k is None:
B = self.Prior.B
nu = self.Prior.nu
else:
B = self.Post.B[k]
nu = self.Post.nu[k]
return B / (nu - self.D - 1)
def _cholB(self, k=None):
if k == 'all':
retArr = np.zeros((self.K, self.D, self.D))
for kk in xrange(self.K):
retArr[kk] = self.GetCached('cholB', kk)
return retArr
elif k is None:
B = self.Prior.B
else:
# k is one of [0, 1, ... K-1]
B = self.Post.B[k]
return scipy.linalg.cholesky(B, lower=True)
def _logdetB(self, k=None):
cholB = self.GetCached('cholB', k)
return 2 * np.sum(np.log(np.diag(cholB)))
def _E_logdetL(self, k=None):
dvec = np.arange(1, self.D + 1, dtype=np.float)
if k == 'all':
dvec = dvec[:, np.newaxis]
retVec = self.D * LOGTWO * np.ones(self.K)
for kk in xrange(self.K):
retVec[kk] -= self.GetCached('logdetB', kk)
nuT = self.Post.nu[np.newaxis, :]
retVec += np.sum(digamma(0.5 * (nuT + 1 - dvec)), axis=0)
return retVec
elif k is None:
nu = self.Prior.nu
else:
nu = self.Post.nu[k]
return self.D * LOGTWO \
- self.GetCached('logdetB', k) \
+ np.sum(digamma(0.5 * (nu + 1 - dvec)))
def _trace__E_L(self, Smat, k=None):
if k is None:
nu = self.Prior.nu
B = self.Prior.B
else:
nu = self.Post.nu[k]
B = self.Post.B[k]
return nu * np.trace(np.linalg.solve(B, Smat))
def _E_Lmu(self, k=None):
if k is None:
nu = self.Prior.nu
B = self.Prior.B
m = self.Prior.m
else:
nu = self.Post.nu[k]
B = self.Post.B[k]
m = self.Post.m[k]
return nu * np.linalg.solve(B, m)
def _E_muLmu(self, k=None):
if k is None:
nu = self.Prior.nu
kappa = self.Prior.kappa
m = self.Prior.m
B = self.Prior.B
else:
nu = self.Post.nu[k]
kappa = self.Post.kappa[k]
m = self.Post.m[k]
B = self.Post.B[k]
Q = np.linalg.solve(self.GetCached('cholB', k), m.T)
return self.D / kappa + nu * np.inner(Q, Q)
def getSerializableParamsForLocalStep(self):
""" Get compact dict of params for local step.
Returns
-------
Info : dict
"""
if self.inferType == 'EM':
raise NotImplementedError('TODO')
return dict(
inferType=self.inferType,
K=self.K,
D=self.D,
)
def fillSharedMemDictForLocalStep(self, ShMem=None):
""" Get dict of shared mem arrays needed for parallel local step.
Returns
-------
ShMem : dict of RawArray objects
"""
if ShMem is None:
ShMem = dict()
if 'nu' in ShMem:
fillSharedMemArray(ShMem['nu'], self.Post.nu)
fillSharedMemArray(ShMem['kappa'], self.Post.kappa)
fillSharedMemArray(ShMem['m'], self.Post.m)
fillSharedMemArray(ShMem['cholB'], self._cholB('all'))
fillSharedMemArray(ShMem['E_logdetL'], self._E_logdetL('all'))
else:
ShMem['nu'] = numpyToSharedMemArray(self.Post.nu)
ShMem['kappa'] = numpyToSharedMemArray(self.Post.kappa)
ShMem['m'] = numpyToSharedMemArray(self.Post.m.copy())
ShMem['cholB'] = numpyToSharedMemArray(self._cholB('all'))
ShMem['E_logdetL'] = numpyToSharedMemArray(self._E_logdetL('all'))
return ShMem
def getLocalAndSummaryFunctionHandles(self):
""" Get function handles for local step and summary step
Useful for parallelized algorithms.
Returns
-------
calcLocalParams : f handle
calcSummaryStats : f handle
"""
return calcLocalParams, calcSummaryStats
def calcSmoothedMu(self, X, W=None):
''' Compute smoothed estimate of mean of statistic xxT.
Args
----
X : 2D array, size N x D
Returns
-------
Mu_1 : 2D array, size D x D
Expected value of Cov[ X[n] ]
Mu_2 : 1D array, size D
Expected value of Mean[ X[n] ]
'''
if X is None:
Mu1 = self.Prior.B / self.Prior.nu
Mu2 = self.Prior.m
return Mu1, Mu2
if X.ndim == 1:
X = X[np.newaxis, :]
N, D = X.shape
# Compute suff stats
if W is None:
sum_wxxT = np.dot(X.T, X)
sum_wx = np.sum(X, axis=0)
sum_w = X.shape[0]
else:
W = as1D(W)
sqrtWX = np.sqrt(W)[:, np.newaxis] * X
sum_wxxT = np.dot(sqrtWX.T, sqrtWX)
sum_wx = np.dot(W, X)
sum_w = np.sum(W)
kappa = self.Prior.kappa + sum_w
m = (self.Prior.m * self.Prior.kappa + sum_wx) / kappa
Mu_2 = m
prior_kmmT = self.Prior.kappa * np.outer(self.Prior.m, self.Prior.m)
post_kmmT = kappa * np.outer(m, m)
B = sum_wxxT + self.Prior.B + prior_kmmT - post_kmmT
Mu_1 = B / (self.Prior.nu + sum_w)
assert Mu_1.ndim == 2
assert Mu_1.shape == (
D,
D,
)
assert Mu_2.shape == (D, )
return Mu_1, Mu_2
def calcSmoothedBregDiv(self,
X,
Mu,
W=None,
eps=1e-10,
smoothFrac=0.0,
includeOnlyFastTerms=False,
DivDataVec=None,
returnDivDataVec=False,
return1D=False,
**kwargs):
''' Compute Bregman divergence between data X and clusters Mu.
Smooth the data via update with prior parameters.
Args
----
X : 2D array, size N x D
Mu : list of size K, or tuple
Returns
-------
Div : 2D array, N x K
Div[n,k] = smoothed distance between X[n] and Mu[k]
'''
# Parse X
if X.ndim < 2:
X = X[np.newaxis, :]
assert X.ndim == 2
N = X.shape[0]
D = X.shape[1]
# Parse Mu
if isinstance(Mu, tuple):
Mu = [Mu]
assert isinstance(Mu, list)
K = len(Mu)
assert Mu[0][0].shape[0] == D
assert Mu[0][0].shape[1] == D
assert Mu[0][1].size == D
prior_x = self.Prior.m
prior_covx = self.Prior.B / (self.Prior.nu)
CovX = eps * prior_covx
Div = np.zeros((N, K))
for k in range(K):
chol_CovMu_k = np.linalg.cholesky(Mu[k][0])
logdet_CovMu_k = 2.0 * np.sum(np.log(np.diag(chol_CovMu_k)))
tr_InvMu_CovX_k = np.trace(np.linalg.solve(Mu[k][0], CovX))
XdiffMu_k = X - Mu[k][1]
tr_InvMu_XdXdT_k = np.linalg.solve(chol_CovMu_k, XdiffMu_k.T)
tr_InvMu_XdXdT_k *= tr_InvMu_XdXdT_k
tr_InvMu_XdXdT_k = tr_InvMu_XdXdT_k.sum(axis=0)
Div[:,k] = \
+ 0.5 * logdet_CovMu_k \
+ 0.5 * (tr_InvMu_CovX_k + tr_InvMu_XdXdT_k)
if not includeOnlyFastTerms:
if DivDataVec is None:
# Compute DivDataVec : 1D array of size N
# This is the per-row additive constant indep. of k.
DivDataVec = -0.5 * D * np.ones(N)
s, logdet = np.linalg.slogdet(CovX)
logdet_CovX = s * logdet
DivDataVec -= 0.5 * logdet_CovX
Div += DivDataVec[:, np.newaxis]
# Apply per-atom weights to divergences.
if W is not None:
assert W.ndim == 1
assert W.size == N
Div *= W[:, np.newaxis]
# Verify divergences are strictly non-negative
if not includeOnlyFastTerms:
minDiv = Div.min()
if minDiv < 0:
if minDiv < -1e-6:
raise AssertionError(
"Expected Div.min() to be positive or" + \
" indistinguishable from zero. Instead " + \
" minDiv=% .3e" % (minDiv))
np.maximum(Div, 0, out=Div)
minDiv = Div.min()
assert minDiv >= 0
if return1D:
Div = Div[:, 0]
if returnDivDataVec:
return Div, DivDataVec
return Div
def calcBregDivFromPrior(self, Mu, smoothFrac=0.0):
''' Compute Bregman divergence between Mu and prior mean.
Returns
-------
Div : 1D array, size K
Div[k] = distance between Mu[k] and priorMu
'''
assert isinstance(Mu, list)
K = len(Mu)
assert K >= 1
assert Mu[0][0].ndim == 2
assert Mu[0][1].ndim == 1
D = Mu[0][0].shape[0]
assert D == Mu[0][0].shape[1]
assert D == Mu[0][1].size
priorCov = self.Prior.B / self.Prior.nu
priorMu_2 = self.Prior.m
priorN_ZMG = (1 - smoothFrac) * self.Prior.nu
priorN_FVG = (1 - smoothFrac) * self.Prior.kappa
Div_ZMG = np.zeros(K) # zero-mean gaussian
Div_FVG = np.zeros(K) # fixed variance gaussian
s, logdet = np.linalg.slogdet(priorCov)
logdet_priorCov = s * logdet
for k in range(K):
Cov_k = Mu[k][0]
s, logdet = np.linalg.slogdet(Cov_k)
logdet_Cov_k = s * logdet
Div_ZMG[k] = 0.5 * logdet_Cov_k + \
- 0.5 * logdet_priorCov \
+ 0.5 * np.trace(np.linalg.solve(Cov_k, priorCov)) \
- 0.5
pmT = np.outer(priorMu_2 - Mu[k][1], priorMu_2 - Mu[k][1])
Div_FVG[k] = 0.5 * np.trace(np.linalg.solve(Cov_k, pmT))
return priorN_ZMG * Div_ZMG + priorN_FVG * Div_FVG
class BernObsModel(AbstractObsModel):
''' Bernoulli data generation model for binary vectors.
Attributes for Prior (Beta)
--------
lam1 : 1D array, size D
pseudo-count of positive (binary value=1) observations
lam0 : 1D array, size D
pseudo-count of negative (binary value=0) observations
Attributes for k-th component of EstParams (EM point estimates)
---------
phi[k] : 1D array, size D
phi[k] is a vector of positive numbers in range [0, 1]
phi[k,d] is probability that dimension d has binary value 1.
Attributes for k-th component of Post (VB parameter)
---------
lam1[k] : 1D array, size D
lam0[k] : 1D array, size D
'''
def __init__(self,
inferType='EM',
D=0,
Data=None,
CompDims=('K', ),
**PriorArgs):
''' Initialize bare obsmodel with valid prior hyperparameters.
Resulting object lacks either EstParams or Post,
which must be created separately (see init_global_params).
'''
if Data is not None:
self.D = Data.dim
elif D > 0:
self.D = int(D)
self.K = 0
self.inferType = inferType
self.createPrior(Data, **PriorArgs)
self.Cache = dict()
if isinstance(CompDims, tuple):
self.CompDims = CompDims
elif isinstance(CompDims, str):
self.CompDims = tuple(CompDims)
assert isinstance(self.CompDims, tuple)
def createPrior(self,
Data,
lam1=1.0,
lam0=1.0,
priorMean=None,
priorScale=None,
eps_phi=1e-8,
**kwargs):
''' Initialize Prior ParamBag attribute.
'''
D = self.D
self.eps_phi = eps_phi
self.Prior = ParamBag(K=0, D=D)
if priorMean is None or priorMean.lower().count('none'):
lam1 = np.asarray(lam1, dtype=np.float)
lam0 = np.asarray(lam0, dtype=np.float)
elif isinstance(priorMean, str) and priorMean.count("data"):
assert priorScale is not None
priorScale = float(priorScale)
if hasattr(Data, 'word_id'):
X = Data.getDocTypeBinaryMatrix()
dataMean = np.mean(X, axis=0)
else:
dataMean = np.mean(Data.X, axis=0)
dataMean = np.minimum(dataMean, 0.95) # Make prior more smooth
dataMean = np.maximum(dataMean, 0.05)
lam1 = priorScale * dataMean
lam0 = priorScale * (1 - dataMean)
else:
assert priorScale is not None
priorScale = float(priorScale)
priorMean = np.asarray(priorMean, dtype=np.float64)
lam1 = priorScale * priorMean
lam0 = priorScale * (1 - priorMean)
if lam1.ndim == 0:
lam1 = lam1 * np.ones(D)
if lam0.ndim == 0:
lam0 = lam0 * np.ones(D)
assert lam1.size == D
assert lam0.size == D
self.Prior.setField('lam1', lam1, dims=('D', ))
self.Prior.setField('lam0', lam0, dims=('D', ))
def get_name(self):
return 'Bern'
def get_info_string(self):
return 'Bernoulli over %d binary attributes.' % (self.D)
def get_info_string_prior(self):
msg = 'Beta over %d attributes.\n' % (self.D)
if self.D > 2:
sfx = ' ...'
else:
sfx = ''
msg += 'lam1 = %s%s\n' % (str(self.Prior.lam1[:2]), sfx)
msg += 'lam0 = %s%s\n' % (str(self.Prior.lam0[:2]), sfx)
msg = msg.replace('\n', '\n ')
return msg
def setupWithAllocModel(self, allocModel):
''' Setup expected dimensions of components.
Args
----
allocModel : instance of bnpy.allocmodel.AllocModel
'''
self.CompDims = allocModel.getCompDims()
assert isinstance(self.CompDims, tuple)
allocModelName = str(type(allocModel)).lower()
if allocModelName.count('hdp') or allocModelName.count('topic'):
self.DataAtomType = 'word'
else:
self.DataAtomType = 'doc'
def setEstParams(self,
obsModel=None,
SS=None,
LP=None,
Data=None,
phi=None,
**kwargs):
''' Set attribute EstParams to provided values.
'''
self.ClearCache()
if obsModel is not None:
self.EstParams = obsModel.EstParams.copy()
self.K = self.EstParams.K
return
if LP is not None and Data is not None:
SS = self.calcSummaryStats(Data, None, LP)
if SS is not None:
self.updateEstParams(SS)
else:
self.EstParams = ParamBag(K=phi.shape[0], D=phi.shape[1])
self.EstParams.setField('phi', phi, dims=(
'K',
'D',
))
self.K = self.EstParams.K
def setEstParamsFromPost(self, Post=None):
''' Set attribute EstParams based on values in Post.
'''
if Post is None:
Post = self.Post
self.EstParams = ParamBag(K=Post.K, D=Post.D)
phi = Post.lam1 / (Post.lam1 + Post.lam0)
self.EstParams.setField('phi', phi, dims=(
'K',
'D',
))
self.K = self.EstParams.K
def setPostFactors(self,
obsModel=None,
SS=None,
LP=None,
Data=None,
lam1=None,
lam0=None,
**kwargs):
''' Set attribute Post to provided values.
'''
self.ClearCache()
if obsModel is not None:
if hasattr(obsModel, 'Post'):
self.Post = obsModel.Post.copy()
self.K = self.Post.K
else:
self.setPostFromEstParams(obsModel.EstParams)
return
if LP is not None and Data is not None:
SS = self.calcSummaryStats(Data, None, LP)
if SS is not None:
self.updatePost(SS)
else:
lam1 = as2D(lam1)
lam0 = as2D(lam0)
D = lam1.shape[-1]
if self.D != D:
if not lam1.shape[0] == self.D:
raise ValueError("Bad dimension for lam1, lam0")
lam1 = lam1.T.copy()
lam0 = lam0.T.copy()
K = lam1.shape[0]
self.Post = ParamBag(K=K, D=self.D)
self.Post.setField('lam1', lam1, dims=self.CompDims + ('D', ))
self.Post.setField('lam0', lam0, dims=self.CompDims + ('D', ))
self.K = self.Post.K
def setPostFromEstParams(self,
EstParams,
Data=None,
nTotalTokens=1,
**kwargs):
''' Set attribute Post based on values in EstParams.
'''
K = EstParams.K
D = EstParams.D
WordCounts = EstParams.phi * nTotalTokens
lam1 = WordCounts + self.Prior.lam1
lam0 = (1 - WordCounts) + self.Prior.lam0
self.Post = ParamBag(K=K, D=D)
self.Post.setField('lam1', lam1, dims=('K', 'D'))
self.Post.setField('lam0', lam0, dims=('K', 'D'))
self.K = K
def calcSummaryStats(self, Data, SS, LP, **kwargs):
''' Calculate summary statistics for given dataset and local parameters
Returns
--------
SS : SuffStatBag object, with K components.
'''
return calcSummaryStats(Data,
SS,
LP,
DataAtomType=self.DataAtomType,
**kwargs)
def calcSummaryStatsForContigBlock(self, Data, a=0, b=0, **kwargs):
''' Calculate summary stats for a contiguous block of the data.
Returns
--------
SS : SuffStatBag object, with 1 component.
'''
Xab = Data.X[a:b] # 2D array, Nab x D
CountON = np.sum(Xab, axis=0)[np.newaxis, :]
CountOFF = (b - a) - CountON
SS = SuffStatBag(K=1, D=Data.dim)
SS.setField('N', np.asarray([b - a], dtype=np.float64), dims='K')
SS.setField('Count1', CountON, dims=('K', 'D'))
SS.setField('Count0', CountOFF, dims=('K', 'D'))
return SS
def forceSSInBounds(self, SS):
''' Force count vectors to remain positive
This avoids numerical problems due to incremental add/subtract ops
which can cause computations like
x = 10.
x += 1e-15
x -= 10
x -= 1e-15
to be slightly different than zero instead of exactly zero.
Post Condition
-------
Fields Count1, Count0 guaranteed to be positive.
'''
np.maximum(SS.Count1, 0, out=SS.Count1)
np.maximum(SS.Count0, 0, out=SS.Count0)
def incrementSS(self, SS, k, Data, docID):
raise NotImplementedError('TODO')
def decrementSS(self, SS, k, Data, docID):
raise NotImplementedError('TODO')
def calcLogSoftEvMatrix_FromEstParams(self, Data, **kwargs):
''' Compute log soft evidence matrix for Dataset under EstParams.
Returns
---------
L : 2D array, N x K
'''
logphiT = np.log(self.EstParams.phi.T) # D x K matrix
log1mphiT = np.log(1.0 - self.EstParams.phi.T) # D x K matrix
return np.dot(Data.X, logphiT) + np.dot(1 - Data.X, log1mphiT)
def updateEstParams_MaxLik(self, SS):
''' Update attribute EstParams for all comps given suff stats.
Update uses the maximum likelihood objective for point estimation.
Post Condition
---------
Attributes K and EstParams updated in-place.
'''
self.ClearCache()
self.K = SS.K
if not hasattr(self, 'EstParams') or self.EstParams.K != SS.K:
self.EstParams = ParamBag(K=SS.K, D=SS.D)
phi = SS.Count1 / (SS.Count1 + SS.Count0)
# prevent entries from reaching exactly 0
np.maximum(phi, self.eps_phi, out=phi)
np.minimum(phi, 1.0 - self.eps_phi, out=phi)
self.EstParams.setField('phi', phi, dims=('K', 'D'))
def updateEstParams_MAP(self, SS):
''' Update attribute EstParams for all comps given suff stats.
Update uses the MAP objective for point estimation.
Post Condition
---------
Attributes K and EstParams updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'EstParams') or self.EstParams.K != SS.K:
self.EstParams = ParamBag(K=SS.K, D=SS.D)
phi_numer = SS.Count1 + self.Prior.lam1 - 1
phi_denom = SS.Count1 + SS.Count0 + \
self.Prior.lam1 + self.Prior.lam0 - 2
phi = phi_numer / phi_denom
self.EstParams.setField('phi', phi, dims=('K', 'D'))
def updatePost(self, SS):
''' Update attribute Post for all comps given suff stats.
Update uses the variational objective.
Post Condition
---------
Attributes K and Post updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'Post') or self.Post.K != SS.K:
self.Post = ParamBag(K=SS.K, D=SS.D)
lam1, lam0 = self.calcPostParams(SS)
self.Post.setField('lam1', lam1, dims=self.CompDims + ('D', ))
self.Post.setField('lam0', lam0, dims=self.CompDims + ('D', ))
self.K = SS.K
def calcPostParams(self, SS):
''' Calc posterior parameters for all comps given suff stats.
Returns
--------
lam1 : 2D array, K x D (or K x K x D if relational)
lam0 : 2D array, K x D (or K x K x D if relational)
'''
if SS.Count1.ndim == 2:
lam1 = SS.Count1 + self.Prior.lam1[np.newaxis, :]
lam0 = SS.Count0 + self.Prior.lam0[np.newaxis, :]
elif SS.Count1.ndim == 3:
lam1 = SS.Count1 + self.Prior.lam1[np.newaxis, np.newaxis, :]
lam0 = SS.Count0 + self.Prior.lam0[np.newaxis, np.newaxis, :]
return lam1, lam0
def calcPostParamsForComp(self, SS, kA=None, kB=None):
''' Calc params (lam) for specific comp, given suff stats
These params define the common-form of the exponential family
Dirichlet posterior distribution over parameter vector phi
Returns
--------
lam : 1D array, size D
'''
if kB is None:
lam1_k = SS.Count1[kA].copy()
lam0_k = SS.Count0[kA].copy()
else:
lam1_k = SS.Count1[kA] + SS.Count1[kB]
lam0_k = SS.Count0[kA] + SS.Count0[kB]
lam1_k += self.Prior.lam1
lam0_k += self.Prior.lam0
return lam1_k, lam0_k
def updatePost_stochastic(self, SS, rho):
''' Update attribute Post for all comps given suff stats
Update uses the stochastic variational formula.
Post Condition
---------
Attributes K and Post updated in-place.
'''
assert hasattr(self, 'Post')
assert self.Post.K == SS.K
self.ClearCache()
lam1, lam0 = self.calcPostParams(SS)
Post = self.Post
Post.lam1[:] = (1 - rho) * Post.lam1 + rho * lam1
Post.lam0[:] = (1 - rho) * Post.lam0 + rho * lam0
def convertPostToNatural(self):
''' Convert current posterior params from common to natural form
'''
pass
def convertPostToCommon(self):
''' Convert current posterior params from natural to common form
'''
pass
def calcLogSoftEvMatrix_FromPost(self, Data, **kwargs):
''' Calculate expected log soft ev matrix under Post.
Returns
------
C : 2D array, size N x K
'''
# ElogphiT : vocab_size x K
ElogphiT, Elog1mphiT = self.GetCached('E_logphiT_log1mphiT', 'all')
return calcLogSoftEvMatrix_FromPost(Data,
ElogphiT=ElogphiT,
Elog1mphiT=Elog1mphiT,
DataAtomType=self.DataAtomType,
**kwargs)
def calcELBO_Memoized(self, SS, returnVec=0, afterMStep=False, **kwargs):
""" Calculate obsModel's objective using suff stats SS and Post.
Args
-------
SS : bnpy SuffStatBag
afterMStep : boolean flag
if 1, elbo calculated assuming M-step just completed
Returns
-------
obsELBO : scalar float
Equal to E[ log p(x) + log p(phi) - log q(phi)]
"""
Post = self.Post
Prior = self.Prior
if not afterMStep:
ElogphiT = self.GetCached('E_logphiT', 'all')
Elog1mphiT = self.GetCached('E_log1mphiT', 'all')
# with relational/graph datasets, these have shape D x K x K
# otherwise, these have shape D x K
if self.CompDims == ('K', ):
# Typical case: K x D
assert Post._FieldDims['lam1'] == ('K', 'D')
L_perComp = np.zeros(SS.K)
for k in xrange(SS.K):
L_perComp[k] = c_Diff(Prior.lam1, Prior.lam0, Post.lam1[k],
Post.lam0[k])
if not afterMStep:
L_perComp[k] += np.inner(
SS.Count1[k] + Prior.lam1 - Post.lam1[k], ElogphiT[:,
k])
L_perComp[k] += np.inner(
SS.Count0[k] + Prior.lam0 - Post.lam0[k],
Elog1mphiT[:, k])
if returnVec:
return L_perComp
return np.sum(L_perComp)
elif self.CompDims == (
'K',
'K',
):
# Relational case, K x K x D
assert Post._FieldDims['lam1'] == ('K', 'K', 'D')
cPrior = c_Func(Prior.lam1, Prior.lam0)
Ldata = SS.K * SS.K * cPrior - c_Func(Post.lam1, Post.lam0)
if not afterMStep:
Ldata += np.sum(
(SS.Count1 + Prior.lam1[nx, nx, :] - Post.lam1) *
ElogphiT.T)
Ldata += np.sum(
(SS.Count0 + Prior.lam0[nx, nx, :] - Post.lam0) *
Elog1mphiT.T)
return Ldata
else:
raise ValueError("Unrecognized compdims: " + str(self.CompDims))
def getDatasetScale(self, SS, extraSS=None):
''' Get number of observed scalars in dataset from suff stats.
Used for normalizing the ELBO so it has reasonable range.
Returns
---------
s : scalar positive integer
'''
s = SS.Count1.sum() + SS.Count0.sum()
if extraSS is None:
return s
else:
sextra = extraSS.Count1.sum() + extraSS.Count0.sum()
return s - sextra
def calcHardMergeGap(self, SS, kA, kB):
''' Calculate change in ELBO after a hard merge applied to this model
Returns
---------
gap : scalar real, indicates change in ELBO after merge of kA, kB
'''
Prior = self.Prior
cPrior = c_Func(Prior.lam1, Prior.lam0)
Post = self.Post
cA = c_Func(Post.lam1[kA], Post.lam0[kA])
cB = c_Func(Post.lam1[kB], Post.lam0[kB])
lam1, lam0 = self.calcPostParamsForComp(SS, kA, kB)
cAB = c_Func(lam1, lam0)
return cA + cB - cPrior - cAB
def calcHardMergeGap_AllPairs(self, SS):
''' Calculate change in ELBO for all candidate hard merge pairs
Returns
---------
Gap : 2D array, size K x K, upper-triangular entries non-zero
Gap[j,k] : scalar change in ELBO after merge of k into j
'''
Prior = self.Prior
cPrior = c_Func(Prior.lam1, Prior.lam0)
Post = self.Post
c = np.zeros(SS.K)
for k in xrange(SS.K):
c[k] = c_Func(Post.lam1[k], Post.lam0[k])
Gap = np.zeros((SS.K, SS.K))
for j in xrange(SS.K):
for k in xrange(j + 1, SS.K):
cjk = c_Func(*self.calcPostParamsForComp(SS, j, k))
Gap[j, k] = c[j] + c[k] - cPrior - cjk
return Gap
def calcHardMergeGap_SpecificPairs(self, SS, PairList):
''' Calc change in ELBO for specific list of candidate hard merge pairs
Returns
---------
Gaps : 1D array, size L
Gap[j] : scalar change in ELBO after merge of pair in PairList[j]
'''
Gaps = np.zeros(len(PairList))
for ii, (kA, kB) in enumerate(PairList):
Gaps[ii] = self.calcHardMergeGap(SS, kA, kB)
return Gaps
def calcHardMergeGap_SpecificPairSS(self, SS1, SS2):
''' Calc change in ELBO for merge of two K=1 suff stat bags.
Returns
-------
gap : scalar float
'''
assert SS1.K == 1
assert SS2.K == 1
Prior = self.Prior
cPrior = c_Func(Prior.lam1, Prior.lam0)
# Compute cumulants of individual states 1 and 2
lam11, lam10 = self.calcPostParamsForComp(SS1, 0)
lam21, lam20 = self.calcPostParamsForComp(SS2, 0)
c1 = c_Func(lam11, lam10)
c2 = c_Func(lam21, lam20)
# Compute cumulant of merged state 1&2
SSM = SS1 + SS2
lamM1, lamM0 = self.calcPostParamsForComp(SSM, 0)
cM = c_Func(lamM1, lamM0)
return c1 + c2 - cPrior - cM
def calcLogMargLikForComp(self, SS, kA, kB=None, **kwargs):
''' Calc log marginal likelihood of data assigned to given component
Args
-------
SS : bnpy suff stats object
kA : integer ID of target component to compute likelihood for
kB : (optional) integer ID of second component.
If provided, we merge kA, kB into one component for calculation.
Returns
-------
logM : scalar real
logM = log p( data assigned to comp kA )
computed up to an additive constant
'''
return -1 * c_Func(*self.calcPostParamsForComp(SS, kA, kB))
def calcMargLik(self, SS):
''' Calc log marginal likelihood combining all comps, given suff stats
Returns
--------
logM : scalar real
logM = \sum_{k=1}^K log p( data assigned to comp k | Prior)
'''
return self.calcMargLik_CFuncForLoop(SS)
def calcMargLik_CFuncForLoop(self, SS):
Prior = self.Prior
logp = np.zeros(SS.K)
for k in xrange(SS.K):
lam1, lam0 = self.calcPostParamsForComp(SS, k)
logp[k] = c_Diff(Prior.lam1, Prior.lam0, lam1, lam0)
return np.sum(logp)
def _E_logphi(self, k=None):
if k is None or k == 'prior':
lam1 = self.Prior.lam1
lam0 = self.Prior.lam0
elif k == 'all':
lam1 = self.Post.lam1
lam0 = self.Post.lam0
else:
lam1 = self.Post.lam1[k]
lam0 = self.Post.lam0[k]
Elogphi = digamma(lam1) - digamma(lam1 + lam0)
return Elogphi
def _E_log1mphi(self, k=None):
if k is None or k == 'prior':
lam1 = self.Prior.lam1
lam0 = self.Prior.lam0
elif k == 'all':
lam1 = self.Post.lam1
lam0 = self.Post.lam0
else:
lam1 = self.Post.lam1[k]
lam0 = self.Post.lam0[k]
Elog1mphi = digamma(lam0) - digamma(lam1 + lam0)
return Elog1mphi
def _E_logphiT_log1mphiT(self, k=None):
if k == 'all':
lam1T = self.Post.lam1.T.copy()
lam0T = self.Post.lam0.T.copy()
digammaBoth = digamma(lam1T + lam0T)
ElogphiT = digamma(lam1T) - digammaBoth
Elog1mphiT = digamma(lam0T) - digammaBoth
else:
ElogphiT = self._E_logphiT(k)
Elog1mphiT = self._E_log1mphiT(k)
return ElogphiT, Elog1mphiT
def _E_logphiT(self, k=None):
''' Calculate transpose of expected phi matrix
Important to make a copy of the matrix so it is C-contiguous,
which leads to much much faster matrix operations.
Returns
-------
ElogphiT : 2D array, vocab_size x K
'''
if k == 'all':
dlam1T = self.Post.lam1.T.copy()
dlambothT = self.Post.lam0.T.copy()
dlambothT += dlam1T
digamma(dlam1T, out=dlam1T)
digamma(dlambothT, out=dlambothT)
return dlam1T - dlambothT
ElogphiT = self._E_logphi(k).T.copy()
return ElogphiT
def _E_log1mphiT(self, k=None):
''' Calculate transpose of expected 1-minus-phi matrix
Important to make a copy of the matrix so it is C-contiguous,
which leads to much much faster matrix operations.
Returns
-------
ElogphiT : 2D array, vocab_size x K
'''
if k == 'all':
# Copy so lam1T/lam0T are C-contig and can be shared mem.
lam1T = self.Post.lam1.T.copy()
lam0T = self.Post.lam0.T.copy()
return digamma(lam0T) - digamma(lam1T + lam0T)
ElogphiT = self._E_log1mphi(k).T.copy()
return ElogphiT
def getSerializableParamsForLocalStep(self):
""" Get compact dict of params for local step.
Returns
-------
Info : dict
"""
return dict(inferType=self.inferType,
DataAtomType=self.DataAtomType,
K=self.K)
def fillSharedMemDictForLocalStep(self, ShMem=None):
""" Get dict of shared mem arrays needed for parallel local step.
Returns
-------
ShMem : dict of RawArray objects
"""
ElogphiT, Elog1mphiT = self.GetCached('E_logphiT_log1mphiT', 'all')
K = self.K
if ShMem is None:
ShMem = dict()
if 'ElogphiT' not in ShMem:
ShMem['ElogphiT'] = numpyToSharedMemArray(ElogphiT)
ShMem['Elog1mphiT'] = numpyToSharedMemArray(Elog1mphiT)
else:
ElogphiT_shView = sharedMemToNumpyArray(ShMem['ElogphiT'])
assert ElogphiT_shView.shape >= K
ElogphiT_shView[:, :K] = ElogphiT
Elog1mphiT_shView = sharedMemToNumpyArray(ShMem['Elog1mphiT'])
assert Elog1mphiT_shView.shape >= K
Elog1mphiT_shView[:, :K] = Elog1mphiT
return ShMem
def getLocalAndSummaryFunctionHandles(self):
""" Get function handles for local step and summary step
Useful for parallelized algorithms.
Returns
-------
calcLocalParams : f handle
calcSummaryStats : f handle
"""
return calcLocalParams, calcSummaryStats
def calcSmoothedMu(self, X, W=None):
''' Compute smoothed estimate of probability of each word.
Returns
-------
Mu : 1D array, size D (aka vocab_size)
'''
if X is None:
return self.Prior.lam1 / (self.Prior.lam1 + self.Prior.lam0)
if X.ndim > 1:
if W is None:
NX = X.shape[0]
X = np.sum(X, axis=0)
else:
NX = np.sum(W)
X = np.dot(W, X)
else:
NX = 1
assert X.ndim == 1
assert X.size == self.D
Mu = X + self.Prior.lam1
Mu /= (NX + self.Prior.lam1 + self.Prior.lam0)
return Mu
def calcSmoothedBregDiv(self,
X,
Mu,
W=None,
smoothFrac=0.0,
includeOnlyFastTerms=False,
DivDataVec=None,
returnDivDataVec=False,
return1D=False,
**kwargs):
''' Compute Bregman divergence between data X and clusters Mu.
Smooth the data via update with prior parameters.
Returns
-------
Div : 2D array, N x K
Div[n,k] = smoothed distance between X[n] and Mu[k]
'''
if X.ndim < 2:
X = X[np.newaxis, :]
assert X.ndim == 2
N = X.shape[0]
D = X.shape[1]
if W is not None:
assert W.ndim == 1
assert W.size == N
if not isinstance(Mu, list):
Mu = (Mu, )
K = len(Mu)
assert Mu[0].size == D
# Smooth-ify the data matrix X
if smoothFrac == 0:
MuX = np.minimum(X, 1 - 1e-14)
np.maximum(MuX, 1e-14, out=MuX)
else:
MuX = X + smoothFrac * self.Prior.lam1
NX = 1.0 + smoothFrac * (self.Prior.lam1 + self.Prior.lam0)
MuX /= NX
# Compute Div array up to a per-row additive constant indep. of k
Div = np.zeros((N, K))
for k in xrange(K):
Div[:,k] = -1 * np.sum(MuX * np.log(Mu[k]), axis=1) + \
-1 * np.sum((1-MuX) * np.log(1-Mu[k]), axis=1)
if not includeOnlyFastTerms:
if DivDataVec is None:
# Compute DivDataVec : 1D array of size N
# This is the per-row additive constant indep. of k.
# STEP 1: Compute MuX * log(MuX)
logMuX = np.log(MuX)
MuXlogMuX = logMuX
MuXlogMuX *= MuX
DivDataVec = np.sum(MuXlogMuX, axis=1)
# STEP 2: Compute (1-MuX) * log(1-MuX)
OneMinusMuX = MuX
OneMinusMuX *= -1
OneMinusMuX += 1
logOneMinusMuX = logMuX
np.log(OneMinusMuX, out=logOneMinusMuX)
logOneMinusMuX *= OneMinusMuX
DivDataVec += np.sum(logOneMinusMuX, axis=1)
Div += DivDataVec[:, np.newaxis]
assert np.all(np.isfinite(Div))
# Apply per-atom weights to divergences.
if W is not None:
assert W.ndim == 1
assert W.size == N
Div *= W[:, np.newaxis]
# Verify divergences are strictly non-negative
if not includeOnlyFastTerms:
minDiv = Div.min()
if minDiv < 0:
if minDiv < -1e-6:
raise AssertionError(
"Expected Div.min() to be positive or" + \
" indistinguishable from zero. Instead " + \
" minDiv=% .3e" % (minDiv))
np.maximum(Div, 0, out=Div)
minDiv = Div.min()
assert minDiv >= 0
if return1D:
Div = Div[:, 0]
if returnDivDataVec:
return Div, DivDataVec
return Div
''' OLD VERSION
if smoothFrac == 0:
MuX = np.minimum(X, 1 - 1e-14)
MuX = np.maximum(MuX, 1e-14)
else:
MuX = X + smoothFrac * self.Prior.lam1
NX = 1.0 + smoothFrac * (self.Prior.lam1 + self.Prior.lam0)
MuX /= NX
Div = np.zeros((N, K))
for k in xrange(K):
Mu_k = Mu[k][np.newaxis,:]
Div[:,k] = np.sum(MuX * np.log(MuX / Mu_k), axis=1) + \
np.sum((1-MuX) * np.log((1-MuX) / (1-Mu_k)), axis=1)
'''
def calcBregDivFromPrior(self, Mu, smoothFrac=0.0):
''' Compute Bregman divergence between Mu and prior mean.
Returns
-------
Div : 1D array, size K
Div[k] = distance between Mu[k] and priorMu
'''
if not isinstance(Mu, list):
Mu = (Mu, ) # cheaper than a list
K = len(Mu)
priorMu = self.Prior.lam1 / (self.Prior.lam1 + self.Prior.lam0)
priorN = (1 - smoothFrac) * (self.Prior.lam1 + self.Prior.lam0)
Div = np.zeros((K, self.D))
for k in xrange(K):
Div[k, :] = priorMu * np.log(priorMu / Mu[k]) + \
(1-priorMu) * np.log((1-priorMu)/(1-Mu[k]))
return np.dot(Div, priorN)
class DiagGaussObsModel(AbstractObsModel):
''' Diagonal gaussian data generation model for real vectors.
Attributes for Prior (Normal-Wishart)
--------
nu : float
degrees of freedom
beta : 1D array, size D
scale parameters that set mean of parameter sigma
m : 1D array, size D
mean of the parameter mu
kappa : float
scalar precision on parameter mu
Attributes for k-th component of EstParams (EM point estimates)
---------
mu[k] : 1D array, size D
sigma[k] : 1D array, size D
Attributes for k-th component of Post (VB parameter)
---------
nu[k] : float
beta[k] : 1D array, size D
m[k] : 1D array, size D
kappa[k] : float
'''
def __init__(self,
inferType='EM',
D=0,
min_covar=None,
Data=None,
**PriorArgs):
''' Initialize bare obsmodel with valid prior hyperparameters.
Resulting object lacks either EstParams or Post,
which must be created separately (see init_global_params).
'''
if Data is not None:
self.D = Data.dim
else:
self.D = int(D)
self.K = 0
self.inferType = inferType
self.min_covar = min_covar
self.Prior = createParamBagForPrior(Data, D=D, **PriorArgs)
self.Cache = dict()
def get_mean_for_comp(self, k=None):
if hasattr(self, 'EstParams'):
return self.EstParams.mu[k]
elif k is None or k == 'prior':
return self.Prior.m
else:
return self.Post.m[k]
def get_covar_mat_for_comp(self, k=None):
if hasattr(self, 'EstParams'):
return np.diag(self.EstParams.sigma[k])
elif k is None or k == 'prior':
return self._E_CovMat()
else:
return self._E_CovMat(k)
def get_name(self):
return 'DiagGauss'
def get_info_string(self):
return 'Gaussian with diagonal covariance.'
def get_info_string_prior(self):
return getStringSummaryOfPrior(self.Prior)
def setEstParams(self,
obsModel=None,
SS=None,
LP=None,
Data=None,
mu=None,
sigma=None,
Sigma=None,
**kwargs):
''' Create EstParams ParamBag with fields mu, Sigma
'''
self.ClearCache()
if obsModel is not None:
self.EstParams = obsModel.EstParams.copy()
self.K = self.EstParams.K
return
if LP is not None and Data is not None:
SS = self.calcSummaryStats(Data, None, LP)
if SS is not None:
self.updateEstParams(SS)
else:
K = mu.shape[0]
if Sigma is not None:
assert Sigma.ndim == 3
sigma = np.empty((Sigma.shape[0], Sigma.shape[1]))
for k in xrange(K):
sigma[k] = np.diag(Sigma[k])
assert sigma.ndim == 2
self.EstParams = ParamBag(K=K, D=mu.shape[1])
self.EstParams.setField('mu', mu, dims=('K', 'D'))
self.EstParams.setField('sigma', sigma, dims=('K', 'D'))
self.K = self.EstParams.K
def setEstParamsFromPost(self, Post):
''' Convert from Post (nu, beta, m, kappa) to EstParams (mu, Sigma),
each EstParam is set to its posterior mean.
'''
self.EstParams = ParamBag(K=Post.K, D=self.D)
mu = Post.m.copy()
sigma = Post.beta / (Post.nu - 2)[:, np.newaxis]
self.EstParams.setField('mu', mu, dims=('K', 'D'))
self.EstParams.setField('sigma', sigma, dims=('K', 'D'))
self.K = self.EstParams.K
def setPostFactors(self,
obsModel=None,
SS=None,
LP=None,
Data=None,
**param_kwargs):
''' Set attribute Post to provided values.
'''
self.ClearCache()
if obsModel is not None:
if hasattr(obsModel, 'Post'):
self.Post = obsModel.Post.copy()
self.K = self.Post.K
else:
self.setPostFromEstParams(obsModel.EstParams)
return
if LP is not None and Data is not None:
SS = self.calcSummaryStats(Data, None, LP)
if SS is not None:
self.updatePost(SS)
else:
if 'D' not in param_kwargs:
param_kwargs['D'] = self.D
self.Post = packParamBagForPost(**param_kwargs)
self.K = self.Post.K
def setPostFromEstParams(self, EstParams, Data=None, N=None):
''' Set attribute Post based on values in EstParams.
'''
K = EstParams.K
D = EstParams.D
if Data is not None:
N = Data.nObsTotal
N = np.asarray(N, dtype=np.float)
if N.ndim == 0:
N = float(N) / K * np.ones(K)
nu = self.Prior.nu + N
beta = np.zeros((K, D))
beta = (nu - 2)[:, np.newaxis] * EstParams.sigma
m = EstParams.mu.copy()
kappa = self.Prior.kappa + N
self.Post = ParamBag(K=K, D=D)
self.Post.setField('nu', nu, dims=('K'))
self.Post.setField('beta', beta, dims=('K', 'D'))
self.Post.setField('m', m, dims=('K', 'D'))
self.Post.setField('kappa', kappa, dims=('K'))
self.K = self.Post.K
def calcSummaryStats(self, Data, SS, LP, **kwargs):
''' Calculate summary statistics for given dataset and local parameters
Returns
--------
SS : SuffStatBag object, with K components.
'''
return calcSummaryStats(Data, SS, LP, **kwargs)
def forceSSInBounds(self, SS):
''' Force count vector N to remain positive
'''
np.maximum(SS.N, 0, out=SS.N)
def incrementSS(self, SS, k, x):
SS.x[k] += x
SS.xx[k] += np.square(x)
def decrementSS(self, SS, k, x):
SS.x[k] -= x
SS.xx[k] -= np.square(x)
def calcLogSoftEvMatrix_FromEstParams(self, Data, **kwargs):
''' Compute log soft evidence matrix for Dataset under EstParams.
Returns
---------
L : 2D array, N x K
'''
K = self.EstParams.K
L = np.zeros((Data.nObs, K))
for k in xrange(K):
L[:, k] = - 0.5 * self.D * LOGTWOPI \
- 0.5 * np.sum(np.log(self.EstParams.sigma[k])) \
- 0.5 * self._mahalDist_EstParam(Data.X, k)
return L
def _mahalDist_EstParam(self, X, k):
''' Calculate distance to every row of matrix X
Args
-------
X : 2D array, size N x D
Returns
------
dist : 1D array, size N
'''
Xdiff = X - self.EstParams.mu[k]
np.square(Xdiff, out=Xdiff)
dist = np.sum(Xdiff / self.EstParams.sigma[k], axis=1)
return dist
def updateEstParams_MaxLik(self, SS):
''' Update attribute EstParams for all comps given suff stats.
Update uses the maximum likelihood objective for point estimation.
Post Condition
---------
Attributes K and EstParams updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'EstParams') or self.EstParams.K != SS.K:
self.EstParams = ParamBag(K=SS.K, D=SS.D)
mu = SS.x / SS.N[:, np.newaxis]
sigma = self.min_covar \
+ SS.xx / SS.N[:, np.newaxis] \
- np.square(mu)
self.EstParams.setField('mu', mu, dims=('K', 'D'))
self.EstParams.setField('sigma', sigma, dims=('K', 'D'))
self.K = SS.K
def updateEstParams_MAP(self, SS):
''' Update attribute EstParams for all comps given suff stats.
Update uses the MAP objective for point estimation.
Post Condition
---------
Attributes K and EstParams updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'EstParams') or self.EstParams.K != SS.K:
self.EstParams = ParamBag(K=SS.K, D=SS.D)
Prior = self.Prior
nu = Prior.nu + SS.N
kappa = Prior.kappa + SS.N
PB = Prior.beta + Prior.kappa * np.square(Prior.m)
m = np.empty((SS.K, SS.D))
beta = np.empty((SS.K, SS.D))
for k in xrange(SS.K):
km_x = Prior.kappa * Prior.m + SS.x[k]
m[k] = 1.0 / kappa[k] * km_x
beta[k] = PB + SS.xx[k] - 1.0 / kappa[k] * np.square(km_x)
mu, sigma = MAPEstParams_inplace(nu, beta, m, kappa)
self.EstParams.setField('mu', mu, dims=('K', 'D'))
self.EstParams.setField('sigma', sigma, dims=('K', 'D'))
self.K = SS.K
def updatePost(self, SS):
''' Update attribute Post for all comps given suff stats.
Update uses the variational objective.
Post Condition
---------
Attributes K and Post updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'Post') or self.Post.K != SS.K:
self.Post = ParamBag(K=SS.K, D=SS.D)
nu, beta, m, kappa = self.calcPostParams(SS)
self.Post.setField('nu', nu, dims=('K'))
self.Post.setField('kappa', kappa, dims=('K'))
self.Post.setField('m', m, dims=('K', 'D'))
self.Post.setField('beta', beta, dims=('K', 'D'))
self.K = SS.K
def calcPostParams(self, SS):
''' Calc posterior parameters for all comps given suff stats.
Returns
--------
nu : 1D array, size K
beta : 2D array, size K x D
m : 2D array, size K x D
kappa : 1D array, size K
'''
Prior = self.Prior
nu = Prior.nu + SS.N
kappa = Prior.kappa + SS.N
m = (Prior.kappa * Prior.m + SS.x) / kappa[:, np.newaxis]
beta = Prior.beta + SS.xx \
+ Prior.kappa * np.square(Prior.m) \
- kappa[:, np.newaxis] * np.square(m)
return nu, beta, m, kappa
def calcPostParamsForComp(self, SS, kA, kB=None):
''' Calc posterior parameters for specific comp given suff stats.
Returns
--------
nu : positive scalar
beta : 1D array, size D
m : 1D array, size D
kappa : positive scalar
'''
return calcPostParamsFromSSForComp(SS, kA, kB)
'''
if kB is None:
SN = SS.N[kA]
Sx = SS.x[kA]
Sxx = SS.xx[kA]
else:
SN = SS.N[kA] + SS.N[kB]
Sx = SS.x[kA] + SS.x[kB]
Sxx = SS.xx[kA] + SS.xx[kB]
Prior = self.Prior
nu = Prior.nu + SN
kappa = Prior.kappa + SN
m = (Prior.kappa * Prior.m + Sx) / kappa
beta = Prior.beta + Sxx \
+ Prior.kappa * np.square(Prior.m) \
- kappa * np.square(m)
return nu, beta, m, kappa
'''
def updatePost_stochastic(self, SS, rho):
''' Update attribute Post for all comps given suff stats
Update uses the stochastic variational formula.
Post Condition
---------
Attributes K and Post updated in-place.
'''
assert hasattr(self, 'Post')
assert self.Post.K == SS.K
self.ClearCache()
self.convertPostToNatural()
nu, b, km, kappa = self.calcNaturalPostParams(SS)
Post = self.Post
Post.nu[:] = (1 - rho) * Post.nu + rho * nu
Post.b[:] = (1 - rho) * Post.b + rho * b
Post.km[:] = (1 - rho) * Post.km + rho * km
Post.kappa[:] = (1 - rho) * Post.kappa + rho * kappa
self.convertPostToCommon()
def calcNaturalPostParams(self, SS):
''' Calc natural posterior params for all comps given suff stats.
Returns
--------
nu : 1D array, size K
b : 2D array, size K x D
km : 2D array, size K x D
kappa : 1D array, size K
'''
Prior = self.Prior
nu = Prior.nu + SS.N
kappa = Prior.kappa + SS.N
km = Prior.kappa * Prior.m + SS.x
b = Prior.beta + Prior.kappa * np.square(Prior.m) + SS.xx
return nu, b, km, kappa
def convertPostToNatural(self):
''' Convert current posterior params from common to natural form
'''
Post = self.Post
assert hasattr(Post, 'nu')
assert hasattr(Post, 'kappa')
km = Post.m * Post.kappa[:, np.newaxis]
b = Post.beta + (np.square(km) / Post.kappa[:, np.newaxis])
Post.setField('km', km, dims=('K', 'D'))
Post.setField('b', b, dims=('K', 'D'))
def convertPostToCommon(self):
''' Convert current posterior params from natural to common form
'''
Post = self.Post
assert hasattr(Post, 'nu')
assert hasattr(Post, 'kappa')
if hasattr(Post, 'm'):
Post.m[:] = Post.km / Post.kappa[:, np.newaxis]
else:
m = Post.km / Post.kappa[:, np.newaxis]
Post.setField('m', m, dims=('K', 'D'))
if hasattr(Post, 'beta'):
Post.beta[:] = Post.b - \
(np.square(Post.km) / Post.kappa[:, np.newaxis])
else:
beta = Post.b - (np.square(Post.km) / Post.kappa[:, np.newaxis])
Post.setField('beta', beta, dims=('K', 'D'))
def calcLogSoftEvMatrix_FromPost(self, Data, **kwargs):
return calcLogSoftEvMatrix_FromPost(Data, Post=self.Post)
def zzz_calcLogSoftEvMatrix_FromPost(self, Data, **kwargs):
''' Calculate expected log soft ev matrix under Post.
Returns
------
L : 2D array, size N x K
'''
K = self.Post.K
L = np.zeros((Data.nObs, K))
for k in xrange(K):
L[:, k] = - 0.5 * self.D * LOGTWOPI \
+ 0.5 * np.sum(self.GetCached('E_logL', k)) \
- 0.5 * self._mahalDist_Post(Data.X, k)
return L
def _mahalDist_Post(self, X, k):
''' Calc expected mahalonobis distance from comp k to each data atom
Returns
--------
distvec : 1D array, size nObs
distvec[n] gives E[ \Lam (x-\mu)^2 ] for comp k
'''
Xdiff = X - self.Post.m[k]
np.square(Xdiff, out=Xdiff)
dist = np.dot(Xdiff, self.Post.nu[k] / self.Post.beta[k])
dist += self.D / self.Post.kappa[k]
return dist
def calcELBO_Memoized(self, SS, returnVec=0, afterMStep=False, **kwargs):
return calcELBOFromSSAndPost(SS=SS, Post=self.Post, Prior=self.Prior)
def _zzz_calcELBO_Memoized(self,
SS,
returnVec=0,
afterMStep=False,
**kwargs):
""" Calculate obsModel's objective using suff stats SS and Post.
Args
-------
SS : bnpy SuffStatBag
afterMStep : boolean flag
if 1, elbo calculated assuming M-step just completed
Returns
-------
obsELBO : scalar float
Equal to E[ log p(x) + log p(phi) - log q(phi)]
"""
elbo = np.zeros(SS.K)
Post = self.Post
Prior = self.Prior
for k in xrange(SS.K):
elbo[k] = c_Diff(
Prior.nu,
Prior.beta,
Prior.m,
Prior.kappa,
Post.nu[k],
Post.beta[k],
Post.m[k],
Post.kappa[k],
)
if not afterMStep:
aDiff = SS.N[k] + Prior.nu - Post.nu[k]
bDiff = SS.xx[k] + Prior.beta \
+ Prior.kappa * np.square(Prior.m) \
- Post.beta[k] \
- Post.kappa[k] * np.square(Post.m[k])
cDiff = SS.x[k] + Prior.kappa * Prior.m \
- Post.kappa[k] * Post.m[k]
dDiff = SS.N[k] + Prior.kappa - Post.kappa[k]
elbo[k] += 0.5 * aDiff * np.sum(self._E_logL(k)) \
- 0.5 * np.inner(bDiff, self._E_L(k)) \
+ np.inner(cDiff, self.GetCached('E_Lmu', k)) \
- 0.5 * dDiff * np.sum(self.GetCached('E_muLmu', k))
elbo += -(0.5 * SS.D * LOGTWOPI) * SS.N
if returnVec:
return elbo
return elbo.sum()
def getDatasetScale(self, SS):
''' Get number of observed scalars in dataset from suff stats.
Used for normalizing the ELBO so it has reasonable range.
Returns
---------
s : scalar positive integer
'''
return SS.N.sum() * SS.D
def calcHardMergeGap(self, SS, kA, kB):
''' Calculate change in ELBO after a hard merge applied to this model
Returns
---------
gap : scalar real, indicates change in ELBO after merge of kA, kB
'''
gap, _, _ = calcHardMergeGapForPair(SS=SS,
Prior=self.Prior,
Post=self.Post,
kA=kA,
kB=kB)
return gap
def calcHardMergeGap_AllPairs(self, SS):
''' Calculate change in ELBO for all possible hard merge pairs
Returns
---------
Gap : 2D array, size K x K, upper-triangular entries non-zero
Gap[j,k] : scalar change in ELBO after merge of k into j
'''
Gap2D = np.zeros((SS.K, SS.K))
cPrior = None
cPost_K = [None for k in range(SS.K)]
for kA in xrange(SS.K):
for kB in xrange(kA + 1, SS.K):
Gap2D[kA, kB], cPost_K, cPrior = calcHardMergeGapForPair(
SS=SS,
Post=self.Post,
Prior=self.Prior,
kA=kA,
kB=kB,
cPrior=cPrior,
cPost_K=cPost_K)
return Gap2D
def calcHardMergeGap_SpecificPairs(self, SS, PairList):
''' Calc change in ELBO for specific list of candidate hard merge pairs
Returns
---------
Gaps : 1D array, size L
Gap[j] : scalar change in ELBO after merge of pair in PairList[j]
'''
Gaps = np.zeros(len(PairList))
cPrior = None
cPost_K = [None for k in range(SS.K)]
for ii, (kA, kB) in enumerate(PairList):
Gaps[ii], cPost_K, cPrior = calcHardMergeGapForPair(
SS=SS,
Post=self.Post,
Prior=self.Prior,
kA=kA,
kB=kB,
cPrior=cPrior,
cPost_K=cPost_K)
return Gaps
def calcLogMargLikForComp(self, SS, kA, kB=None, **kwargs):
''' Calc log marginal likelihood of data assigned to given component
Args
-------
SS : bnpy suff stats object
kA : integer ID of target component to compute likelihood for
kB : (optional) integer ID of second component.
If provided, we merge kA, kB into one component for calculation.
Returns
-------
logM : scalar real
logM = log p( data assigned to comp kA | Prior )
computed up to an additive constant
'''
nu, B, m, kappa = self.calcPostParamsForComp(SS, kA, kB)
return -1 * c_Func(nu, B, m, kappa)
def calcMargLik(self, SS):
''' Calc log marginal likelihood additively across all comps.
Returns
--------
logM : scalar real
logM = \sum_{k=1}^K log p( data assigned to comp k | Prior)
'''
return self.calcMargLik_CFuncForLoop(SS)
def calcMargLik_CFuncForLoop(self, SS):
Prior = self.Prior
logp = np.zeros(SS.K)
for k in xrange(SS.K):
nu, beta, m, kappa = self.calcPostParamsForComp(SS, k)
logp[k] = c_Diff(Prior.nu, Prior.beta, Prior.m, Prior.kappa, nu,
beta, m, kappa)
return np.sum(logp) - 0.5 * np.sum(SS.N) * LOGTWOPI
def calcPredProbVec_Unnorm(self, SS, x):
''' Calculate K-vector of positive entries \propto p( x | SS[k] )
'''
return self._calcPredProbVec_Fast(SS, x)
def _calcPredProbVec_Naive(self, SS, x):
nu, beta, m, kappa = self.calcPostParams(SS)
pSS = SS.copy()
pSS.N += 1
pSS.x += x
pSS.xx += np.square(x)
pnu, pbeta, pm, pkappa = self.calcPostParams(pSS)
logp = np.zeros(SS.K)
for k in xrange(SS.K):
logp[k] = c_Diff(nu[k], beta[k], m[k], kappa[k], pnu[k], pbeta[k],
pm[k], pkappa[k])
return np.exp(logp - np.max(logp))
def _calcPredProbVec_Fast(self, SS, x):
p = np.zeros(SS.K)
nu, beta, m, kappa = self.calcPostParams(SS)
kbeta = beta
kbeta *= ((kappa + 1) / kappa)[:, np.newaxis]
base = np.square(x - m)
base /= kbeta
base += 1
# logp : 2D array, size K x D
logp = (-0.5 * (nu + 1))[:, np.newaxis] * np.log(base)
logp += (gammaln(0.5 * (nu + 1)) - gammaln(0.5 * nu))[:, np.newaxis]
logp -= 0.5 * np.log(kbeta)
# p : 1D array, size K
p = np.sum(logp, axis=1)
p -= np.max(p)
np.exp(p, out=p)
return p
def _calcPredProbVec_ForLoop(self, SS, x):
''' For-loop version
'''
p = np.zeros(SS.K)
for k in xrange(SS.K):
nu, beta, m, kappa = self.calcPostParamsForComp(SS, k)
kbeta = (kappa + 1) / kappa * beta
base = np.square(x - m)
base /= kbeta
base += 1
p_k = np.exp(gammaln(0.5 * (nu + 1)) - gammaln(0.5 * nu)) \
* 1.0 / np.sqrt(kbeta) \
* base ** (-0.5 * (nu + 1))
p[k] = np.prod(p_k)
return p
def _Verify_calcPredProbVec(self, SS, x):
''' Verify that the predictive prob vector is correct,
by comparing 3 very different implementations
'''
pA = self._calcPredProbVec_Fast(SS, x)
pB = self._calcPredProbVec_Naive(SS, x)
pC = self._calcPredProbVec_ForLoop(SS, x)
pA /= np.sum(pA)
pB /= np.sum(pB)
pC /= np.sum(pC)
assert np.allclose(pA, pB)
assert np.allclose(pA, pC)
def _E_CovMat(self, k=None):
''' Get expected value of Sigma under specified distribution.
Returns
--------
E[ Sigma ] : 2D array, size DxD
'''
return np.diag(self._E_Cov(k))
def _E_Cov(self, k=None):
''' Get expected value of sigma vector under specified distribution.
Returns
--------
E[ sigma^2 ] : 1D array, size D
'''
if k is None:
nu = self.Prior.nu
beta = self.Prior.beta
else:
nu = self.Post.nu[k]
beta = self.Post.beta[k]
return beta / (nu - 2)
def _E_logL(self, k=None):
'''
Returns
-------
E_logL : 1D array, size D
'''
if k == 'all':
# retVec : K x D
retVec = LOGTWO - np.log(self.Post.beta.copy()) # no strided!
retVec += digamma(0.5 * self.Post.nu)[:, np.newaxis]
return retVec
elif k is None:
nu = self.Prior.nu
beta = self.Prior.beta
else:
nu = self.Post.nu[k]
beta = self.Post.beta[k]
return LOGTWO - np.log(beta) + digamma(0.5 * nu)
def _E_L(self, k=None):
'''
Returns
--------
EL : 1D array, size D
'''
if k is None:
nu = self.Prior.nu
beta = self.Prior.beta
else:
nu = self.Post.nu[k]
beta = self.Post.beta[k]
return nu / beta
def _E_Lmu(self, k=None):
'''
Returns
--------
ELmu : 1D array, size D
'''
if k is None:
nu = self.Prior.nu
beta = self.Prior.beta
m = self.Prior.m
else:
nu = self.Post.nu[k]
beta = self.Post.beta[k]
m = self.Post.m[k]
return (nu / beta) * m
def _E_muLmu(self, k=None):
''' Calc expectation E[lam * mu^2]
Returns
--------
EmuLmu : 1D array, size D
'''
if k is None:
nu = self.Prior.nu
kappa = self.Prior.kappa
m = self.Prior.m
beta = self.Prior.beta
else:
nu = self.Post.nu[k]
kappa = self.Post.kappa[k]
m = self.Post.m[k]
beta = self.Post.beta[k]
return 1.0 / kappa + (nu / beta) * (m * m)
def getSerializableParamsForLocalStep(self):
""" Get compact dict of params for local step.
Returns
-------
Info : dict
"""
if self.inferType == 'EM':
raise NotImplementedError('TODO')
return dict(
inferType=self.inferType,
K=self.K,
D=self.D,
)
def fillSharedMemDictForLocalStep(self, ShMem=None):
""" Get dict of shared mem arrays needed for parallel local step.
Returns
-------
ShMem : dict of RawArray objects
"""
if ShMem is None:
ShMem = dict()
if 'nu' in ShMem:
fillSharedMemArray(ShMem['nu'], self.Post.nu)
fillSharedMemArray(ShMem['kappa'], self.Post.kappa)
fillSharedMemArray(ShMem['m'], self.Post.m)
fillSharedMemArray(ShMem['beta'], self.Post.beta)
fillSharedMemArray(ShMem['E_logL'], self._E_logL('all'))
else:
ShMem['nu'] = numpyToSharedMemArray(self.Post.nu)
ShMem['kappa'] = numpyToSharedMemArray(self.Post.kappa)
# Post.m is strided, so we need to copy it to do shared mem.
ShMem['m'] = numpyToSharedMemArray(self.Post.m.copy())
ShMem['beta'] = numpyToSharedMemArray(self.Post.beta.copy())
ShMem['E_logL'] = numpyToSharedMemArray(self._E_logL('all'))
return ShMem
def getLocalAndSummaryFunctionHandles(self):
""" Get function handles for local step and summary step
Useful for parallelized algorithms.
Returns
-------
calcLocalParams : f handle
calcSummaryStats : f handle
"""
return calcLocalParams, calcSummaryStats
def calcSmoothedMu(self, X, W=None):
''' Compute smoothed estimate of mean of statistic xxT.
Args
----
X : 2D array, size N x D
Returns
-------
Mu_1 : 2D array, size D
Expected value of Var[ X[n,d] ]
Mu_2 : 1D array, size D
Expected value of Mean[ X[n] ]
'''
if X is None:
Mu1 = self.Prior.beta / self.Prior.nu
Mu2 = self.Prior.m
return Mu1, Mu2
if X.ndim == 1:
X = X[np.newaxis, :]
N, D = X.shape
# Compute suff stats
if W is None:
sum_wxx = np.sum(np.square(X), axis=0)
sum_wx = np.sum(X, axis=0)
sum_w = X.shape[0]
else:
W = as1D(W)
sum_wxx = np.dot(W, np.square(X))
sum_wx = np.dot(W, X)
sum_w = np.sum(W)
post_kappa = self.Prior.kappa + sum_w
post_m = (self.Prior.m * self.Prior.kappa + sum_wx) / post_kappa
Mu_2 = post_m
prior_kmm = self.Prior.kappa * (self.Prior.m * self.Prior.m)
post_kmm = post_kappa * (post_m * post_m)
post_beta = sum_wxx + self.Prior.beta + prior_kmm - post_kmm
Mu_1 = post_beta / (self.Prior.nu + sum_w)
assert Mu_1.ndim == 1
assert Mu_1.shape == (D, )
assert Mu_2.shape == (D, )
return Mu_1, Mu_2
def calcSmoothedBregDiv(self,
X,
Mu,
W=None,
eps=1e-10,
smoothFrac=0.0,
includeOnlyFastTerms=False,
DivDataVec=None,
returnDivDataVec=False,
return1D=False,
**kwargs):
''' Compute Bregman divergence between data X and clusters Mu.
Smooth the data via update with prior parameters.
Args
----
X : 2D array, size N x D
Mu : list of size K, or tuple
Returns
-------
Div : 2D array, N x K
Div[n,k] = smoothed distance between X[n] and Mu[k]
'''
# Parse X
if X.ndim < 2:
X = X[np.newaxis, :]
assert X.ndim == 2
N = X.shape[0]
D = X.shape[1]
# Parse Mu
if isinstance(Mu, tuple):
Mu = [Mu]
assert isinstance(Mu, list)
K = len(Mu)
assert Mu[0][0].size == D
assert Mu[0][1].size == D
prior_x = self.Prior.m
prior_varx = self.Prior.beta / (self.Prior.nu)
VarX = eps * prior_varx
Div = np.zeros((N, K))
for k in xrange(K):
muVar_k = Mu[k][0]
muMean_k = Mu[k][1]
logdet_MuVar_k = np.sum(np.log(muVar_k))
squareDiff_X_Mu_k = np.square(X - muMean_k)
tr_k = np.sum((VarX + squareDiff_X_Mu_k) / \
muVar_k[np.newaxis,:], axis=1)
Div[:,k] = \
+ 0.5 * logdet_MuVar_k \
+ 0.5 * tr_k
# Only enter here if exactly computing Div,
# If just need it up to additive constant, skip this part.
if not includeOnlyFastTerms:
if DivDataVec is None:
# Compute DivDataVec : 1D array of size N
# This is the per-row additive constant indep. of k.
DivDataVec = -0.5 * D * np.ones(N)
logdet_VarX = np.sum(np.log(VarX))
DivDataVec -= 0.5 * logdet_VarX
Div += DivDataVec[:, np.newaxis]
# Apply per-atom weights to divergences.
if W is not None:
assert W.ndim == 1
assert W.size == N
Div *= W[:, np.newaxis]
# Verify divergences are strictly non-negative
if not includeOnlyFastTerms:
minDiv = Div.min()
if minDiv < 0:
if minDiv < -1e-6:
raise AssertionError(
"Expected Div.min() to be positive or" + \
" indistinguishable from zero. Instead " + \
" minDiv=% .3e" % (minDiv))
np.maximum(Div, 0, out=Div)
minDiv = Div.min()
assert minDiv >= 0
if return1D:
Div = Div[:, 0]
if returnDivDataVec:
return Div, DivDataVec
return Div
def calcBregDivFromPrior(self, Mu, smoothFrac=0.0):
''' Compute Bregman divergence between Mu and prior mean.
Returns
-------
Div : 1D array, size K
Div[k] = distance between Mu[k] and priorMu
'''
assert isinstance(Mu, list)
K = len(Mu)
assert K >= 1
assert Mu[0][0].ndim == 1
assert Mu[0][1].ndim == 1
D = Mu[0][0].size
assert D == Mu[0][1].size
priorMuVar = self.Prior.beta / self.Prior.nu
priorMuMean = self.Prior.m
priorN_ZMG = (1 - smoothFrac) * self.Prior.nu
priorN_FVG = (1 - smoothFrac) * self.Prior.kappa
Div_ZMG = np.zeros(K) # zero-mean gaussian
Div_FVG = np.zeros(K) # fixed variance gaussian
logdet_priorMuVar = np.sum(np.log(priorMuVar))
for k in xrange(K):
MuVar_k = Mu[k][0]
MuMean_k = Mu[k][1]
logdet_MuVar_k = np.sum(np.log(MuVar_k))
Div_ZMG[k] = 0.5 * logdet_MuVar_k + \
- 0.5 * logdet_priorMuVar + \
+ 0.5 * np.sum(priorMuVar / MuVar_k) + \
- 0.5
squareDiff = np.square(priorMuMean - MuMean_k)
Div_FVG[k] = 0.5 * np.sum(squareDiff / MuVar_k)
return priorN_ZMG * Div_ZMG + priorN_FVG * Div_FVG
def createParamBagForPrior(Data=None,
D=0,
pnu=0,
ptau=None,
w_E=0,
P_EE=None,
P_diag_E=None,
P_diag_val=1.0,
Prior=None,
**kwargs):
''' Initialize Prior ParamBag attribute.
Returns
-------
Prior : ParamBag
with dimension attributes K, D, E
with parameter attributes pnu, ptau, w_E, P_EE
'''
if Data is None:
D = int(D)
else:
D = int(Data.dim)
E = D + 1
# Init parameters of 1D Wishart prior on delta
pnu = np.maximum(pnu, 1e-9)
ptau = np.maximum(ptau, 1e-9)
# Initialize precision matrix of the weight vector
if P_EE is not None:
P_EE = np.asarray(P_EE)
elif P_diag_E is not None:
P_EE = np.diag(np.asarray(P_diag_E))
else:
P_EE = np.diag(P_diag_val * np.ones(E))
assert P_EE.ndim == 2
assert P_EE.shape == (E, E)
# Initialize mean of the weight vector
w_E = as1D(np.asarray(w_E))
if w_E.size < E:
w_E = np.tile(w_E, E)[:E]
assert w_E.ndim == 1
assert w_E.size == E
if Prior is None:
Prior = ParamBag(K=0, D=D, E=E)
if not hasattr(Prior, 'E'):
Prior.E = E
assert Prior.D == D
assert Prior.E == E
Prior.setField('pnu', pnu, dims=None)
Prior.setField('ptau', ptau, dims=None)
Prior.setField('w_E', w_E, dims=('E'))
Prior.setField('P_EE', P_EE, dims=('E', 'E'))
Pw_E = np.dot(P_EE, w_E)
wPw_1 = np.dot(w_E, Pw_E)
Prior.setField('Pw_E', Pw_E, dims=('E'))
Prior.setField('wPw_1', wPw_1, dims=None)
return Prior
class ZeroMeanGaussObsModel(AbstractObsModel):
''' Zero-mean, full-covariance gaussian model for real vectors.
Attributes for Prior (Normal-Wishart)
--------
nu : float
degrees of freedom
B : 2D array, size D x D
scale parameters that set mean of parameter Sigma
Attributes for k-th component of EstParams (EM point estimates)
---------
Sigma[k] : 2D array, size DxD
Attributes for k-th component of Post (VB parameter)
---------
nu[k] : float
B[k] : 1D array, size D
'''
def __init__(self,
inferType='EM',
D=0,
min_covar=None,
Data=None,
**PriorArgs):
''' Initialize bare obsmodel with valid prior hyperparameters.
Resulting object lacks either EstParams or Post,
which must be created separately (see init_global_params).
'''
if Data is not None:
self.D = Data.dim
else:
self.D = int(D)
self.K = 0
self.inferType = inferType
self.min_covar = min_covar
self.createPrior(Data, **PriorArgs)
self.Cache = dict()
def createPrior(self, Data, nu=0, B=None, ECovMat=None, sF=1.0, **kwargs):
''' Initialize Prior ParamBag attribute.
Post Condition
------
Prior expected covariance matrix set to match provided value.
'''
D = self.D
nu = np.maximum(nu, D + 2)
if B is None:
if ECovMat is None or isinstance(ECovMat, str):
ECovMat = createECovMatFromUserInput(D, Data, ECovMat, sF)
B = ECovMat * (nu - D - 1)
else:
B = as2D(B)
self.Prior = ParamBag(K=0, D=D)
self.Prior.setField('nu', nu, dims=None)
self.Prior.setField('B', B, dims=('D', 'D'))
def get_mean_for_comp(self, k):
return np.zeros(self.D)
def get_covar_mat_for_comp(self, k=None):
if hasattr(self, 'EstParams'):
return self.EstParams.Sigma[k]
elif k is None or k == 'prior':
return self._E_CovMat()
else:
return self._E_CovMat(k)
def get_name(self):
return 'ZeroMeanGauss'
def get_info_string(self):
return 'Gaussian with fixed zero means, full covariance.'
def get_info_string_prior(self):
msg = 'Wishart on prec matrix Lam\n'
if self.D > 2:
sfx = ' ...'
else:
sfx = ''
S = self._E_CovMat()[:2, :2]
msg += 'E[ CovMat[k] ] = \n'
msg += str(S) + sfx
msg = msg.replace('\n', '\n ')
return msg
def setEstParams(self,
obsModel=None,
SS=None,
LP=None,
Data=None,
Sigma=None,
**kwargs):
''' Create EstParams ParamBag with fields Sigma
'''
self.ClearCache()
if obsModel is not None:
self.EstParams = obsModel.EstParams.copy()
self.K = self.EstParams.K
return
if LP is not None and Data is not None:
SS = self.calcSummaryStats(Data, None, LP)
if SS is not None:
self.updateEstParams(SS)
else:
K = Sigma.shape[0]
self.EstParams = ParamBag(K=K, D=self.D)
self.EstParams.setField('Sigma', Sigma, dims=('K', 'D', 'D'))
self.K = self.EstParams.K
def setEstParamsFromPost(self, Post):
''' Convert from Post (nu, B) to EstParams (Sigma),
each EstParam is set to its posterior mean.
'''
D = Post.D
self.EstParams = ParamBag(K=Post.K, D=D)
Sigma = Post.B / (Post.nu - D - 1)[:, np.newaxis, np.newaxis]
self.EstParams.setField('Sigma', Sigma, dims=('K', 'D', 'D'))
self.K = self.EstParams.K
def setPostFactors(self,
obsModel=None,
SS=None,
LP=None,
Data=None,
nu=0,
B=0,
**kwargs):
''' Set attribute Post to provided values.
'''
self.ClearCache()
if obsModel is not None:
if hasattr(obsModel, 'Post'):
self.Post = obsModel.Post.copy()
self.K = self.Post.K
else:
self.setPostFromEstParams(obsModel.EstParams)
return
if LP is not None and Data is not None:
SS = self.calcSummaryStats(Data, None, LP)
if SS is not None:
self.updatePost(SS)
else:
K = B.shape[0]
self.Post = ParamBag(K=K, D=self.D)
self.Post.setField('nu', as1D(nu), dims=('K'))
self.Post.setField('B', B, dims=('K', 'D', 'D'))
self.K = self.Post.K
def setPostFromEstParams(self, EstParams, Data=None, N=None):
''' Set attribute Post based on values in EstParams.
'''
K = EstParams.K
D = EstParams.D
if Data is not None:
N = Data.nObsTotal
N = np.asarray(N, dtype=np.float)
if N.ndim == 0:
N = float(N) / K * np.ones(K)
nu = self.Prior.nu + N
B = np.zeros((K, D, D))
for k in xrange(K):
B[k] = (nu[k] - D - 1) * EstParams.Sigma[k]
self.Post = ParamBag(K=K, D=D)
self.Post.setField('nu', nu, dims=('K'))
self.Post.setField('B', B, dims=('K', 'D', 'D'))
self.K = K
def calcSummaryStats(self, Data, SS, LP, **kwargs):
''' Calculate summary statistics for given dataset and local parameters
Returns
--------
SS : SuffStatBag object, with K components.
'''
return calcSummaryStats(Data, SS, LP, **kwargs)
def calcSummaryStatsForContigBlock(self,
Data,
SS=None,
a=None,
b=None,
**kwargs):
''' Calculate summary statistics for specific block of dataset
Returns
--------
SS : SuffStatBag object, with K components.
'''
SS = SuffStatBag(K=1, D=Data.dim)
# Expected count
SS.setField('N', (b - a) * np.ones(1, dtype=np.float64), dims='K')
# Expected outer-product
xxT = dotATA(Data.X[a:b])[np.newaxis, :, :]
SS.setField('xxT', xxT, dims=('K', 'D', 'D'))
return SS
def forceSSInBounds(self, SS):
''' Force count vector N to remain positive
'''
np.maximum(SS.N, 0, out=SS.N)
def incrementSS(self, SS, k, x):
SS.xxT[k] += np.outer(x, x)
def decrementSS(self, SS, k, x):
SS.xxT[k] -= np.outer(x, x)
def calcLogSoftEvMatrix_FromEstParams(self, Data, **kwargs):
''' Compute log soft evidence matrix for Dataset under EstParams.
Returns
---------
L : 2D array, N x K
'''
K = self.EstParams.K
L = np.empty((Data.nObs, K))
for k in xrange(K):
L[:, k] = - 0.5 * self.D * LOGTWOPI \
- 0.5 * self._logdetSigma(k) \
- 0.5 * self._mahalDist_EstParam(Data.X, k)
return L
def _mahalDist_EstParam(self, X, k):
''' Calc Mahalanobis distance from comp k to every row of X
Args
---------
X : 2D array, size N x D
k : integer ID of comp
Returns
----------
dist : 1D array, size N
'''
cholSigma_k = self.GetCached('cholSigma', k)
Q = scipy.linalg.solve_triangular(cholSigma_k,
X.T,
lower=True,
check_finite=False)
Q *= Q
return np.sum(Q, axis=0)
def _cholSigma(self, k):
''' Calculate lower cholesky decomposition of Sigma for comp k
Returns
--------
L : 2D array, size D x D, lower triangular
Sigma = np.dot(L, L.T)
'''
return scipy.linalg.cholesky(self.EstParams.Sigma[k], lower=1)
def _logdetSigma(self, k):
''' Calculate log determinant of EstParam.Sigma for comp k
Returns
---------
logdet : scalar real
'''
return 2 * np.sum(np.log(np.diag(self.GetCached('cholSigma', k))))
def updateEstParams_MaxLik(self, SS):
''' Update attribute EstParams for all comps given suff stats.
Update uses the maximum likelihood objective for point estimation.
Post Condition
---------
Attributes K and EstParams updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'EstParams') or self.EstParams.K != SS.K:
self.EstParams = ParamBag(K=SS.K, D=SS.D)
minCovMat = self.min_covar * np.eye(SS.D)
covMat = np.tile(minCovMat, (SS.K, 1, 1))
for k in xrange(SS.K):
covMat[k] += SS.xxT[k] / SS.N[k]
self.EstParams.setField('Sigma', covMat, dims=('K', 'D', 'D'))
self.K = SS.K
def updateEstParams_MAP(self, SS):
''' Update attribute EstParams for all comps given suff stats.
Update uses the MAP objective for point estimation.
Post Condition
---------
Attributes K and EstParams updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'EstParams') or self.EstParams.K != SS.K:
self.EstParams = ParamBag(K=SS.K, D=SS.D)
Prior = self.Prior
nu = Prior.nu + SS.N
B = np.empty((SS.K, SS.D, SS.D))
for k in xrange(SS.K):
B[k] = Prior.B + SS.xxT[k]
Sigma = MAPEstParams_inplace(nu, B)
self.EstParams.setField('Sigma', Sigma, dims=('K', 'D', 'D'))
self.K = SS.K
def updatePost(self, SS):
''' Update attribute Post for all comps given suff stats.
Update uses the variational objective.
Post Condition
---------
Attributes K and Post updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'Post') or self.Post.K != SS.K:
self.Post = ParamBag(K=SS.K, D=SS.D)
# use 'Prior' not 'self.Prior', improves readability
Prior = self.Prior
Post = self.Post
Post.setField('nu', Prior.nu + SS.N, dims=('K'))
B = np.empty((SS.K, SS.D, SS.D))
for k in xrange(SS.K):
B[k] = Prior.B + SS.xxT[k]
Post.setField('B', B, dims=('K', 'D', 'D'))
self.K = SS.K
def calcPostParams(self, SS):
''' Calc posterior parameters for all comps given suff stats
Returns
--------
nu : 1D array, size K
B : 3D array, size K x D x D, each B[k] is symmetric and pos. def.
'''
Prior = self.Prior
nu = Prior.nu + SS.N
B = Prior.B + SS.xxT
return nu, B
def calcPostParamsForComp(self, SS, kA=None, kB=None):
''' Calc params (nu, B, m, kappa) for specific comp, given suff stats
Returns
--------
nu : positive scalar
B : 2D array, size D x D, symmetric and positive definite
'''
if kB is None:
SN = SS.N[kA]
SxxT = SS.xxT[kA]
else:
SN = SS.N[kA] + SS.N[kB]
SxxT = SS.xxT[kA] + SS.xxT[kB]
Prior = self.Prior
nu = Prior.nu + SN
B = Prior.B + SxxT
return nu, B
def updatePost_stochastic(self, SS, rho):
''' Update attribute Post for all comps given suff stats
Update uses the stochastic variational formula.
Post Condition
---------
Attributes K and Post updated in-place.
'''
assert hasattr(self, 'Post')
assert self.Post.K == SS.K
self.ClearCache()
nu, B = self.calcPostParams(SS)
Post = self.Post
Post.nu[:] = (1 - rho) * Post.nu + rho * nu
Post.B[:] = (1 - rho) * Post.B + rho * B
def convertPostToNatural(self):
''' Convert current posterior params from common to natural form
Here, the Wishart common form is already equivalent to the natural form
'''
pass
def convertPostToCommon(self):
''' Convert (current posterior params from natural to common form
Here, the Wishart common form is already equivalent to the natural form
'''
pass
def calcLogSoftEvMatrix_FromPost(self, Data, **kwargs):
''' Calculate expected log soft ev matrix under Post.
Returns
------
L : 2D array, size N x K
'''
K = self.Post.K
L = np.zeros((Data.nObs, K))
for k in xrange(K):
L[:, k] = - 0.5 * self.D * LOGTWOPI \
+ 0.5 * self.GetCached('E_logdetL', k) \
- 0.5 * self._mahalDist_Post(Data.X, k)
return L
def _mahalDist_Post(self, X, k):
''' Calc expected mahalonobis distance from comp k to each data atom
Returns
--------
distvec : 1D array, size nObs
distvec[n] gives E[ (x-\mu) \Lam (x-\mu) ] for comp k
'''
cholB_k = self.GetCached('cholB', k)
Q = scipy.linalg.solve_triangular(cholB_k,
X.T,
lower=True,
check_finite=False)
Q *= Q
return self.Post.nu[k] * np.sum(Q, axis=0)
def calcELBO_Memoized(self, SS, returnVec=0, afterMStep=False, **kwargs):
""" Calculate obsModel's objective using suff stats SS and Post.
Args
-------
SS : bnpy SuffStatBag
afterMStep : boolean flag
if 1, elbo calculated assuming M-step just completed
Returns
-------
obsELBO : scalar float
Equal to E[ log p(x) + log p(phi) - log q(phi)]
"""
elbo = np.zeros(SS.K)
Post = self.Post
Prior = self.Prior
for k in xrange(SS.K):
elbo[k] = c_Diff(
Prior.nu,
self.GetCached('logdetB'),
self.D,
Post.nu[k],
self.GetCached('logdetB', k),
)
if not afterMStep:
aDiff = SS.N[k] + Prior.nu - Post.nu[k]
bDiff = SS.xxT[k] + Prior.B - Post.B[k]
elbo[k] += 0.5 * aDiff * self.GetCached('E_logdetL', k) \
- 0.5 * self._trace__E_L(bDiff, k)
if returnVec:
return elbo - (0.5 * SS.D * LOGTWOPI) * SS.N
return elbo.sum() - 0.5 * np.sum(SS.N) * SS.D * LOGTWOPI
def getDatasetScale(self, SS):
''' Get number of observed scalars in dataset from suff stats.
Used for normalizing the ELBO so it has reasonable range.
Returns
---------
s : scalar positive integer
'''
return SS.N.sum() * SS.D
def calcHardMergeGap(self, SS, kA, kB):
''' Calculate change in ELBO after a hard merge applied to this model
Returns
---------
gap : scalar real, indicates change in ELBO after merge of kA, kB
'''
Post = self.Post
Prior = self.Prior
cPrior = c_Func(Prior.nu, self.GetCached('logdetB'), self.D)
cA = c_Func(Post.nu[kA], self.GetCached('logdetB', kA), self.D)
cB = c_Func(Post.nu[kB], self.GetCached('logdetB', kB), self.D)
nu, B = self.calcPostParamsForComp(SS, kA, kB)
cAB = c_Func(nu, B)
return cA + cB - cPrior - cAB
def calcHardMergeGap_AllPairs(self, SS):
''' Calculate change in ELBO for all candidate hard merge pairs
Returns
---------
Gap : 2D array, size K x K, upper-triangular entries non-zero
Gap[j,k] : scalar change in ELBO after merge of k into j
'''
Post = self.Post
Prior = self.Prior
cPrior = c_Func(Prior.nu, self.GetCached('logdetB'), self.D)
c = np.zeros(SS.K)
for k in xrange(SS.K):
c[k] = c_Func(Post.nu[k], self.GetCached('logdetB', k), self.D)
Gap = np.zeros((SS.K, SS.K))
for j in xrange(SS.K):
for k in xrange(j + 1, SS.K):
nu, B = self.calcPostParamsForComp(SS, j, k)
cjk = c_Func(nu, B)
Gap[j, k] = c[j] + c[k] - cPrior - cjk
return Gap
def calcHardMergeGap_SpecificPairs(self, SS, PairList):
''' Calc change in ELBO for specific list of hard merge pairs
Returns
---------
Gaps : 1D array, size L
Gap[j] : scalar change in ELBO after merge of pair in PairList[j]
'''
Gaps = np.zeros(len(PairList))
for ii, (kA, kB) in enumerate(PairList):
Gaps[ii] = self.calcHardMergeGap(SS, kA, kB)
return Gaps
def calcLogMargLikForComp(self, SS, kA, kB=None, **kwargs):
''' Calc log marginal likelihood of data assigned to given component
Args
-------
SS : bnpy suff stats object
kA : integer ID of target component to compute likelihood for
kB : (optional) integer ID of second component.
If provided, we merge kA, kB into one component for calculation.
Returns
-------
logM : scalar real
logM = log p( data assigned to comp kA )
computed up to an additive constant
'''
nu, B = self.calcPostParamsForComp(SS, kA, kB)
return -1 * c_Func(nu, B)
def calcMargLik(self, SS):
''' Calc log marginal likelihood given suff stats
Returns
--------
logM : scalar real
logM = \sum_{k=1}^K log p( data assigned to comp k | Prior)
'''
return self.calcMargLik_CFuncForLoop(SS)
def calcMargLik_CFuncForLoop(self, SS):
Prior = self.Prior
logp = np.zeros(SS.K)
for k in xrange(SS.K):
nu, B = self.calcPostParamsForComp(SS, k)
logp[k] = c_Diff(Prior.nu, Prior.B, self.D, nu, B)
return np.sum(logp) - 0.5 * np.sum(SS.N) * LOGTWOPI
def calcPredProbVec_Unnorm(self, SS, x):
''' Calculate predictive probability that each comp assigns to vector x
Returns
--------
p : 1D array, size K, all entries positive
p[k] \propto p( x | SS for comp k)
'''
return self._calcPredProbVec_Fast(SS, x)
def _calcPredProbVec_cFunc(self, SS, x):
nu, B, m, kappa = self.calcPostParams(SS)
pSS = SS.copy()
pSS.N += 1
pSS.xxT += np.outer(x, x)[np.newaxis, :, :]
pnu, pB, pm, pkappa = self.calcPostParams(pSS)
logp = np.zeros(SS.K)
for k in xrange(SS.K):
logp[k] = c_Diff(nu[k], B[k], self.D, pnu[k], pB[k])
return np.exp(logp - np.max(logp))
def _calcPredProbVec_Fast(self, SS, x):
nu, B = self.calcPostParams(SS)
logp = np.zeros(SS.K)
p = logp # Rename so its not confusing what we're returning
for k in xrange(SS.K):
cholB_k = scipy.linalg.cholesky(B[k], lower=1)
logdetB_k = 2 * np.sum(np.log(np.diag(cholB_k)))
mVec = np.linalg.solve(cholB_k, x)
mDist_k = np.inner(mVec, mVec)
logp[k] = -0.5 * logdetB_k - 0.5 * \
(nu[k] + 1) * np.log(1.0 + mDist_k)
logp += gammaln(0.5 * (nu + 1)) - gammaln(0.5 * (nu + 1 - self.D))
logp -= np.max(logp)
np.exp(logp, out=p)
return p
def _Verify_calcPredProbVec(self, SS, x):
''' Verify that the predictive prob vector is correct,
by comparing very different implementations
'''
pA = self._calcPredProbVec_Fast(SS, x)
pC = self._calcPredProbVec_cFunc(SS, x)
pA /= np.sum(pA)
pC /= np.sum(pC)
assert np.allclose(pA, pC)
def _E_CovMat(self, k=None):
if k is None:
B = self.Prior.B
nu = self.Prior.nu
else:
B = self.Post.B[k]
nu = self.Post.nu[k]
return B / (nu - self.D - 1)
def _cholB(self, k=None):
if k == 'all':
retArr = np.zeros((self.K, self.D, self.D))
for kk in xrange(self.K):
retArr[kk] = self.GetCached('cholB', kk)
return retArr
elif k is None:
B = self.Prior.B
else:
B = self.Post.B[k]
return scipy.linalg.cholesky(B, lower=True)
def _logdetB(self, k=None):
cholB = self.GetCached('cholB', k)
return 2 * np.sum(np.log(np.diag(cholB)))
def _E_logdetL(self, k=None):
dvec = np.arange(1, self.D + 1, dtype=np.float)
if k == 'all':
dvec = dvec[:, np.newaxis]
retVec = self.D * LOGTWO * np.ones(self.K)
for kk in xrange(self.K):
retVec[kk] -= self.GetCached('logdetB', kk)
nuT = self.Post.nu[np.newaxis, :]
retVec += np.sum(digamma(0.5 * (nuT + 1 - dvec)), axis=0)
return retVec
elif k is None:
nu = self.Prior.nu
else:
nu = self.Post.nu[k]
return self.D * LOGTWO \
- self.GetCached('logdetB', k) \
+ np.sum(digamma(0.5 * (nu + 1 - dvec)))
def _trace__E_L(self, Smat, k=None):
if k is None:
nu = self.Prior.nu
B = self.Prior.B
else:
nu = self.Post.nu[k]
B = self.Post.B[k]
return nu * np.trace(np.linalg.solve(B, Smat))
def getSmoothedMuForComp(self, k):
''' Compute smoothed mean vector for cluster k
Returns
-------
Mu_k : 2D array, size D x D
'''
#return self.Post.B[k] / self.Post.nu[k]
return self.get_covar_mat_for_comp(k)
def calcSmoothedMu(self, X, W=None):
''' Compute smoothed estimate of mean of statistic xxT.
Args
----
X : 2D array, size N x D
Returns
-------
Mu : 2D array, size D x D
'''
Prior_nu = self.Prior.nu - self.D - 1
# Prior_nu = self.Prior.nu
if X is None:
Mu = self.Prior.B / (Prior_nu)
return Mu
if X.ndim == 1:
X = X[np.newaxis, :]
N, D = X.shape
# Compute suff stats
if W is None:
sum_wxxT = np.dot(X.T, X)
sum_w = X.shape[0]
else:
W = as1D(W)
wX = np.sqrt(W)[:, np.newaxis] * X
sum_wxxT = np.dot(wX.T, wX)
sum_w = np.sum(W)
Mu = (self.Prior.B + sum_wxxT) / (Prior_nu + sum_w)
assert Mu.ndim == 2
assert Mu.shape == (
D,
D,
)
return Mu
def calcSmoothedBregDiv(self,
X,
Mu,
W=None,
smoothFrac=0.0,
eps=1e-10,
includeOnlyFastTerms=False,
DivDataVec=None,
returnDivDataVec=False,
return1D=False,
**kwargs):
''' Compute Bregman divergence between data X and clusters Mu.
Smooth the data via update with prior parameters.
Returns
-------
Div : 2D array, N x K
Div[n,k] = smoothed distance between X[n] and Mu[k]
'''
if X.ndim < 2:
X = X[np.newaxis, :]
assert X.ndim == 2
N = X.shape[0]
D = X.shape[1]
if not isinstance(Mu, list):
Mu = [Mu]
K = len(Mu)
assert Mu[0].ndim == 2
assert Mu[0].shape[0] == D
assert Mu[0].shape[1] == D
if smoothFrac == 0:
smoothMu = eps * self.Prior.B / (self.Prior.nu - self.D - 1)
smoothNu = 1.0 # + eps ??
else:
smoothMu = self.Prior.B
smoothNu = 1 + self.Prior.nu - self.D - 1
Div = np.zeros((N, K))
for k in xrange(K):
chol_Mu_k = np.linalg.cholesky(Mu[k])
logdet_Mu_k = 2.0 * np.sum(np.log(np.diag(chol_Mu_k)))
xxTInvMu_k = scipy.linalg.solve_triangular(chol_Mu_k,
X.T,
lower=True,
check_finite=False)
xxTInvMu_k *= xxTInvMu_k
tr_xxTInvMu_k = np.sum(xxTInvMu_k, axis=0) / smoothNu
Div[:,k] = 0.5 * logdet_Mu_k + \
0.5 * tr_xxTInvMu_k
if smoothFrac > 0:
Div[:, k] += 0.5 * np.trace(np.linalg.solve(Mu[k], smoothMu))
if not includeOnlyFastTerms:
if DivDataVec is None:
# Compute DivDataVec : 1D array of size N
# This is the per-row additive constant indep. of k.
# We do lots of steps in-place, to save memory.
# FAST VERSION: Use the matrix determinant lemma
chol_SM = np.linalg.cholesky(smoothMu / smoothNu)
logdet_SM = 2.0 * np.sum(np.log(np.diag(chol_SM)))
xxTInvSM = scipy.linalg.solve_triangular(chol_SM,
X.T,
lower=True)
xxTInvSM *= xxTInvSM
tr_xxTSM = np.sum(xxTInvSM, axis=0) / smoothNu
assert tr_xxTSM.size == N
DivDataVec = np.log(1.0 + tr_xxTSM)
DivDataVec *= -0.5
DivDataVec += -0.5 * D - 0.5 * logdet_SM
# SLOW VERSION: use a naive for loop
# DivDataVecS = -0.5 * D * np.ones(N)
# for n in xrange(N):
# s, logdet_xxT_n = np.linalg.slogdet(
# (np.outer(X[n], X[n]) + smoothMu) / smoothNu)
# DivDataVecS[n] -= 0.5 * s * logdet_xxT_n
Div += DivDataVec[:, np.newaxis]
# Apply per-atom weights to divergences.
if W is not None:
assert W.ndim == 1
assert W.size == N
Div *= W[:, np.newaxis]
# Verify divergences are strictly non-negative
if not includeOnlyFastTerms:
minDiv = Div.min()
if minDiv < 0:
if minDiv < -1e-6:
raise AssertionError(
"Expected Div.min() to be positive or" + \
" indistinguishable from zero. Instead " + \
" minDiv=% .3e" % (minDiv))
np.maximum(Div, 0, out=Div)
minDiv = Div.min()
assert minDiv >= 0
if return1D:
Div = Div[:, 0]
if returnDivDataVec:
return Div, DivDataVec
return Div
'''
logdet_xxT = np.zeros(N)
tr_xxTInvMu = np.zeros((N, K))
for n in xrange(N):
if smoothFrac == 0:
smooth_xxT = np.outer(X[n], X[n]) + eps * priorMu
else:
smooth_xxT = np.outer(X[n], X[n]) + self.Prior.B
smooth_xxT /= (1.0 + self.Prior.nu)
s, logdet = np.linalg.slogdet(smooth_xxT)
logdet_xxT[n] = s * logdet
for k in xrange(K):
tr_xxTInvMu[n, k] = np.trace(
np.linalg.solve(Mu[k], smooth_xxT))
Div = np.zeros((N, K))
for k in xrange(K):
chol_Mu_k = np.linalg.cholesky(Mu[k])
logdet_Mu_k = 2.0 * np.sum(np.log(np.diag(chol_Mu_k)))
Div[:,k] = -0.5 * D - 0.5 * logdet_xxT + \
0.5 * logdet_Mu_k + \
0.5 * tr_xxTInvMu[:, k]
'''
def calcBregDivFromPrior(self, Mu, smoothFrac=0.0):
''' Compute Bregman divergence between Mu and prior mean.
Returns
-------
Div : 1D array, size K
Div[k] = distance between Mu[k] and priorMu
'''
if not isinstance(Mu, list):
Mu = [Mu]
K = len(Mu)
D = Mu[0].shape[0]
assert D == Mu[0].shape[1]
priorMu = self.Prior.B / self.Prior.nu
priorN = (1 - smoothFrac) * (self.Prior.nu)
Div = np.zeros(K)
s, logdet = np.linalg.slogdet(priorMu)
logdet_prior = s * logdet
for k in xrange(K):
chol_Mu_k = np.linalg.cholesky(Mu[k])
logdet_Mu_k = 2.0 * np.sum(np.log(np.diag(chol_Mu_k)))
tr_PriorInvMu_k = np.trace(np.linalg.solve(Mu[k], priorMu))
Div[k] = -0.5 * logdet_prior + 0.5 * logdet_Mu_k + \
0.5 * tr_PriorInvMu_k - 0.5 * D
return priorN * Div
def getSerializableParamsForLocalStep(self):
""" Get compact dict of params for local step.
Returns
-------
Info : dict
"""
if self.inferType == 'EM':
raise NotImplementedError('TODO')
return dict(
inferType=self.inferType,
K=self.K,
D=self.D,
)
def fillSharedMemDictForLocalStep(self, ShMem=None):
""" Get dict of shared mem arrays needed for parallel local step.
Returns
-------
ShMem : dict of RawArray objects
"""
if ShMem is None:
ShMem = dict()
if 'nu' in ShMem:
fillSharedMemArray(ShMem['nu'], self.Post.nu)
fillSharedMemArray(ShMem['cholB'], self._cholB('all'))
fillSharedMemArray(ShMem['E_logdetL'], self._E_logdetL('all'))
else:
ShMem['nu'] = numpyToSharedMemArray(self.Post.nu)
ShMem['cholB'] = numpyToSharedMemArray(self._cholB('all'))
ShMem['E_logdetL'] = numpyToSharedMemArray(self._E_logdetL('all'))
return ShMem
def getLocalAndSummaryFunctionHandles(self):
""" Get function handles for local step and summary step
Useful for parallelized algorithms.
Returns
-------
calcLocalParams : f handle
calcSummaryStats : f handle
"""
return calcLocalParams, calcSummaryStats
class AutoRegGaussObsModel(AbstractObsModel):
''' First-order auto-regressive data generation model.
Attributes for Prior (Matrix-Normal-Wishart)
--------
nu : float
degrees of freedom
B : 2D array, size D x D
scale matrix that sets mean of parameter Sigma
M : 2D array, size D x E
sets mean of parameter A
V : 2D array, size E x E
scale matrix that sets covariance of parameter A
Attributes for k-th component of EstParams (EM point estimates)
---------
A[k] : 2D array, size D x E
coefficient matrix for auto-regression.
Sigma[k] : 2D array, size D x D
covariance matrix.
Attributes for k-th component of Post (VB parameter)
---------
nu[k] : float
B[k] : 2D array, size D x D
M[k] : 2D array, size D x E
V[k] : 2D array, size E x E
'''
def __init__(self,
inferType='EM',
D=None,
E=None,
min_covar=None,
Data=None,
**PriorArgs):
''' Initialize bare obsmodel with valid prior hyperparameters.
Resulting object lacks either EstParams or Post,
which must be created separately (see init_global_params).
'''
# Set dimension D
if Data is not None:
D = Data.X.shape[1]
else:
assert D is not None
D = int(D)
self.D = D
# Set dimension E
if Data is not None:
E = Data.Xprev.shape[1]
else:
assert E is not None
E = int(E)
self.E = E
self.K = 0
self.inferType = inferType
self.min_covar = min_covar
self.createPrior(Data, D=D, E=E, **PriorArgs)
self.Cache = dict()
def createPrior(self,
Data,
D=None,
E=None,
nu=0,
B=None,
M=None,
V=None,
ECovMat=None,
sF=1.0,
VMat='eye',
sV=1.0,
MMat='zero',
sM=1.0,
**kwargs):
''' Initialize Prior ParamBag attribute.
Post Condition
------
Prior expected covariance matrix set to match provided value.
'''
if Data is None:
if D is None:
raise ValueError("Need to specify dimension D")
if E is None:
raise ValueError("Need to specify dimension E")
if Data is not None:
if D is None:
D = Data.X.shape[1]
else:
assert D == Data.X.shape[1]
if E is None:
E = Data.Xprev.shape[1]
else:
assert E == Data.Xprev.shape[1]
nu = np.maximum(nu, D + 2)
if B is None:
if ECovMat is None or isinstance(ECovMat, str):
ECovMat = createECovMatFromUserInput(D, Data, ECovMat, sF)
B = ECovMat * (nu - D - 1)
B = as2D(B)
if M is None:
if MMat == 'zero':
M = np.zeros((D, E))
elif MMat == 'eye':
assert D <= E
M = sM * np.eye(D)
M = np.hstack([M, np.zeros((D, E - D))])
assert M.shape == (D, E)
else:
raise ValueError('Unrecognized MMat: %s' % (MMat))
else:
M = as2D(M)
if V is None:
if VMat == 'eye':
V = sV * np.eye(E)
elif VMat == 'same':
assert D == E
V = sV * ECovMat
else:
raise ValueError('Unrecognized VMat: %s' % (VMat))
else:
V = as2D(V)
self.Prior = ParamBag(K=0, D=D, E=E)
self.Prior.setField('nu', nu, dims=None)
self.Prior.setField('B', B, dims=('D', 'D'))
self.Prior.setField('V', V, dims=('E', 'E'))
self.Prior.setField('M', M, dims=('D', 'E'))
def get_mean_for_comp(self, k=None):
if k is None or k == 'prior':
return np.diag(self.Prior.M)
elif hasattr(self, 'EstParams'):
return np.diag(self.EstParams.A[k])
else:
return np.diag(self.Post.M[k])
def get_covar_mat_for_comp(self, k=None):
if k is None or k == 'prior':
return self._E_CovMat()
elif hasattr(self, 'EstParams'):
return self.EstParams.Sigma[k]
else:
return self._E_CovMat(k)
def get_name(self):
return 'AutoRegGauss'
def get_info_string(self):
return 'Auto-Regressive Gaussian with full covariance.'
def get_info_string_prior(self):
msg = 'MatrixNormal-Wishart on each mean/prec matrix pair: A, Lam\n'
if self.D > 2:
sfx = ' ...'
else:
sfx = ''
M = self.Prior.M[:2, :2]
S = self._E_CovMat()[:2, :2]
msg += 'E[ A ] = \n'
msg += str(M) + sfx + '\n'
msg += 'E[ Sigma ] = \n'
msg += str(S) + sfx
msg = msg.replace('\n', '\n ')
return msg
def setEstParams(self,
obsModel=None,
SS=None,
LP=None,
Data=None,
A=None,
Sigma=None,
**kwargs):
''' Initialize EstParams attribute with fields A, Sigma.
'''
self.ClearCache()
if obsModel is not None:
self.EstParams = obsModel.EstParams.copy()
self.K = self.EstParams.K
return
if LP is not None and Data is not None:
SS = self.calcSummaryStats(Data, None, LP)
if SS is not None:
self.updateEstParams(SS)
else:
A = as3D(A)
Sigma = as3D(Sigma)
self.EstParams = ParamBag(K=A.shape[0], D=A.shape[1], E=A.shape[2])
self.EstParams.setField('A', A, dims=('K', 'D', 'E'))
self.EstParams.setField('Sigma', Sigma, dims=('K', 'D', 'D'))
def setEstParamsFromPost(self, Post):
''' Convert from Post to EstParams.
'''
D = Post.D
self.EstParams = ParamBag(K=Post.K, D=D, E=Post.E)
A = Post.M.copy()
Sigma = Post.B / (Post.nu - D - 1)[:, np.newaxis, np.newaxis]
self.EstParams.setField('A', A, dims=('K', 'D', 'E'))
self.EstParams.setField('Sigma', Sigma, dims=('K', 'D', 'D'))
self.K = self.EstParams.K
def setPostFactors(self,
obsModel=None,
SS=None,
LP=None,
Data=None,
nu=0,
B=0,
M=0,
V=0,
**kwargs):
''' Set Post attribute to provided values.
'''
self.ClearCache()
if obsModel is not None:
if hasattr(obsModel, 'Post'):
self.Post = obsModel.Post.copy()
else:
self.setPostFromEstParams(obsModel.EstParams)
self.K = self.Post.K
return
if LP is not None and Data is not None:
SS = self.calcSummaryStats(Data, None, LP)
if SS is not None:
self.updatePost(SS)
else:
M = as3D(M)
B = as3D(B)
V = as3D(V)
K, D, E = M.shape
assert D == self.D
assert E == self.E
self.Post = ParamBag(K=K, D=self.D, E=self.E)
self.Post.setField('nu', as1D(nu), dims=('K'))
self.Post.setField('B', B, dims=('K', 'D', 'D'))
self.Post.setField('M', M, dims=('K', 'D', 'E'))
self.Post.setField('V', V, dims=('K', 'E', 'E'))
self.K = self.Post.K
def setPostFromEstParams(self, EstParams, Data=None, N=None):
''' Set Post attribute values based on provided EstParams.
'''
K = EstParams.K
D = EstParams.D
E = EstParams.E
if Data is not None:
N = Data.nObsTotal
N = np.asarray(N, dtype=np.float)
if N.ndim == 0:
N = N / K * np.ones(K)
nu = self.Prior.nu + N
B = EstParams.Sigma * (nu - D - 1)[:, np.newaxis, np.newaxis]
M = EstParams.A.copy()
V = as3D(self.Prior.V)
self.Post = ParamBag(K=K, D=D, E=E)
self.Post.setField('nu', nu, dims=('K'))
self.Post.setField('B', B, dims=('K', 'D', 'D'))
self.Post.setField('M', M, dims=('K', 'D', 'E'))
self.Post.setField('V', V, dims=('K', 'E', 'E'))
self.K = self.Post.K
def calcSummaryStats(self, Data, SS, LP, **kwargs):
""" Fill in relevant sufficient stats fields into provided SS.
Returns
-------
SS : bnpy.suffstats.SuffStatBag
"""
return calcSummaryStats(Data, SS, LP, **kwargs)
def forceSSInBounds(self, SS):
''' Force count vector N to remain positive
This avoids numerical problems due to incremental add/subtract ops
which can cause computations like
x = 10.
x += 1e-15
x -= 10
x -= 1e-15
to be slightly different than zero instead of exactly zero.
Post Condition
--------------
Field N is guaranteed to be positive.
'''
np.maximum(SS.N, 0, out=SS.N)
def incrementSS(self, SS, k, x):
pass
def decrementSS(self, SS, k, x):
pass
def calcSummaryStatsForContigBlock(self, Data, SS=None, a=0, b=0):
''' Calculate sufficient stats for a single contiguous block of data
'''
D = Data.X.shape[1]
E = Data.Xprev.shape[1]
if SS is None:
SS = SuffStatBag(K=1, D=D, E=E)
elif not hasattr(SS, 'E'):
SS._Fields.E = E
ppT = dotATA(Data.Xprev[a:b])[np.newaxis, :, :]
xxT = dotATA(Data.X[a:b])[np.newaxis, :, :]
pxT = dotATB(Data.Xprev[a:b], Data.X[a:b])[np.newaxis, :, :]
SS.setField('N', (b - a) * np.ones(1), dims='K')
SS.setField('xxT', xxT, dims=('K', 'D', 'D'))
SS.setField('ppT', ppT, dims=('K', 'E', 'E'))
SS.setField('pxT', pxT, dims=('K', 'E', 'D'))
return SS
def calcLogSoftEvMatrix_FromEstParams(self, Data, **kwargs):
''' Compute log soft evidence matrix for Dataset under EstParams.
Returns
-------
L : 2D array, size N x K
L[n,k] = log p( data n | EstParams for comp k )
'''
K = self.EstParams.K
L = np.empty((Data.nObs, K))
for k in xrange(K):
L[:, k] = - 0.5 * self.D * LOGTWOPI \
- 0.5 * self._logdetSigma(k) \
- 0.5 * self._mahalDist_EstParam(Data.X, Data.Xprev, k)
return L
def _mahalDist_EstParam(self, X, Xprev, k):
''' Calc Mahalanobis distance from comp k to every row of X.
Args
----
X : 2D array, size N x D
k : integer ID of comp
Returns
-------
dist : 1D array, size N
'''
deltaX = X - np.dot(Xprev, self.EstParams.A[k].T)
Q = np.linalg.solve(self.GetCached('cholSigma', k), deltaX.T)
Q *= Q
return np.sum(Q, axis=0)
def _cholSigma(self, k):
''' Calculate lower cholesky decomposition of Sigma[k]
Returns
-------
L : 2D array, size D x D, lower triangular
Sigma = np.dot(L, L.T)
'''
return scipy.linalg.cholesky(self.EstParams.Sigma[k], lower=1)
def _logdetSigma(self, k):
''' Calculate log determinant of EstParam.Sigma for comp k
Returns
-------
logdet : scalar real
'''
return 2 * np.sum(np.log(np.diag(self.GetCached('cholSigma', k))))
def updateEstParams_MaxLik(self, SS):
''' Update attribute EstParams for all comps given suff stats.
Update uses the maximum likelihood objective for point estimation.
Post Condition
---------
Attributes K and EstParams updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'EstParams') or self.EstParams.K != SS.K:
self.EstParams = ParamBag(K=SS.K, D=SS.D, E=SS.E)
minCovMat = self.min_covar * np.eye(SS.D)
if SS.E == SS.D:
minCovMat_EE = minCovMat
else:
minCovMat_EE = self.min_covar * np.eye(SS.E)
A = np.zeros((SS.K, self.D, self.E))
Sigma = np.zeros((SS.K, self.D, self.D))
for k in xrange(SS.K):
# Add small pos multiple of identity to make invertible
# TODO: This is source of potential stability issues.
A[k] = np.linalg.solve(SS.ppT[k] + minCovMat_EE, SS.pxT[k]).T
Sigma[k] = SS.xxT[k] \
- 2 * np.dot(SS.pxT[k].T, A[k].T) \
+ np.dot(A[k], np.dot(SS.ppT[k], A[k].T))
Sigma[k] /= SS.N[k]
# Sigma[k] = 0.5 * (Sigma[k] + Sigma[k].T) # symmetry!
Sigma[k] += minCovMat
self.EstParams.setField('A', A, dims=('K', 'D', 'E'))
self.EstParams.setField('Sigma', Sigma, dims=('K', 'D', 'D'))
self.K = SS.K
def updateEstParams_MAP(self, SS):
''' Update attribute EstParams for all comps given suff stats.
Update uses the MAP objective for point estimation.
Post Condition
---------
Attributes K and EstParams updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'EstParams') or self.EstParams.K != SS.K:
self.EstParams = ParamBag(K=SS.K, D=SS.D, E=SS.E)
raise NotImplemented('TODO')
def updatePost(self, SS):
''' Update attribute Post for all comps given suff stats.
Update uses the variational objective.
Post Condition
---------
Attributes K and Post updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'Post') or self.Post.K != SS.K:
self.Post = ParamBag(K=SS.K, D=SS.D, E=SS.E)
elif not hasattr(self.Post, 'E'):
self.Post.E = SS.E
nu, B, M, V = self.calcPostParams(SS)
self.Post.setField('nu', nu, dims=('K'))
self.Post.setField('B', B, dims=('K', 'D', 'D'))
self.Post.setField('M', M, dims=('K', 'D', 'E'))
self.Post.setField('V', V, dims=('K', 'E', 'E'))
self.K = SS.K
def calcPostParams(self, SS):
''' Calc updated posterior params for all comps given suff stats
These params define the common-form of the exponential family
Normal-Wishart posterior distribution over mu, diag(Lambda)
Returns
--------
nu : 1D array, size K
B : 3D array, size K x D x D
each B[k] symmetric and positive definite
M : 3D array, size K x D x E
V : 3D array, size K x E x E
'''
Prior = self.Prior
nu = Prior.nu + SS.N
B_MVM = Prior.B + np.dot(Prior.M, np.dot(Prior.V, Prior.M.T))
B = SS.xxT + B_MVM[np.newaxis, :]
V = SS.ppT + Prior.V[np.newaxis, :]
M = np.zeros((SS.K, SS.D, SS.E))
for k in xrange(B.shape[0]):
M[k] = np.linalg.solve(V[k],
SS.pxT[k] + np.dot(Prior.V, Prior.M.T)).T
B[k] -= np.dot(M[k], np.dot(V[k], M[k].T))
return nu, B, M, V
def calcPostParamsForComp(self, SS, kA=None, kB=None):
''' Calc params (nu, B, m, kappa) for specific comp, given suff stats
These params define the common-form of the exponential family
Normal-Wishart posterior distribution over mu[k], diag(Lambda)[k]
Returns
--------
nu : positive scalar
B : 2D array, size D x D, symmetric and positive definite
M : 2D array, size D x D
V : 2D array, size D x D
'''
if kA is not None and kB is not None:
N = SS.N[kA] + SS.N[kB]
xxT = SS.xxT[kA] + SS.xxT[kB]
ppT = SS.ppT[kA] + SS.ppT[kB]
pxT = SS.pxT[kA] + SS.pxT[kB]
elif kA is not None:
N = SS.N[kA]
xxT = SS.xxT[kA]
ppT = SS.ppT[kA]
pxT = SS.pxT[kA]
else:
raise ValueError('Need to specify specific component.')
Prior = self.Prior
nu = Prior.nu + N
B_MVM = Prior.B + np.dot(Prior.M, np.dot(Prior.V, Prior.M.T))
B = xxT + B_MVM
V = ppT + Prior.V
M = np.linalg.solve(V, pxT + np.dot(Prior.V, Prior.M.T)).T
B -= np.dot(M, np.dot(V, M.T))
return nu, B, M, V
def updatePost_stochastic(self, SS, rho):
''' Update attribute Post for all comps given suff stats
Update uses the stochastic variational formula.
Post Condition
---------
Attributes K and Post updated in-place.
'''
assert hasattr(self, 'Post')
assert self.Post.K == SS.K
self.ClearCache()
self.convertPostToNatural()
n_nu, n_V, n_VMT, n_B = self.calcNaturalPostParams(SS)
Post = self.Post
Post.nu[:] = (1 - rho) * Post.nu + rho * n_nu
Post.V[:] = (1 - rho) * Post.V + rho * n_V
Post.n_VMT[:] = (1 - rho) * Post.n_VMT + rho * n_VMT
Post.n_B[:] = (1 - rho) * Post.n_B + rho * n_B
self.convertPostToCommon()
def calcNaturalPostParams(self, SS):
''' Calc updated natural params for all comps given suff stats
These params define the natural-form of the exponential family
Normal-Wishart posterior distribution over mu, Lambda
Returns
--------
nu : 1D array, size K
Bnat : 3D array, size K x D x D
'''
Prior = self.Prior
VMT = np.dot(Prior.V, Prior.M.T)
MVMT = np.dot(Prior.M, VMT)
n_nu = Prior.nu + SS.N
n_V = Prior.V + SS.ppT
n_VMT = VMT + SS.pxT
n_B = Prior.B + MVMT + SS.xxT
return n_nu, n_V, n_VMT, n_B
def convertPostToNatural(self):
''' Convert current posterior params from common to natural form
Post Condition
--------
Attribute Post has new fields n_VMT, n_B.
'''
Post = self.Post
# These two are done implicitly
# Post.setField('nu', Post.nu, dims=None)
# Post.setField('V', Post.nu, dims=None)
VMT = np.zeros((self.K, self.D, self.D))
for k in xrange(self.K):
VMT[k] = np.dot(Post.V[k], Post.M[k].T)
Post.setField('n_VMT', VMT, dims=('K', 'D', 'D'))
Bnat = np.empty((self.K, self.D, self.D))
for k in xrange(self.K):
Bnat[k] = Post.B[k] + np.dot(Post.M[k], VMT[k])
Post.setField('n_B', Bnat, dims=('K', 'D', 'D'))
def convertPostToCommon(self):
''' Convert current posterior params from natural to common form
Post Condition
--------
Attribute Post has new fields n_VMT, n_B.
'''
Post = self.Post
# These two are done implicitly
# Post.setField('nu', Post.nu, dims=None)
# Post.setField('V', Post.nu, dims=None)
M = np.zeros((self.K, self.D, self.D))
for k in xrange(self.K):
M[k] = np.linalg.solve(Post.V[k], Post.n_VMT[k]).T
Post.setField('M', M, dims=('K', 'D', 'D'))
B = np.empty((self.K, self.D, self.D))
for k in xrange(self.K):
B[k] = Post.n_B[k] - np.dot(Post.M[k], Post.n_VMT[k])
Post.setField('B', B, dims=('K', 'D', 'D'))
def calcLogSoftEvMatrix_FromPost(self, Data, **kwargs):
''' Calculate expected log soft ev matrix under Post.
Returns
------
L : 2D array, size N x K
'''
K = self.Post.K
L = np.zeros((Data.nObs, K))
for k in xrange(K):
L[:, k] = - 0.5 * self.D * LOGTWOPI \
+ 0.5 * self.GetCached('E_logdetL', k) \
- 0.5 * self._mahalDist_Post(Data.X, Data.Xprev, k)
return L
def _mahalDist_Post(self, X, Xprev, k):
''' Calc expected mahalonobis distance from comp k to each data atom
Returns
--------
distvec : 1D array, size nObs
distvec[n] gives E[ (x-\mu) \Lam (x-\mu) ] for comp k
'''
# Calc: (x-M*xprev)' * B * (x-M*xprev)
deltaX = X - np.dot(Xprev, self.Post.M[k].T)
Q = np.linalg.solve(self.GetCached('cholB', k), deltaX.T)
Q *= Q
# Calc: xprev' * V * xprev
Qprev = np.linalg.solve(self.GetCached('cholV', k), Xprev.T)
Qprev *= Qprev
return self.Post.nu[k] * np.sum(Q, axis=0) \
+ self.D * np.sum(Qprev, axis=0)
def calcELBO_Memoized(self, SS, afterMStep=False, **kwargs):
''' Calculate obsModel's objective using suff stats SS and Post.
Args
-------
SS : bnpy SuffStatBag
afterMStep : boolean flag
if 1, elbo calculated assuming M-step just completed
Returns
-------
obsELBO : scalar float
Equal to E[ log p(x) + log p(phi) - log q(phi)]
'''
elbo = np.zeros(SS.K)
Post = self.Post
Prior = self.Prior
for k in xrange(SS.K):
elbo[k] = c_Diff(
Prior.nu,
self.GetCached('logdetB'),
Prior.M,
self.GetCached('logdetV'),
Post.nu[k],
self.GetCached('logdetB', k),
Post.M[k],
self.GetCached('logdetV', k),
)
if not afterMStep:
aDiff = SS.N[k] + Prior.nu - Post.nu[k]
bDiff = SS.xxT[k] + Prior.B + \
np.dot(Prior.M, np.dot(Prior.V, Prior.M.T)) - \
Post.B[k] - \
np.dot(Post.M[k], np.dot(Post.V[k], Post.M[k].T))
cDiff = SS.pxT[k] + np.dot(Prior.V, Prior.M.T) - \
np.dot(Post.V[k], Post.M[k].T)
dDiff = SS.ppT[k] + Prior.V - Post.V[k]
elbo[k] += 0.5 * aDiff * self.GetCached('E_logdetL', k) \
- 0.5 * self._trace__E_L(bDiff, k) \
+ self._trace__E_LA(cDiff, k) \
- 0.5 * self._trace__E_ALA(dDiff, k)
return elbo.sum() - 0.5 * np.sum(SS.N) * SS.D * LOGTWOPI
def getDatasetScale(self, SS):
''' Get number of observed scalars in dataset from suff stats.
Used for normalizing the ELBO so it has reasonable range.
Returns
---------
s : scalar positive integer
'''
return SS.N.sum() * SS.D
def calcHardMergeGap(self, SS, kA, kB):
''' Calculate change in ELBO after a hard merge applied to this model
Returns
---------
gap : scalar real, indicates change in ELBO after merge of kA, kB
'''
Post = self.Post
Prior = self.Prior
cA = c_Func(Post.nu[kA], Post.B[kA], Post.M[kA], Post.V[kA])
cB = c_Func(Post.nu[kB], Post.B[kB], Post.M[kB], Post.V[kB])
cPrior = c_Func(Prior.nu, Prior.B, Prior.M, Prior.V)
nu, B, M, V = self.calcPostParamsForComp(SS, kA, kB)
cAB = c_Func(nu, B, M, V)
return cA + cB - cPrior - cAB
def calcHardMergeGap_AllPairs(self, SS):
''' Calculate change in ELBO for all candidate hard merge pairs
Returns
---------
Gap : 2D array, size K x K, upper-triangular entries non-zero
Gap[j,k] : scalar change in ELBO after merge of k into j
'''
Post = self.Post
Prior = self.Prior
cPrior = c_Func(Prior.nu, Prior.B, Prior.M, Prior.V)
c = np.zeros(SS.K)
for k in xrange(SS.K):
c[k] = c_Func(Post.nu[k], Post.B[k], Post.M[k], Post.V[k])
Gap = np.zeros((SS.K, SS.K))
for j in xrange(SS.K):
for k in xrange(j + 1, SS.K):
nu, B, M, V = self.calcPostParamsForComp(SS, j, k)
cjk = c_Func(nu, B, M, V)
Gap[j, k] = c[j] + c[k] - cPrior - cjk
return Gap
def calcHardMergeGap_SpecificPairs(self, SS, PairList):
''' Calc change in ELBO for specific list of candidate hard merge pairs
Returns
---------
Gaps : 1D array, size L
Gaps[j] = scalar change in ELBO after merge of PairList[j]
'''
Gaps = np.zeros(len(PairList))
for ii, (kA, kB) in enumerate(PairList):
Gaps[ii] = self.calcHardMergeGap(SS, kA, kB)
return Gaps
def calcHardMergeGap_SpecificPairSS(self, SS1, SS2):
''' Calc change in ELBO for merger of two components.
'''
assert SS1.K == 1
assert SS2.K == 1
Prior = self.Prior
cPrior = c_Func(Prior.nu, Prior.B, Prior.M, Prior.V)
# Compute cumulants of individual states 1 and 2
c1 = c_Func(*self.calcPostParamsForComp(SS1, 0))
c2 = c_Func(*self.calcPostParamsForComp(SS2, 0))
# Compute cumulant of merged state 1&2
SS12 = SS1 + SS2
c12 = c_Func(*self.calcPostParamsForComp(SS12, 0))
return c1 + c2 - cPrior - c12
def calcLogMargLikForComp(self, SS, kA, kB=None, **kwargs):
''' Calc log marginal likelihood of data assigned to component
Up to an additive constant that depends on the prior.
Requires Data pre-summarized into sufficient stats for each comp.
If multiple comp IDs are provided,
we combine into a "merged" component.
Args
-------
SS : bnpy suff stats object
kA : integer ID of target component to compute likelihood for
kB : (optional) integer ID of second component.
If provided, we merge kA, kB into one component for calculation.
Returns
-------
logM : scalar real
logM = log p( data assigned to comp kA )
computed up to an additive constant
'''
nu, B, M, V = self.calcPostParamsForComp(SS, kA, kB)
return -1 * c_Func(nu, B, M, V)
def calcMargLik(self, SS):
''' Calc log marginal likelihood across all comps, given suff stats
Returns
--------
logM : scalar real
logM = \sum_{k=1}^K log p( data assigned to comp k | Prior)
'''
return self.calcMargLik_CFuncForLoop(SS)
def calcMargLik_CFuncForLoop(self, SS):
Prior = self.Prior
logp = np.zeros(SS.K)
for k in xrange(SS.K):
nu, B, m, kappa = self.calcPostParamsForComp(SS, k)
logp[k] = c_Diff(Prior.nu, Prior.B, Prior.m, Prior.kappa, nu, B, m,
kappa)
return np.sum(logp) - 0.5 * np.sum(SS.N) * LOGTWOPI
def calcPredProbVec_Unnorm(self, SS, x):
''' Calculate predictive probability that each comp assigns to vector x
Returns
--------
p : 1D array, size K, all entries positive
p[k] \propto p( x | SS for comp k)
'''
return self._calcPredProbVec_Fast(SS, x)
def _calcPredProbVec_cFunc(self, SS, x):
raise NotImplementedError('TODO')
def _calcPredProbVec_Fast(self, SS, x):
raise NotImplementedError('TODO')
def _Verify_calcPredProbVec(self, SS, x):
raise NotImplementedError('TODO')
def _E_CovMat(self, k=None):
if k is None or k == 'prior':
B = self.Prior.B
nu = self.Prior.nu
else:
B = self.Post.B[k]
nu = self.Post.nu[k]
return B / (nu - self.D - 1)
def _cholB(self, k=None):
if k == 'all':
retMat = np.zeros((self.K, self.D, self.D))
for k in xrange(self.K):
retMat[k] = scipy.linalg.cholesky(self.Post.B[k], lower=True)
return retMat
elif k is None:
B = self.Prior.B
else:
B = self.Post.B[k]
return scipy.linalg.cholesky(B, lower=True)
def _logdetB(self, k=None):
cholB = self.GetCached('cholB', k)
return 2 * np.sum(np.log(np.diag(cholB)))
def _cholV(self, k=None):
if k == 'all':
retMat = np.zeros((self.K, self.D, self.D))
for k in xrange(self.K):
retMat[k] = scipy.linalg.cholesky(self.Post.V[k], lower=True)
return retMat
elif k is None:
V = self.Prior.V
else:
V = self.Post.V[k]
return scipy.linalg.cholesky(V, lower=True)
def _logdetV(self, k=None):
cholV = self.GetCached('cholV', k)
return 2 * np.sum(np.log(np.diag(cholV)))
def _E_logdetL(self, k=None):
dvec = np.arange(1, self.D + 1, dtype=np.float)
if k is 'all':
dvec = dvec[:, np.newaxis]
retVec = self.D * LOGTWO * np.ones(self.K)
for kk in xrange(self.K):
retVec[kk] -= self.GetCached('logdetB', kk)
nuT = self.Post.nu[np.newaxis, :]
retVec += np.sum(digamma(0.5 * (nuT + 1 - dvec)), axis=0)
return retVec
elif k is None:
nu = self.Prior.nu
else:
nu = self.Post.nu[k]
return self.D * LOGTWO \
- self.GetCached('logdetB', k) \
+ np.sum(digamma(0.5 * (nu + 1 - dvec)))
def _E_LA(self, k=None):
if k is None:
nu = self.Prior.nu
B = self.Prior.B
M = self.Prior.M
else:
nu = self.Post.nu[k]
B = self.Post.B[k]
M = self.Post.M[k]
return nu * np.linalg.solve(B, M)
def _E_ALA(self, k=None):
if k is None:
nu = self.Prior.nu
M = self.Prior.M
B = self.Prior.B
V = self.Prior.V
else:
nu = self.Post.nu[k]
M = self.Post.M[k]
B = self.Post.B[k]
V = self.Post.V[k]
Q = np.linalg.solve(self.GetCached('cholB', k), M)
return self.D * np.linalg.inv(V) \
+ nu * np.dot(Q.T, Q)
def _trace__E_L(self, S, k=None):
if k is None:
nu = self.Prior.nu
B = self.Prior.B
else:
nu = self.Post.nu[k]
B = self.Post.B[k]
return nu * np.trace(np.linalg.solve(B, S))
def _trace__E_LA(self, S, k=None):
E_LA = self._E_LA(k)
return np.trace(np.dot(E_LA, S))
def _trace__E_ALA(self, S, k=None):
E_ALA = self._E_ALA(k)
return np.trace(np.dot(E_ALA, S))
def getSerializableParamsForLocalStep(self):
""" Get compact dict of params for local step.
Returns
-------
Info : dict
"""
if self.inferType == 'EM':
raise NotImplementedError('TODO')
return dict(
inferType=self.inferType,
K=self.K,
D=self.D,
)
def fillSharedMemDictForLocalStep(self, ShMem=None):
""" Get dict of shared mem arrays needed for parallel local step.
Returns
-------
ShMem : dict of RawArray objects
"""
if ShMem is None:
ShMem = dict()
if 'nu' in ShMem:
fillSharedMemArray(ShMem['nu'], self.Post.nu)
fillSharedMemArray(ShMem['M'], self.Post.M)
fillSharedMemArray(ShMem['cholV'], self._cholV('all'))
fillSharedMemArray(ShMem['cholB'], self._cholB('all'))
fillSharedMemArray(ShMem['E_logdetL'], self._E_logdetL('all'))
else:
ShMem['nu'] = numpyToSharedMemArray(self.Post.nu)
ShMem['M'] = numpyToSharedMemArray(self.Post.M)
ShMem['cholV'] = numpyToSharedMemArray(self._cholV('all'))
ShMem['cholB'] = numpyToSharedMemArray(self._cholB('all'))
ShMem['E_logdetL'] = numpyToSharedMemArray(self._E_logdetL('all'))
return ShMem
def getLocalAndSummaryFunctionHandles(self):
""" Get function handles for local step and summary step
Useful for parallelized algorithms.
Returns
-------
calcLocalParams : f handle
calcSummaryStats : f handle
"""
return calcLocalParams, calcSummaryStats
class MultObsModel(AbstractObsModel):
""" Multinomial data generation model for count vectors.
Attributes for Prior (Dirichlet)
--------
lam : 1D array, size vocab_size
pseudo-count of observations of each symbol (word) type.
Attributes for k-th component of EstParams (EM point estimates)
---------
phi[k] : 1D array, size vocab_size
phi[k] is a vector of positive numbers that sum to one.
phi[k,v] is probability that vocab type v appears under k.
Attributes for k-th component of Post (VB parameter)
---------
lam[k] : 1D array, size vocab_size
"""
def __init__(self,
inferType='EM',
D=0,
vocab_size=0,
Data=None,
**PriorArgs):
''' Initialize bare obsmodel with valid prior hyperparameters.
Resulting object lacks either EstParams or Post,
which must be created separately (see init_global_params).
'''
if Data is not None:
self.D = Data.vocab_size
elif vocab_size > 0:
self.D = int(vocab_size)
else:
self.D = int(D)
self.K = 0
self.inferType = inferType
self.createPrior(Data, **PriorArgs)
self.Cache = dict()
def createPrior(self, Data, lam=1.0, min_phi=1e-100, **kwargs):
''' Initialize Prior ParamBag attribute.
'''
D = self.D
self.min_phi = min_phi
self.Prior = ParamBag(K=0, D=D)
lam = np.asarray(lam, dtype=np.float)
if lam.ndim == 0:
lam = lam * np.ones(D)
assert lam.size == D
self.Prior.setField('lam', lam, dims=('D'))
self.prior_cFunc = c_Func(lam)
def setupWithAllocModel(self, allocModel):
''' Using the allocation model, determine the modeling scenario.
doc : multinomial : each atom is vector of empirical counts in doc
word : categorical : each atom is single word token (one of vocab_size)
'''
if not isinstance(allocModel, str):
allocModel = str(type(allocModel))
aModelName = allocModel.lower()
if aModelName.count('hdp') or aModelName.count('topic'):
self.DataAtomType = 'word'
else:
self.DataAtomType = 'doc'
def getTopics(self):
''' Retrieve matrix of estimated topic-word probability vectors
Returns
--------
topics : K x vocab_size
topics[k,:] is a non-negative vector that sums to one
'''
if hasattr(self, 'EstParams'):
return self.EstParams.phi
else:
phi = self.Post.lam / np.sum(self.Post.lam, axis=1)[:, np.newaxis]
return phi
def get_name(self):
return 'Mult'
def get_info_string(self):
return 'Multinomial over finite vocabulary.'
def get_info_string_prior(self):
msg = 'Dirichlet over finite vocabulary \n'
if self.D > 2:
sfx = ' ...'
else:
sfx = ''
S = self.Prior.lam[:2]
msg += 'lam = %s%s' % (str(S), sfx)
msg = msg.replace('\n', '\n ')
return msg
def setEstParams(self,
obsModel=None,
SS=None,
LP=None,
Data=None,
phi=None,
topics=None,
**kwargs):
''' Create EstParams ParamBag with fields phi
'''
if topics is not None:
phi = topics
self.ClearCache()
if obsModel is not None:
self.EstParams = obsModel.EstParams.copy()
self.K = self.EstParams.K
return
if LP is not None and Data is not None:
SS = self.calcSummaryStats(Data, None, LP)
if SS is not None:
self.updateEstParams(SS)
else:
self.EstParams = ParamBag(K=phi.shape[0], D=phi.shape[1])
self.EstParams.setField('phi', phi, dims=('K', 'D'))
self.K = self.EstParams.K
def setEstParamsFromPost(self, Post=None, **kwargs):
''' Convert from Post (lam) to EstParams (phi),
each EstParam is set to its posterior mean.
'''
if Post is None:
Post = self.Post
self.EstParams = ParamBag(K=Post.K, D=Post.D)
phi = Post.lam / np.sum(Post.lam, axis=1)[:, np.newaxis]
self.EstParams.setField('phi', phi, dims=('K', 'D'))
self.K = self.EstParams.K
def setPostFactors(self,
obsModel=None,
SS=None,
LP=None,
Data=None,
lam=None,
WordCounts=None,
**kwargs):
''' Set attribute Post to provided values.
'''
self.ClearCache()
if obsModel is not None:
if hasattr(obsModel, 'Post'):
self.Post = obsModel.Post.copy()
self.K = self.Post.K
else:
self.setPostFromEstParams(obsModel.EstParams)
return
if LP is not None and Data is not None:
SS = self.calcSummaryStats(Data, None, LP)
if SS is not None:
self.updatePost(SS)
else:
if WordCounts is not None:
lam = as2D(WordCounts) + lam
else:
lam = as2D(lam)
K, D = lam.shape
self.Post = ParamBag(K=K, D=D)
self.Post.setField('lam', lam, dims=('K', 'D'))
self.K = self.Post.K
def setPostFromEstParams(self,
EstParams,
Data=None,
nTotalTokens=0,
**kwargs):
''' Set attribute Post based on values in EstParams.
'''
K = EstParams.K
D = EstParams.D
if Data is not None:
nTotalTokens = Data.word_count.sum()
if isinstance(nTotalTokens, int) or nTotalTokens.ndim == 0:
nTotalTokens = float(nTotalTokens) / float(K) * np.ones(K)
if np.any(nTotalTokens == 0):
priorScale = self.Prior.lam.sum()
warnings.warn("Enforcing minimum scale of %.3f for lam" %
(priorScale))
nTotalTokens = np.maximum(nTotalTokens, priorScale)
if 'lam' in kwargs and kwargs['lam'] is not None:
lam = kwargs['lam']
else:
WordCounts = EstParams.phi * nTotalTokens[:, np.newaxis]
assert WordCounts.max() > 0
lam = WordCounts + self.Prior.lam
self.Post = ParamBag(K=K, D=D)
self.Post.setField('lam', lam, dims=('K', 'D'))
self.K = K
def calcSummaryStats(self, Data, SS, LP, cslice=(0, None), **kwargs):
''' Calculate summary statistics for given dataset and local parameters
Returns
--------
SS : SuffStatBag object, with K components.
'''
return calcSummaryStats(Data,
SS,
LP,
DataAtomType=self.DataAtomType,
**kwargs)
def forceSSInBounds(self, SS):
''' Force count vectors to remain positive
'''
np.maximum(SS.WordCounts, 0, out=SS.WordCounts)
np.maximum(SS.SumWordCounts, 0, out=SS.SumWordCounts)
if not np.allclose(SS.WordCounts.sum(axis=1), SS.SumWordCounts):
raise ValueError('Bad Word Counts!')
def incrementSS(self, SS, k, Data, docID):
SS.WordCounts[k] += Data.getSparseDocTypeCountMatrix()[docID, :]
def decrementSS(self, SS, k, Data, docID):
SS.WordCounts[k] -= Data.getSparseDocTypeCountMatrix()[docID, :]
def calcLogSoftEvMatrix_FromEstParams(self, Data, **kwargs):
''' Compute log soft evidence matrix for Dataset under EstParams.
Returns
---------
L : 2D array, N x K
'''
logphiT = np.log(self.EstParams.phi.T)
if self.DataAtomType == 'doc':
X = Data.getSparseDocTypeCountMatrix()
return X * logphiT
else:
return logphiT[Data.word_id, :]
def updateEstParams_MaxLik(self, SS):
''' Update attribute EstParams for all comps given suff stats.
Update uses the maximum likelihood objective for point estimation.
Post Condition
---------
Attributes K and EstParams updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'EstParams') or self.EstParams.K != SS.K:
self.EstParams = ParamBag(K=SS.K, D=SS.D)
phi = SS.WordCounts / SS.SumWordCounts[:, np.newaxis]
# prevent entries from reaching exactly 0
np.maximum(phi, self.min_phi, out=phi)
self.EstParams.setField('phi', phi, dims=('K', 'D'))
def updateEstParams_MAP(self, SS):
''' Update attribute EstParams for all comps given suff stats.
Update uses the MAP objective for point estimation.
Post Condition
---------
Attributes K and EstParams updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'EstParams') or self.EstParams.K != SS.K:
self.EstParams = ParamBag(K=SS.K, D=SS.D)
phi = SS.WordCounts + self.Prior.lam - 1
phi /= phi.sum(axis=1)[:, np.newaxis]
self.EstParams.setField('phi', phi, dims=('K', 'D'))
def updatePost(self, SS):
''' Update attribute Post for all comps given suff stats.
Update uses the variational objective.
Post Condition
---------
Attributes K and Post updated in-place.
'''
self.ClearCache()
if not hasattr(self, 'Post') or self.Post.K != SS.K:
self.Post = ParamBag(K=SS.K, D=SS.D)
lam = self.calcPostParams(SS)
self.Post.setField('lam', lam, dims=('K', 'D'))
self.K = SS.K
def calcPostParams(self, SS):
''' Calc updated params (lam) for all comps given suff stats
These params define the common-form of the exponential family
Dirichlet posterior distribution over parameter vector phi
Returns
--------
lam : 2D array, size K x D
'''
Prior = self.Prior
lam = SS.WordCounts + Prior.lam[np.newaxis, :]
return lam
def calcPostParamsForComp(self, SS, kA=None, kB=None):
''' Calc params (lam) for specific comp, given suff stats
These params define the common-form of the exponential family
Dirichlet posterior distribution over parameter vector phi
Returns
--------
lam : 1D array, size D
'''
if kB is None:
SM = SS.WordCounts[kA]
else:
SM = SS.WordCounts[kA] + SS.WordCounts[kB]
return SM + self.Prior.lam
def updatePost_stochastic(self, SS, rho):
''' Update attribute Post for all comps given suff stats
Update uses the stochastic variational formula.
Post Condition
---------
Attributes K and Post updated in-place.
'''
assert hasattr(self, 'Post')
assert self.Post.K == SS.K
self.ClearCache()
lam = self.calcPostParams(SS)
Post = self.Post
Post.lam[:] = (1 - rho) * Post.lam + rho * lam
def convertPostToNatural(self):
''' Convert current posterior params from common to natural form
'''
# Dirichlet common equivalent to natural here.
pass
def convertPostToCommon(self):
''' Convert current posterior params from natural to common form
'''
# Dirichlet common equivalent to natural here.
pass
def calcLogSoftEvMatrix_FromPost(self, Data, **kwargs):
''' Calculate expected log soft ev matrix under Post.
Returns
------
L : 2D array, size N x K
'''
ElogphiT = self.GetCached('E_logphiT', 'all') # V x K
doSparse1 = 'activeonlyLP' in kwargs and kwargs['activeonlyLP'] == 2
doSparse2 = 'nnzPerRowLP' in kwargs and \
kwargs['nnzPerRowLP'] > 0 and kwargs['nnzPerRowLP'] < self.K
if doSparse2 and doSparse1:
return dict(ElogphiT=ElogphiT)
else:
E_log_soft_ev = calcLogSoftEvMatrix_FromPost_Static(
Data,
DataAtomType=self.DataAtomType,
ElogphiT=ElogphiT,
**kwargs)
return dict(E_log_soft_ev=E_log_soft_ev, ElogphiT=ElogphiT)
def calcELBO_Memoized(self,
SS,
returnVec=0,
afterGlobalStep=False,
**kwargs):
""" Calculate obsModel's objective using suff stats SS and Post.
Args
-------
SS : bnpy SuffStatBag
afterMStep : boolean flag
if 1, elbo calculated assuming M-step just completed
Returns
-------
obsELBO : scalar float
Equal to E[ log p(x) + log p(phi) - log q(phi)]
"""
elbo = np.zeros(SS.K)
Post = self.Post
Prior = self.Prior
if not afterGlobalStep:
Elogphi = self.GetCached('E_logphi', 'all') # K x V
for k in xrange(SS.K):
elbo[k] = self.prior_cFunc - self.GetCached('cFunc', k)
#elbo[k] = c_Diff(Prior.lam, Post.lam[k])
if not afterGlobalStep:
elbo[k] += np.inner(SS.WordCounts[k] + Prior.lam - Post.lam[k],
Elogphi[k])
if returnVec:
return elbo
return np.sum(elbo)
def logh(self, Data):
''' Calculate reference measure for the multinomial distribution
Returns
-------
logh : scalar float, log h(Data) = \sum_{n=1}^N log [ C!/prod_d C_d!]
'''
raise NotImplementedError('TODO')
def getDatasetScale(self, SS, extraSS=None):
''' Get number of observed scalars in dataset from suff stats.
Used for normalizing the ELBO so it has reasonable range.
Returns
---------
s : scalar positive integer
'''
if extraSS is None:
return SS.SumWordCounts.sum()
else:
return SS.SumWordCounts.sum() - extraSS.SumWordCounts.sum()
def calcCFuncForMergeComp(self, SS, kA=None, kB=None, tmpvec=None):
''' Compute cumulant function value directly from suff stats
Returns
-------
cval : c_Func evaluated on SS[kA] + SS[kB] + priorlam
'''
if tmpvec is None:
tmpvec = SS.WordCounts[kA] + SS.WordCounts[kB]
else:
np.add(SS.WordCounts[kA], SS.WordCounts[kB], out=tmpvec)
tmpvec += self.Prior.lam
gammalnsum = gammaln(np.sum(tmpvec))
return gammalnsum - np.sum(gammaln(tmpvec))
def calcHardMergeGap(self, SS, kA, kB):
''' Calculate change in ELBO after a hard merge applied to this model
Returns
---------
gap : scalar real, indicates change in ELBO after merge of kA, kB
'''
#Prior = self.Prior
#cPrior = c_Func(Prior.lam)
cPrior = self.prior_cFunc
Post = self.Post
cA = c_Func(Post.lam[kA])
cB = c_Func(Post.lam[kB])
cAB = self.calcCFuncForMergeComp(SS, kA, kB)
#lam = self.calcPostParamsForComp(SS, kA, kB)
#cAB = c_Func(lam)
return cA + cB - cPrior - cAB
def calcHardMergeGap_AllPairs(self, SS):
''' Calculate change in ELBO for all candidate hard merge pairs
Returns
---------
Gap : 2D array, size K x K, upper-triangular entries non-zero
Gap[j,k] : scalar change in ELBO after merge of k into j
'''
cPrior = self.prior_cFunc
Post = self.Post
c = np.zeros(SS.K)
for k in xrange(SS.K):
c[k] = c_Func(Post.lam[k])
tmpvec = np.zeros(Post.D)
Gap = np.zeros((SS.K, SS.K))
for j in xrange(SS.K):
for k in xrange(j + 1, SS.K):
cjk = self.calcCFuncForMergeComp(SS, j, k, tmpvec=tmpvec)
#lam = self.calcPostParamsForComp(SS, j, k)
#oldcjk = c_Func(lam)
#assert np.allclose(cjk, oldcjk)
Gap[j, k] = c[j] + c[k] - cPrior - cjk
return Gap
def calcHardMergeGap_SpecificPairs(self, SS, PairList):
''' Calc change in ELBO for specific list of candidate hard merge pairs
Returns
---------
Gaps : 1D array, size L
Gap[j] : scalar change in ELBO after merge of pair in PairList[j]
'''
Gaps = np.zeros(len(PairList))
for ii, (kA, kB) in enumerate(PairList):
Gaps[ii] = self.calcHardMergeGap(SS, kA, kB)
return Gaps
def calcLogMargLikForComp(self, SS, kA, kB=None, **kwargs):
''' Calc log marginal likelihood of data assigned to given component
Args
-------
SS : bnpy suff stats object
kA : integer ID of target component to compute likelihood for
kB : (optional) integer ID of second component.
If provided, we merge kA, kB into one component for calculation.
Returns
-------
logM : scalar real
logM = log p( data assigned to comp kA )
computed up to an additive constant
'''
return -1 * c_Func(self.calcPostParamsForComp(SS, kA, kB))
def calcMargLik(self, SS):
''' Calc log marginal likelihood combining all comps, given suff stats
Returns
--------
logM : scalar real
logM = \sum_{k=1}^K log p( data assigned to comp k | Prior)
'''
return self.calcMargLik_CFuncForLoop(SS)
def calcMargLik_CFuncForLoop(self, SS):
Prior = self.Prior
logp = np.zeros(SS.K)
for k in xrange(SS.K):
lam = self.calcPostParamsForComp(SS, k)
logp[k] = c_Diff(Prior.lam, lam)
return np.sum(logp)
def _cFunc(self, k=None):
''' Compute cached value of cumulant function at desired cluster index.
Args
----
k : int or str or None
None or 'prior' uses the prior parameter
otherwise, uses integer cluster index
Returns
-------
cval : scalar real
'''
if k is None or k == 'prior':
return c_Func(self.Prior.lam)
elif k == 'all':
raise NotImplementedError("TODO")
else:
return c_Func(self.Post.lam[k])
def _E_logphi(self, k=None):
if k is None or k == 'prior':
lam = self.Prior.lam
Elogphi = digamma(lam) - digamma(np.sum(lam))
elif k == 'all':
AMat = self.Post.lam
Elogphi = digamma(AMat) \
- digamma(np.sum(AMat, axis=1))[:, np.newaxis]
else:
Elogphi = digamma(self.Post.lam[k]) - \
digamma(self.Post.lam[k].sum())
return Elogphi
def _E_logphiT(self, k=None):
''' Calculate transpose of topic-word matrix
Important to make a copy of the matrix so it is C-contiguous,
which leads to much much faster matrix operations.
Returns
-------
ElogphiT : 2D array, vocab_size x K
'''
if k is None or k == 'prior':
lam = self.Prior.lam
ElogphiT = digamma(lam) - digamma(np.sum(lam))
elif k == 'all':
ElogphiT = self.Post.lam.T.copy()
digamma(ElogphiT, out=ElogphiT)
digammaColSumVec = digamma(np.sum(self.Post.lam, axis=1))
ElogphiT -= digammaColSumVec[np.newaxis, :]
else:
ElogphiT = digamma(self.Post.lam[k]) - \
digamma(self.Post.lam[k].sum())
assert ElogphiT.flags.c_contiguous
return ElogphiT
def getSerializableParamsForLocalStep(self):
""" Get compact dict of params for local step.
Returns
-------
Info : dict
"""
return dict(inferType=self.inferType,
K=self.K,
DataAtomType=self.DataAtomType)
def fillSharedMemDictForLocalStep(self, ShMem=None):
""" Get dict of shared mem arrays needed for parallel local step.
Returns
-------
ShMem : dict of RawArray objects
"""
ElogphiT = self.GetCached('E_logphiT', 'all') # V x K
K = self.K
if ShMem is None:
ShMem = dict()
if 'ElogphiT' not in ShMem:
ShMem['ElogphiT'] = numpyToSharedMemArray(ElogphiT)
else:
ShMemView = sharedMemToNumpyArray(ShMem['ElogphiT'])
assert ShMemView.shape >= ElogphiT.shape
ShMemView[:, :K] = ElogphiT
return ShMem
def getLocalAndSummaryFunctionHandles(self):
""" Get function handles for local step and summary step
Useful for parallelized algorithms.
Returns
-------
calcLocalParams : f handle
calcSummaryStats : f handle
"""
return calcLocalParams, calcSummaryStats
def calcSmoothedMu(self, X, W=None):
''' Compute smoothed estimate of probability of each word.
Returns
-------
Mu : 1D array, size D (aka vocab_size)
Each entry is non-negative, whole vector sums to one.
'''
if X is None:
Mu = self.Prior.lam.copy()
Mu /= Mu.sum()
return Mu
if X.ndim > 1:
if W is None:
X = np.sum(X, axis=0)
else:
X = np.dot(W, X)
assert X.ndim == 1
assert X.size == self.D
Mu = X + self.Prior.lam
Mu /= Mu.sum()
return Mu
def calcSmoothedBregDiv(self,
X,
Mu,
W=None,
smoothFrac=0.0,
includeOnlyFastTerms=False,
DivDataVec=None,
returnDivDataVec=False,
return1D=False,
**kwargs):
''' Compute Bregman divergence between data X and clusters Mu.
Smooth the data via update with prior parameters.
Keyword Args
------------
includeOnlyFastTerms : boolean
if False, includes all terms in divergence calculation.
Returns Div[n,:] guaranteed to be non-negative.
if True, includes only terms that vary with cluster index k
Returns Div[n,:] equal to divergence up to additive constant
Returns
-------
Div : 2D array, N x K
Div[n,k] = smoothed distance between X[n] and Mu[k]
'''
if X.ndim < 2:
X = X[np.newaxis, :]
assert X.ndim == 2
N = X.shape[0]
if not isinstance(Mu, list):
Mu = (Mu, )
K = len(Mu)
# Compute Div array up to a per-row additive constant indep. of k
Div = np.zeros((N, K))
for k in xrange(K):
Div[:, k] = -1 * np.dot(X, np.log(Mu[k]))
# Compute contribution of prior smoothing
if smoothFrac > 0:
smoothVec = smoothFrac * self.Prior.lam
for k in xrange(K):
Div[:, k] -= np.sum(smoothVec * np.log(Mu[k]))
# Equivalent to -1 * np.dot(MuX, np.log(Mu[k])),
# but without allocating a new matrix MuX
if not includeOnlyFastTerms:
if DivDataVec is None:
# Compute DivDataVec : 1D array of size N
# This is the per-row additive constant indep. of k.
# We do lots of steps in-place, to save memory.
if smoothFrac > 0:
MuX = X + smoothVec
else:
# Add small pos constant so that we never compute np.log(0)
MuX = X + 1e-100
NX = MuX.sum(axis=1)
# First block equivalent to
# DivDataVec = -1 * NX * np.log(NX)
DivDataVec = np.log(NX)
DivDataVec *= -1 * NX
# This next block is equivalent to:
# >>> DivDataVec += np.sum(MuX * np.log(MuX), axis=1)
# but uses in-place operations with faster numexpr library.
NumericUtil.inplaceLog(MuX)
logMuX = MuX
if smoothFrac > 0:
DivDataVec += np.dot(logMuX, smoothVec)
logMuX *= X
XlogMuX = logMuX
DivDataVec += np.sum(XlogMuX, axis=1)
Div += DivDataVec[:, np.newaxis]
# Apply per-atom weights to divergences.
if W is not None:
assert W.ndim == 1
assert W.size == N
Div *= W[:, np.newaxis]
# Verify divergences are strictly non-negative
if not includeOnlyFastTerms:
minDiv = Div.min()
if minDiv < 0:
if minDiv < -1e-6:
raise AssertionError(
"Expected Div.min() to be positive or" + \
" indistinguishable from zero. Instead " + \
" minDiv=% .3e" % (minDiv))
np.maximum(Div, 0, out=Div)
minDiv = Div.min()
assert minDiv >= 0
if return1D:
Div = Div[:, 0]
if returnDivDataVec:
return Div, DivDataVec
return Div
def calcBregDivFromPrior(self, Mu, smoothFrac=0.0):
''' Compute Bregman divergence between Mu and prior mean.
Returns
-------
Div : 1D array, size K
Div[k] = distance between Mu[k] and priorMu
'''
if not isinstance(Mu, list):
Mu = (Mu, )
K = len(Mu)
priorMu = self.Prior.lam / self.Prior.lam.sum()
priorN = (1 - smoothFrac) * (self.Prior.lam[0] / priorMu[0])
Div = np.zeros(K)
for k in xrange(K):
Div[k] = np.sum(priorMu * np.log(priorMu / Mu[k]))
return priorN * Div