class TestSplitModel(unittest.TestCase):
def setUp(self):
self.X = format_covariate_matrix(pd.DataFrame({"a": [1, 2, 3, 4, 5]}))
self.raw_y = np.array([1.0, 2.0, 3.0, 4.0, 5.0])
self.data = Data(format_covariate_matrix(self.X),
self.raw_y,
normalize=True)
normalizing_scale = self.data.y.normalizing_scale
self.model = Model(self.data,
Sigma(0.001,
0.001,
scaling_factor=normalizing_scale),
n_trees=2,
initializer=None)
self.model.initialize_trees()
def test_tree_updating(self):
updated_y = np.ones(5)
self.model.trees[0].update_y(updated_y)
self.assertListEqual(list(self.model.trees[0].nodes[0].data.y.values),
list(updated_y))
def test_trees_initialized_correctly(self):
self.assertEqual(len(self.model.trees), 2)
for tree in self.model.trees:
self.assertEqual(len(tree.nodes), 1)
def setUp(self):
self.X = format_covariate_matrix(pd.DataFrame({"a": [1, 2, 3, 4, 5]}))
self.raw_y = np.array([1.0, 2.0, 3.0, 4.0, 5.0])
self.data = Data(format_covariate_matrix(self.X),
self.raw_y,
normalize=True)
normalizing_scale = self.data.y.normalizing_scale
self.model = Model(self.data,
Sigma(0.001,
0.001,
scaling_factor=normalizing_scale),
n_trees=2,
initializer=None)
self.model.initialize_trees()
def sample(self, model: Model, sigma: Sigma) -> float:
posterior_alpha = sigma.alpha + (model.data.n_obsv / 2.)
posterior_beta = sigma.beta + (0.5 *
(np.sum(np.square(model.residuals()))))
draw = np.power(np.random.gamma(posterior_alpha, 1. / posterior_beta),
-0.5)
return draw
def _construct_model(self, X: np.ndarray, y: np.ndarray) -> Model:
if len(X) == 0 or X.shape[1] == 0:
raise ValueError("Empty covariate matrix passed")
self.data = self._convert_covariates_to_data(X, y)
self.sigma = Sigma(self.sigma_a, self.sigma_b,
self.data.normalizing_scale)
self.model = Model(self.data,
self.sigma,
n_trees=self.n_trees,
alpha=self.alpha,
beta=self.beta)
return self.model
def steps(self, model: Model) -> Generator[Callable[[Model], Sampler], None, None]:
"""
Create a generator of the steps that need to be called to complete a full Gibbs sample
Parameters
----------
model: Model
The model being sampled
Returns
-------
Generator[Callable[[Model], Sampler], None, None]
A generator a function to be called
"""
for tree in model.refreshed_trees():
yield lambda: self.tree_sampler.step(model, tree)
for node in tree.leaf_nodes:
yield lambda: self.leaf_sampler.step(model, node)
yield lambda: self.sigma_sampler.step(model, model.sigma)
def samples(self,
model: Model,
n_samples: int,
n_burn: int,
thin: float = 0.1,
store_in_sample_predictions: bool = True,
store_acceptance: bool = True) -> Chain:
print("Starting burn")
trace_logger = self.trace_logger_class()
for _ in tqdm(range(n_burn)):
self.step(model, trace_logger)
trace = []
model_trace = []
acceptance_trace = []
print("Starting sampling")
thin_inverse = 1. / thin
for ss in tqdm(range(n_samples)):
step_trace_dict = self.step(model, trace_logger)
if ss % thin_inverse == 0:
if store_in_sample_predictions:
in_sample_log = trace_logger["In Sample Prediction"](
model.predict())
if in_sample_log is not None:
trace.append(in_sample_log)
if store_acceptance:
acceptance_trace.append(step_trace_dict)
model_log = trace_logger["Model"](model)
if model_log is not None:
model_trace.append(model_log)
return {
"model": model_trace,
"acceptance": acceptance_trace,
"in_sample_predictions": trace
}
def samples(
self,
model: Model,
n_samples: int,
n_burn: int,
thin: float = 0.1,
store_in_sample_predictions: bool = True
) -> Tuple[List[Model], np.ndarray]:
print("Starting burn")
for _ in tqdm(range(n_burn)):
self.step(model)
trace = []
model_trace = []
print("Starting sampling")
thin_inverse = 1. / thin
for ss in tqdm(range(n_samples)):
self.step(model)
if ss % thin_inverse == 0:
if store_in_sample_predictions:
trace.append(model.predict())
model_trace.append(deep_copy_model(model))
return model_trace, np.array(trace)
def sample(model: Model, sigma: Sigma) -> float:
posterior_alpha = sigma.alpha + (model.data.n_obsv / 2.)
posterior_beta = sigma.beta + (0.5 * (np.sum(np.square(model.residuals()))))
draw = np.power(invgamma.rvs(posterior_alpha, scale=posterior_beta), 0.5)
return draw
def _construct_model(self, X: Union[np.ndarray, pd.DataFrame], y: np.ndarray) -> Model:
self.data = self._convert_covariates_to_data(X, y)
self.sigma = Sigma(self.sigma_a, self.sigma_b, self.data.normalizing_scale)
self.model = Model(self.data, self.sigma, n_trees=self.n_trees, alpha=self.alpha, beta=self.beta)
return self.model