def test_advi(self):
n = 1000
sd0 = 2.
mu0 = 4.
sd = 3.
mu = -5.
data = sd * np.random.randn(n) + mu
d = n / sd**2 + 1 / sd0**2
mu_post = (n * np.mean(data) / sd**2 + mu0 / sd0**2) / d
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
Normal('x', mu=mu_, sd=sd, observed=data)
advi_fit = advi(n=1000, accurate_elbo=False, learning_rate=1e-1)
np.testing.assert_allclose(advi_fit.means['mu'], mu_post, rtol=0.1)
trace = sample_vp(advi_fit, 10000)
np.testing.assert_allclose(np.mean(trace['mu']), mu_post, rtol=0.4)
np.testing.assert_allclose(np.std(trace['mu']), np.sqrt(1. / d), rtol=0.4)
# Test for n < 10
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
Normal('x', mu=mu_, sd=sd, observed=data)
advi_fit = advi(n=5, accurate_elbo=False, learning_rate=1e-1)
def test_advi_optimizer():
n = 1000
sd0 = 2.
mu0 = 4.
sd = 3.
mu = -5.
data = sd * np.random.RandomState(0).randn(n) + mu
d = n / sd**2 + 1 / sd0**2
mu_post = (n * np.mean(data) / sd**2 + mu0 / sd0**2) / d
with Model() as model:
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
Normal('x', mu=mu_, sd=sd, observed=data)
optimizer = adagrad_optimizer(learning_rate=0.1, epsilon=0.1)
advi_fit = advi(model=model, n=1000, optimizer=optimizer, random_seed=1)
np.testing.assert_allclose(advi_fit.means['mu'], mu_post, rtol=0.1)
trace = sample_vp(advi_fit, 10000, model)
np.testing.assert_allclose(np.mean(trace['mu']), mu_post, rtol=0.4)
np.testing.assert_allclose(np.std(trace['mu']), np.sqrt(1. / d), rtol=0.4)
def test_check_discrete(self):
with Model():
switchpoint = DiscreteUniform(
'switchpoint', lower=self.year.min(), upper=self.year.max(), testval=1900)
# Priors for pre- and post-switch rates number of disasters
early_rate = Exponential('early_rate', 1)
late_rate = Exponential('late_rate', 1)
# Allocate appropriate Poisson rates to years before and after current
rate = tt.switch(switchpoint >= self.year, early_rate, late_rate)
Poisson('disasters', rate, observed=self.disaster_data)
# This should raise ValueError
with self.assertRaises(ValueError):
advi(n=10)
def test_check_discrete(self):
with Model():
switchpoint = DiscreteUniform(
'switchpoint', lower=self.year.min(), upper=self.year.max(), testval=1900)
# Priors for pre- and post-switch rates number of disasters
early_rate = Exponential('early_rate', 1)
late_rate = Exponential('late_rate', 1)
# Allocate appropriate Poisson rates to years before and after current
rate = tt.switch(switchpoint >= self.year, early_rate, late_rate)
Poisson('disasters', rate, observed=self.disaster_data)
# This should raise ValueError
with self.assertRaises(ValueError):
advi(n=10)
def test_advi():
n = 1000
sd0 = 2.
mu0 = 4.
sd = 3.
mu = -5.
data = sd * np.random.RandomState(0).randn(n) + mu
d = n / sd**2 + 1 / sd0**2
mu_post = (n * np.mean(data) / sd**2 + mu0 / sd0**2) / d
with Model() as model:
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
x = Normal('x', mu=mu_, sd=sd, observed=data)
advi_fit = advi(
model=model, n=1000, accurate_elbo=False, learning_rate=1e-1,
random_seed=1)
np.testing.assert_allclose(advi_fit.means['mu'], mu_post, rtol=0.1)
trace = sample_vp(advi_fit, 10000, model)
np.testing.assert_allclose(np.mean(trace['mu']), mu_post, rtol=0.4)
np.testing.assert_allclose(np.std(trace['mu']), np.sqrt(1. / d), rtol=0.4)
def test_sample_vp(self):
n_samples = 100
xs = np.random.binomial(n=1, p=0.2, size=n_samples)
with pm.Model():
p = pm.Beta('p', alpha=1, beta=1)
pm.Binomial('xs', n=1, p=p, observed=xs)
v_params = advi(n=1000)
trace = sample_vp(v_params, draws=1, hide_transformed=True)
self.assertListEqual(trace.varnames, ['p'])
trace = sample_vp(v_params, draws=1, hide_transformed=False)
self.assertListEqual(sorted(trace.varnames), ['p', 'p_logodds_'])
def test_sample_vp(self):
n_samples = 100
xs = np.random.binomial(n=1, p=0.2, size=n_samples)
with pm.Model():
p = pm.Beta('p', alpha=1, beta=1)
pm.Binomial('xs', n=1, p=p, observed=xs)
v_params = advi(n=1000)
trace = sample_vp(v_params, draws=1, hide_transformed=True)
self.assertListEqual(trace.varnames, ['p'])
trace = sample_vp(v_params, draws=1, hide_transformed=False)
self.assertListEqual(sorted(trace.varnames), ['p', 'p_logodds_'])
def test_advi(self):
n = 1000
sd0 = 2.
mu0 = 4.
sd = 3.
mu = -5.
data = sd * np.random.randn(n) + mu
d = n / sd**2 + 1 / sd0**2
mu_post = (n * np.mean(data) / sd**2 + mu0 / sd0**2) / d
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
Normal('x', mu=mu_, sd=sd, observed=data)
advi_fit = advi(n=1000, accurate_elbo=False, learning_rate=1e-1)
np.testing.assert_allclose(advi_fit.means['mu'], mu_post, rtol=0.1)
trace = sample_vp(advi_fit, 10000)
np.testing.assert_allclose(np.mean(trace['mu']), mu_post, rtol=0.4)
np.testing.assert_allclose(np.std(trace['mu']),
np.sqrt(1. / d),
rtol=0.4)
h = self.handler
self.assertTrue(h.matches(msg="converged"))
# Test for n < 10
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
Normal('x', mu=mu_, sd=sd, observed=data)
advi_fit = advi(n=5, accurate_elbo=False, learning_rate=1e-1)
# Check to raise NaN with a large learning coefficient
with self.assertRaises(FloatingPointError):
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
Normal('x', mu=mu_, sd=sd, observed=data)
advi_fit = advi(n=1000,
accurate_elbo=False,
learning_rate=1e10)
def build_model():
y = shared(np.array([15, 10, 16, 11, 9, 11, 10, 18], dtype=np.float32))
with Model() as arma_model:
sigma = HalfCauchy('sigma', 5)
theta = Normal('theta', 0, sd=2)
phi = Normal('phi', 0, sd=2)
mu = Normal('mu', 0, sd=10)
err0 = y[0] - (mu + phi * mu)
def calc_next(last_y, this_y, err, mu, phi, theta):
nu_t = mu + phi * last_y + theta * err
return this_y - nu_t
err, _ = scan(fn=calc_next,
sequences=dict(input=y, taps=[-1, 0]),
outputs_info=[err0],
non_sequences=[mu, phi, theta])
Potential('like', Normal.dist(0, sd=sigma).logp(err))
variational.advi(n=2000)
return arma_model
def test_advi(self):
n = 1000
sd0 = 2.
mu0 = 4.
sd = 3.
mu = -5.
data = sd * np.random.randn(n) + mu
d = n / sd**2 + 1 / sd0**2
mu_post = (n * np.mean(data) / sd**2 + mu0 / sd0**2) / d
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
Normal('x', mu=mu_, sd=sd, observed=data)
advi_fit = advi(n=1000, accurate_elbo=False, learning_rate=1e-1)
np.testing.assert_allclose(advi_fit.means['mu'], mu_post, rtol=0.1)
trace = sample_vp(advi_fit, 10000)
np.testing.assert_allclose(np.mean(trace['mu']), mu_post, rtol=0.4)
np.testing.assert_allclose(np.std(trace['mu']), np.sqrt(1. / d), rtol=0.4)
h = self.handler
assert h.matches(msg="converged")
# Test for n < 10
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
Normal('x', mu=mu_, sd=sd, observed=data)
advi_fit = advi(n=5, accurate_elbo=False, learning_rate=1e-1)
# Check to raise NaN with a large learning coefficient
with pytest.raises(FloatingPointError):
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
Normal('x', mu=mu_, sd=sd, observed=data)
advi_fit = advi(n=1000, accurate_elbo=False, learning_rate=1e10)
def fit(self, n_steps=30000):
"""
Creates a Bayesian Estimation model for replicate measurements of
treatment(s) vs. control.
Parameters
----------
n_steps : int
The number of steps to run ADVI.
"""
sample_names = set(self.data[self.sample_col].values)
sample_names.remove(self.baseline_name)
with Model() as model:
# Hyperpriors
upper = Exponential('upper', lam=0.05)
nu = Exponential('nu_minus_one', 1 / 29.) + 1
# "fold", which is the estimated fold change.
fold = Uniform('fold',
lower=1E-10,
upper=upper,
shape=len(sample_names))
# Assume that data have heteroskedastic (i.e. variable) error but
# are drawn from the same HalfCauchy distribution.
sigma = HalfCauchy('sigma', beta=1, shape=len(sample_names))
# Model prediction
mu = fold[self.data['indices']]
sig = sigma[self.data['indices']]
# Data likelihood
like = StudentT('like',
nu=nu,
mu=mu,
sd=sig**-2,
observed=self.data[self.output_col])
self.model = model
with model:
params = advi(n=n_steps)
trace = sample_vp(params, draws=2000)
self.trace = trace
def test_sample_vp():
n_samples = 100
rng = np.random.RandomState(0)
xs = rng.binomial(n=1, p=0.2, size=n_samples)
with pm.Model() as model:
p = pm.Beta('p', alpha=1, beta=1)
pm.Binomial('xs', n=1, p=p, observed=xs)
v_params = advi(n=1000)
with model:
trace = sample_vp(v_params, hide_transformed=True)
assert (set(trace.varnames) == set('p'))
with model:
trace = sample_vp(v_params, hide_transformed=False)
assert (set(trace.varnames) == set(('p', 'p_logodds_')))
def test_sample_vp():
n_samples = 100
rng = np.random.RandomState(0)
xs = rng.binomial(n=1, p=0.2, size=n_samples)
with pm.Model() as model:
p = pm.Beta('p', alpha=1, beta=1)
pm.Binomial('xs', n=1, p=p, observed=xs)
v_params = advi(n=1000)
with model:
trace = sample_vp(v_params, hide_transformed=True)
assert(set(trace.varnames) == set('p'))
with model:
trace = sample_vp(v_params, hide_transformed=False)
assert(set(trace.varnames) == set(('p', 'p_logodds_')))
def test_advi_optimizer(self):
n = 1000
sd0 = 2.
mu0 = 4.
sd = 3.
mu = -5.
data = sd * np.random.randn(n) + mu
d = n / sd**2 + 1 / sd0**2
mu_post = (n * np.mean(data) / sd**2 + mu0 / sd0**2) / d
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
Normal('x', mu=mu_, sd=sd, observed=data)
optimizer = adagrad_optimizer(learning_rate=0.1, epsilon=0.1)
advi_fit = advi(n=1000, optimizer=optimizer)
np.testing.assert_allclose(advi_fit.means['mu'], mu_post, rtol=0.1)
trace = sample_vp(advi_fit, 10000)
np.testing.assert_allclose(np.mean(trace['mu']), mu_post, rtol=0.4)
np.testing.assert_allclose(np.std(trace['mu']), np.sqrt(1. / d), rtol=0.4)
err0 = y[0] - (mu + phi*mu)
def calc_next(last_y, this_y, err, mu, phi, theta):
nu_t = mu + phi*last_y + theta*err
return this_y - nu_t
err, _ = scan(fn=calc_next,
sequences=dict(input=y, taps=[-1,0]),
outputs_info=[err0],
non_sequences=[mu, phi, theta])
like = Potential('like', Normal.dist(0, sd=sigma).logp(err))
with arma_model:
mu, sds, elbo = variational.advi(n=2000)
def run(n=1000):
if n == "short":
n = 50
with arma_model:
trace = sample(1000)
burn = n/10
traceplot(trace[burn:])
plots.summary(trace[burn:])
