def binom_model(df):
# todo: make sure this works ok
with pm.Model() as disaster_model:
switchpoint = pm.DiscreteUniform('switchpoint',
lower=df['t'].min(),
upper=df['t'].max())
# Priors for pre- and post-switch probability of "yes"...is there a better prior?
early_rate = pm.Beta('early_rate', 1, 1)
late_rate = pm.Beta('late_rate', 1, 1)
# Allocate appropriate probabilities to periods before and after current
p = pm.math.switch(switchpoint >= df['t'].values, early_rate,
late_rate)
p = pm.Deterministic('p', p)
successes = pm.Binomial('successes',
n=df['n'].values,
p=p,
observed=df['category'].values)
trace = pm.sample(10000)
pm.traceplot(trace)
plt.show()
def uniform_model(df):
"""
The switchpoint is modeled using a Discrete Uniform distribution.
The observed data is modeled using the Normal distribution (likelihood).
The priors are each assumed to be exponentially distributed.
"""
alpha = 1.0 / df['score'].mean()
beta = 1.0 / df['score'].std()
t = df['t_encoded'].values
with pm.Model() as model:
switchpoint = pm.DiscreteUniform("switchpoint",
lower=df['t_encoded'].min(),
upper=df['t_encoded'].max())
mu_1 = pm.Exponential("mu_1", alpha)
mu_2 = pm.Exponential("mu_2", alpha)
sd_1 = pm.Exponential("sd_1", beta)
sd_2 = pm.Exponential("sd_2", beta)
mu = pm.math.switch(switchpoint >= t, mu_1, mu_2)
sd = pm.math.switch(switchpoint >= t, sd_1, sd_2)
X = pm.Normal('x', mu=mu, sd=sd, observed=df['score'].values)
trace = pm.sample(20000)
pm.traceplot(trace[1000:],
varnames=['switchpoint', 'mu_1', 'mu_2', 'sd_1', 'sd_2'])
plt.show()
def build_disaster_model(masked=False):
# fmt: off
disasters_data = np.array([4, 5, 4, 0, 1, 4, 3, 4, 0, 6, 3, 3, 4, 0, 2, 6,
3, 3, 5, 4, 5, 3, 1, 4, 4, 1, 5, 5, 3, 4, 2, 5,
2, 2, 3, 4, 2, 1, 3, 2, 2, 1, 1, 1, 1, 3, 0, 0,
1, 0, 1, 1, 0, 0, 3, 1, 0, 3, 2, 2, 0, 1, 1, 1,
0, 1, 0, 1, 0, 0, 0, 2, 1, 0, 0, 0, 1, 1, 0, 2,
3, 3, 1, 1, 2, 1, 1, 1, 1, 2, 4, 2, 0, 0, 1, 4,
0, 0, 0, 1, 0, 0, 0, 0, 0, 1, 0, 0, 1, 0, 1])
# fmt: on
if masked:
disasters_data[[23, 68]] = -1
disasters_data = np.ma.masked_values(disasters_data, value=-1)
years = len(disasters_data)
with pm.Model() as model:
# Prior for distribution of switchpoint location
switchpoint = pm.DiscreteUniform("switchpoint", lower=0, upper=years)
# Priors for pre- and post-switch mean number of disasters
early_mean = pm.Exponential("early_mean", lam=1.0)
late_mean = pm.Exponential("late_mean", lam=1.0)
# Allocate appropriate Poisson rates to years before and after current
# switchpoint location
idx = np.arange(years)
rate = tt.switch(switchpoint >= idx, early_mean, late_mean)
# Data likelihood
pm.Poisson("disasters", rate, observed=disasters_data)
return model
def coal_mining_desaster(modelname='pymc3_coal_mining_disaster_model'):
"""TODO: Documentation here. why is there two returned models? what for?"""
# data
disasters = np.array([
4, 5, 4, 0, 1, 4, 3, 4, 0, 6, 3, 3, 4, 0, 2, 6, 3, 3, 5, 4, 5, 3, 1, 4,
4, 1, 5, 5, 3, 4, 2, 5, 2, 2, 3, 4, 2, 1, 3, 3, 2, 1, 1, 1, 1, 3, 0, 0,
1, 0, 1, 1, 0, 0, 3, 1, 0, 3, 2, 2, 0, 1, 1, 1, 0, 1, 0, 1, 0, 0, 0, 2,
1, 0, 0, 0, 1, 1, 0, 2, 3, 3, 1, 2, 2, 1, 1, 1, 1, 2, 4, 2, 0, 0, 1, 4,
0, 0, 0, 1, 0, 0, 0, 0, 0, 1, 0, 0, 1, 0, 1
])
years = np.arange(1851, 1962)
data = pd.DataFrame({'years': years, 'disasters': disasters})
years = theano.shared(years)
with pm.Model() as disaster_model:
switchpoint = pm.DiscreteUniform('switchpoint',
lower=years.min(),
upper=years.max(),
testval=1900)
# Priors for pre- and post-switch rates number of disasters
early_rate = pm.Exponential('early_rate', 1.0)
late_rate = pm.Exponential('late_rate', 1.0)
# Allocate appropriate Poisson rates to years before and after current
rate = pm.math.switch(switchpoint >= years, early_rate, late_rate)
disasters = pm.Poisson('disasters', rate, observed=data['disasters'])
# years = pm.Normal('years', mu=data['years'], sd=0.1, observed=data['years'])
model = ProbabilisticPymc3Model(modelname,
disaster_model,
shared_vars={'years': years})
model_fitted = model.copy(name=modelname + '_fitted').fit(data)
return model, model_fitted
def main(imagePath, hashmethod = hashmethod_example, num_rect = 1):
image = Image.open(imagePath)
hashobj = hashmethod(image)
@as_op(itypes=[tt.lvector, tt.lvector, tt.lvector], otypes=[tt.lvector])
def evaluate(xpositions, ypositions, colors):
im = Image.new('RGB', (image.width, image.height))
draw = ImageDraw.Draw(im)
for i in range(num_rect):
x1, x2 = xpositions[i*2:i*2+2]
y1, y2 = ypositions[i*2:i*2+2]
r, g, b = colors[i*3:i*3+3]
draw.rectangle([(x1, y1), (x2, y2)], fill=(r, g, b))
del draw
return hashmethod(im)
with pm.Model() as model:
# Priors
xpositions = pm.DiscreteUniform('xpositions', lower=0, upper=image.width-1, shape=2*num_rect)
ypositions = pm.DiscreteUniform('ypositions', lower=0, upper=image.height-1, shape=2*num_rect)
colors = pm.DiscreteUniform('colors', lower=0, upper=255, shape=3*num_rect)
hashval = evaluate(xpositions, ypositions, colors)
# Data likelihood
hashobj_obs = pm.Poisson('objective', hashval, observed=hashobj)
step = pm.Metropolis([xpositions, ypositions])
step2 = pm.Metropolis([colors])
# # Initial values for stochastic nodes
start = {
'xpositions': [random.randrange(image.width) for _ in range(2*num_rect)],
'ypositions': [random.randrange(image.height) for _ in range(2*num_rect)],
'colors': [random.randrange(256) for _ in range(3*num_rect)]
}
tr = pm.sample(200, tune=100, start=start, step=[step, step2], cores=2)
pm.traceplot(tr)
import matplotlib.pyplot as plt
plt.show()
def laser_late_trials(data, num_emissions):
# Make the pymc3 model
with pm.Model() as model:
# Dirichlet prior on the emission/spiking probabilities - 4 states
p = pm.Dirichlet('p', np.ones(num_emissions), shape=(4, num_emissions))
# Discrete Uniform switch times
# Switch from detection to identity firing
t1 = pm.DiscreteUniform('t1', lower=20, upper=60)
# Switch from identity to palatability firing
t2 = pm.DiscreteUniform('t2', lower=t1 + 20, upper=120)
# Switch from palatability firing to end
t3 = pm.DiscreteUniform('t3', lower=t2 + 30, upper=150)
# Add potentials to keep the switch times from coming too close to each other
#t_pot1 = pm.Potential('t_pot1', tt.switch(t2 - t1 >= 20, 0, -np.inf))
#t_pot2 = pm.Potential('t_pot2', tt.switch(t3 - t2 >= 20, 0, -np.inf))
#t_pot3 = pm.Potential('t_pot3', tt.switch(t3 - t1 >= 40, 0, -np.inf))
# Get the actual state numbers based on the switch times
states1 = tt.switch(t1 >= np.arange(150), 0, 1)
states2 = tt.switch(t2 >= np.arange(150), states1, 2)
states = tt.switch(t3 >= np.arange(150), states2, 3)
# Categorical observations
obs = pm.Categorical('obs',
p=p[states],
observed=np.append(data[:140], data[190:]))
# Inference button :D
with model:
tr = pm.sample(300000,
init=None,
step=pm.Metropolis(),
njobs=2,
start={
't1': 25,
't2': 75,
't3': 125
},
progressbar=False)
# Return the inference!
return model, tr[250000:]
def find_changepoint(self):
niter_vec = [5000, 2000, 2000, 3000]
niter = niter_vec[self.case]
data = self.data
#initialize defaultdict for change point priors
tau = defaultdict(list)
#initialize defaultdict for uniform priors
u = defaultdict(list)
#time array
t = np.arange(0, self.N)
with pm.Model() as model: # context management
#define uniform priors for mean values/standard deviation
#depending on the type of problem
for i in range(self.ncpt + 1):
if (not self.type == "1-cpt-var"
and not self.type == "normal-var"):
varname = "mu" + str(i + 1)
u[i] = pm.Uniform(varname, 650, 1200)
else:
varname = "sigma" + str(i + 1)
u[i] = pm.Uniform(varname, 5., 60.)
#define switch function
for i in range(self.ncpt):
varname = "tau" + str(i + 1)
if (i == 0):
tmin = t.min()
switch_function = u[0]
else:
tmin = tau[i - 1]
tau[i] = pm.DiscreteUniform(varname, tmin, t.max())
switch_function = T.switch(tau[i] >= t, switch_function,
u[i + 1])
#we are finally in a position to define the mu and sigma random variables
if (not self.type == "1-cpt-var"
and not self.type == "normal-var"):
mu = switch_function
sigma = pm.Uniform("sigma", 1, 60)
else:
mu = pm.Uniform("mu", 600, 1500)
sigma = switch_function
#define log-likelihood function
logp = - T.log(sigma * T.sqrt(2.0 * np.pi)) \
- T.sqr(data - mu) / (2.0 * sigma * sigma)
def logp_func(data):
return logp.sum()
#evaluate log-likelihood given the observed data
L_obs = pm.DensityDist('L_obs', logp_func, observed=data)
self.trace = pm.sample(niter, random_seed=123, progressbar=True)
def bayes_multiple_detector(t, s, n):
scala = 1000
with pm.Model() as abrupt_model:
sigma = pm.Normal('sigma', mu=0.02 * scala, sigma=0.015 * scala)
# sigma = pm.Uniform('sigma', 5, 15)
mu = pm.Uniform("mu1", -1.5 * scala, -1.4 * scala)
tau = pm.DiscreteUniform("tau" + "1", t.min(), t.max())
for i in np.arange(2, n + 2):
_mu = pm.Uniform("mu" + str(i), -1.6 * scala, -1.4 * scala)
mu = T.switch(tau >= t, mu, _mu)
if (i < (n + 1)):
tau = pm.DiscreteUniform("tau" + str(i), tau, t.max())
s_obs = pm.Normal("s_obs", mu=mu, sigma=sigma, observed=s)
with abrupt_model:
pm.find_MAP()
trace = pm.sample(20000, tune=5000)
az.plot_trace(trace)
az.to_netcdf(trace, getpath('tracepath') + 'bd9_4')
plt.show()
pm.summary(trace)
return trace
def run_model(steps=10000):
model = pymc.Model()
with model:
α = 1 / count_data.mean()
λ1 = pymc.Exponential("λ1", α)
λ2 = pymc.Exponential("λ2", α)
τ = pymc.DiscreteUniform("τ", lower=0.0, upper=len(count_data))
process_mean = mean(τ, λ1, λ2)
observation = pymc.Poisson("observation", process_mean, observed=count_data)
start = {"λ1": 10.0, "λ2": 30.0}
step1 = pymc.Slice([λ1, λ2])
step2 = pymc.Metropolis([τ])
trace = pymc.sample(steps, tune=500, start=start, step=[step1, step2], cores=2)
return pymc.trace_to_dataframe(trace)
def pymc3_dist(self, name, hypers):
lower = self.lower
upper = self.upper
if(len(hypers) == 1):
hyper_dist = hypers[0][0]
hyper_name = hypers[0][1]
idx = hypers[0][2]
if(idx == 0):
lower = hyper_dist.pymc3_dist(hyper_name, [])
else:
upper = hyper_dist.pymc3_dist(hyper_name, [])
elif(len(hypers) == 2):
hyper_dist_1 = hypers[0][0]
hyper_name_1 = hypers[0][1]
hyper_dist_2 = hypers[1][0]
hyper_name_2 = hypers[1][1]
lower = hyper_dist_1.pymc3_dist(hyper_name_1, [])
upper = hyper_dist_2.pymc3_dist(hyper_name_2, [])
if(self.num_elements==-1):
return pm.DiscreteUniform(name, lower=lower, upper=upper)
else:
return pm.DiscreteUniform(name, lower=lower, upper=upper, shape=self.num_elements)
def bayes_single_detector(t, s):
with pm.Model() as abrupt_model:
steppoint = pm.DiscreteUniform("steppoint",
lower=t[1],
upper=t[-1],
testval=50)
early_mu = pm.Uniform("early_mu", -50, 50)
late_mu = pm.Uniform("late_mu", -50, 50)
mu = pm.math.switch(steppoint >= t, early_mu, late_mu)
sigma = pm.Normal('sigma', mu=30, sigma=20)
s_obs = pm.Normal("s_obs", mu=mu, sigma=sigma, observed=s)
with abrupt_model:
trace = pm.sample(1000)
az.plot_trace(trace)
plt.show()
return trace
def infer(some_count_data):
"""
Docstring: Run bayesian inference on any count data. Outputs distributions/trace plots of
lambda_1, lambda_2 and tau in addition to returning a list of expected values
to be able to plot observed vs expected
source: https://nbviewer.jupyter.org/github/CamDavidsonPilon/Probabilistic-Programming-and-Bayesian-Methods-for-Hackers/blob/master/Chapter1_Introduction/Ch1_Introduction_PyMC3.ipynb
"""
n_count_data = len(some_count_data)
with pm.Model() as model:
alpha = 1.0 / some_count_data.mean()
lambda_1 = pm.Exponential("lambda_1", alpha)
lambda_2 = pm.Exponential("lambda_2", alpha)
tau = pm.DiscreteUniform("tau", lower=0, upper=n_count_data - 1)
#with model:
idx = np.arange(n_count_data)
lambda_ = pm.math.switch(tau > idx, lambda_1, lambda_2)
#with model:
observation = pm.Poisson("obs", lambda_, observed=some_count_data)
#with model:
step = pm.Metropolis()
trace = pm.sample(10000, tune=5000, step=step)
lambda_1_samples = trace['lambda_1']
lambda_2_samples = trace['lambda_2']
tau_samples = trace['tau']
print(pm.gelman_rubin(trace))
pm.traceplot(trace)
N = tau_samples.shape[0]
expected_violence = np.zeros(n_count_data)
for day in range(0, n_count_data):
# ix is a bool index of all tau samples corresponding to
# the switchpoint occurring prior to value of 'day'
ix = day < tau_samples
# Each posterior sample corresponds to a value for tau.
# for each day, that value of tau indicates whether we're "before"
# (in the lambda1 "regime") or
# "after" (in the lambda2 "regime") the switchpoint.
# by taking the posterior sample of lambda1/2 accordingly, we can average
# over all samples to get an expected value for lambda on that day.
# As explained, the "count" random variable is Poisson distributed,
# and therefore lambda (the poisson parameter) is the expected value of
# "count".
expected_violence[day] = (lambda_1_samples[ix].sum() +
lambda_2_samples[~ix].sum()) / N
return expected_violence
def baysian_latency(count_data):
import pymc3 as pm
import theano.tensor as tt
n_count_data = len(count_data)
with pm.Model() as model:
alpha = 1.0 / count_data.mean() # Recall count_data is the
# variable that holds our txt counts
lambda_1 = pm.Exponential("lambda_1", alpha)
lambda_2 = pm.Exponential("lambda_2", alpha)
tau = pm.DiscreteUniform("tau", lower=0, upper=n_count_data - 1)
with model:
idx = np.arange(n_count_data) # Index
lambda_ = pm.math.switch(tau >= idx, lambda_1, lambda_2)
observation = pm.Poisson("obs", lambda_, observed=count_data)
step = pm.Metropolis()
trace = pm.sample(10000, tune=5000, step=step)
return trace
def make_switchpoint_model(counts: ndarray, prior_lambda: float):
"""
A model that assumes counts are generated by 2 different poisson processes:
* counts up to switchpoint (not inclusive) ~ Poisson(early_rate)
* counts from switchpoint on (inclusive) ~ Poisson(late_rate)
Parameters
----------
counts :
1 - dimensional array of counts
prior_lambda :
rate parameter for exponential prior; 1 / prior_lambda is the mean of the exponential
Returns
-------
pm.Model :
the model instance
Based on https://docs.pymc.io/notebooks/getting_started.html#Case-study-2:-Coal-mining-disasters
"""
model = pm.Model()
with model:
idxs = np.arange(len(counts))
lower_idx = idxs[1]
upper_idx = idxs[-1]
mid = (upper_idx - lower_idx) // 2
switchpoint = pm.DiscreteUniform("switchpoint",
lower=lower_idx,
upper=upper_idx,
testval=mid)
early_rate = pm.Exponential("early_rate", prior_lambda)
late_rate = pm.Exponential("late_rate", prior_lambda)
rate = pm.math.switch(switchpoint > idxs, early_rate, late_rate)
pm.Poisson("counted", rate, observed=counts)
return model
def single_model(self, idx):
minimum = 0.
maximum = 8.
sample_space = np.arange(minimum, maximum + 1, 1)
sample_space = 1. / 10**(sample_space / 4.)
with pm.Model() as smodel:
# uniform priors on h
hab_ten = pm.DiscreteUniform('h', 0., 8.)
# convert to a tensor
alpha = tt.as_tensor_variable([10**(hab_ten / 4.)])
probs_a, probs_r = self.inferrer(alpha)
# use a DensityDist
pm.Categorical('actions', probs_a, observed=self.actions[idx])
pm.Categorical('rewards', probs_r, observed=self.rewards[idx])
return smodel, sample_space
def gev0_shift_1(dataset):
locm = dataset.mean()
locs = dataset.std() / (np.sqrt(len(dataset)))
scalem = dataset.std()
scales = dataset.std() / (np.sqrt(2 * (len(dataset) - 1)))
with pm.Model() as model:
# Priors for unknown model parameters
c1 = pm.Beta(
'c1', alpha=6, beta=9
) # c=x-0,5: transformation in gev_logp is required due to Beta domain between 0 and 1
loc1 = pm.Normal('loc1', mu=locm, sd=locs)
scale1 = pm.Normal('scale1', mu=scalem, sd=scales)
c2 = pm.Beta('c2', alpha=6, beta=9)
loc2 = pm.Normal('loc2', mu=locm, sd=locs)
scale2 = pm.Normal('scale2', mu=scalem, sd=scales)
def gev_logp(value):
scaled = (value - loc_) / scale_
logp = -(tt.log(scale_) +
(((c_ - 0.5) + 1) / (c_ - 0.5) * tt.log1p(
(c_ - 0.5) * scaled) +
(1 + (c_ - 0.5) * scaled)**(-1 / (c_ - 0.5))))
bound1 = loc_ - scale_ / (c_ - 0.5)
bounds = tt.switch((c_ - 0.5) > 0, value > bound1, value < bound1)
return bound(logp, bounds, c_ != 0)
tau = pm.DiscreteUniform("tau", lower=0, upper=n_count_data - 1)
idx = np.arange(n_count_data)
c_ = pm.math.switch(tau > idx, c1, c2)
loc_ = pm.math.switch(tau > idx, loc1, loc2)
scale_ = pm.math.switch(tau > idx, scale1, scale2)
gev = pm.DensityDist('gev', gev_logp, observed=dataset)
trace = pm.sample(1000, chains=1, progressbar=True)
# geweke_plot = pm.geweke(trace, 0.05, 0.5, 20)
# gelman_and_rubin = pm.diagnostics.gelman_rubin(trace)
posterior = pm.trace_to_dataframe(trace)
summary = pm.summary(trace)
return summary, posterior
def switch_test(current, sample_num=1000):
with pm.Model() as switch_point:
#sps = pm.Poisson('points', 0)
#ragnes = np.random.randint(years.min(),years.max(), sps)
current_data = current[0]
time = current[1]
switchpoint = pm.DiscreteUniform('switchpoint', lower=time.min(), upper=time.max())
# Priors for pre- and post-switch rates number of disasters
early_rate = pm.Normal('early_rate', mu=0, sd=1000)
late_rate = pm.Normal('late_rate', mu=0, sd=1000)
# Allocate appropriate Poisson rates to years before and after current
rate = pm.math.switch(switchpoint >= time, early_rate, late_rate)
switch_points = pm.Normal('current', mu=rate, sd=70, observed=current_data)
trace = pm.sample(sample_num) if sample_num < 5000 else pm.sample(5000)
return [trace['switchpoint'].mean(), trace['switchpoint'].std(),
trace['early_rate'].mean(), trace['early_rate'].std(),
trace['late_rate'].mean(), trace['late_rate'].std()]
def poisson_model():
with pm.Model() as disaster_model:
switchpoint = pm.DiscreteUniform('switchpoint',
lower=year.min(),
upper=year.max(),
testval=1900)
# Priors for pre- and post-switch rates number of disasters
early_rate = pm.Exponential('early_rate', 1)
late_rate = pm.Exponential('late_rate', 1)
# Allocate appropriate Poisson rates to years before and after current
rate = pm.math.switch(switchpoint >= year, early_rate, late_rate)
disasters = pm.Poisson('disasters', rate, observed=disaster_data)
trace = pm.sample(10000)
pm.traceplot(trace)
plt.show()
def infer_lambda(self):
"""
Ci ~ Poisson(lambda)
Is there a day ("tau") where the lambda suddenly jumps to a higher value?
We are looking for a 'switchpoint' s.t. lambda
(1) (lambda_1 if t < tau) and (lambda_2 if t > tau)
(2) lambda_2 > lambda_1
lambda_1 ~ Exponential(alpha)
lambda_2 ~ Exponential(alpha)
tau ~ Discrete_uniform(1/n_count_data)
"""
print("Infer with PyMC3...")
with pm.Model() as model:
## assign lambdas and tau to stochastic variables
alpha = 1.0 / self.count_data.mean()
lambda_1 = pm.Exponential("lambda_1", alpha)
lambda_2 = pm.Exponential("lambda_2", alpha)
tau = pm.DiscreteUniform("tau", lower=0, upper=self.n_count_data)
## create a combined function for lambda (it is still a random variable)
idx = np.arange(self.n_count_data) # Index
lambda_ = pm.math.switch(tau >= idx, lambda_1, lambda_2)
## combine the data with our proposed data generation scheme
observation = pm.Poisson("obs", lambda_, observed=self.count_data)
## inference
step = pm.Metropolis()
self.trace = pm.sample(10000, tune=5000, step=step)
## get the variables we want to plot from our trace
self.lambda_1_samples = self.trace['lambda_1']
self.lambda_2_samples = self.trace['lambda_2']
self.tau_samples = self.trace['tau']
def bayesian_tipping_point(obs_data):
"""
:param obs_data: 1-d numpy array containing the daily precipitation data
:return: summary of sampled values and trace itself
"""
n_dd = obs_data.shape[0]
idx = np.arange(n_dd)
with pm.Model() as model:
alpha_1 = pm.Uniform("alpha_1", lower=0, upper=10)
alpha_2 = pm.Uniform("alpha_2", lower=0, upper=10)
beta_1 = pm.Uniform("beta_1", lower=0, upper=10)
beta_2 = pm.Uniform("beta_2", lower=0, upper=10)
pi_1 = pm.Uniform("pi_1", lower=0, upper=0.9)
pi_2 = pm.Uniform("pi_2", lower=0, upper=0.9)
tau = pm.DiscreteUniform("tau", lower=365 * (5/4.), upper=n_dd - 365 * (5/4.))
alpha_ = pm.math.switch(tau >= idx, alpha_1, alpha_2)
beta_ = pm.math.switch(tau >= idx, beta_1, beta_2)
pi_ = pm.math.switch(tau >= idx, pi_1, pi_2)
observation = ZeroInflatedGamma("obs", alpha=alpha_, beta=beta_, pi=pi_, observed=obs_data)
step = pm.NUTS()
trace = pm.sample(5000, tune=20000, step=step, nuts_kwargs=dict(target_accept=.9))
summary = pm.stats.summary(trace)
return summary, trace
def main():
with pm.Model() as model:
xl1 = pm.DiscreteUniform('xl1', lower=0,upper=500)
yl1 = pm.DiscreteUniform('yl1', lower=150,upper=500)
θl1 = pm.DiscreteUniform('θl1', lower=-100,upper=100)
xl2 = pm.DiscreteUniform('xl2', lower=0,upper=500)
yl2 = pm.DiscreteUniform('yl2', lower=150,upper=500)
θl2 = pm.DiscreteUniform('θl2', lower=-100,upper=100)
obs = pm.Normal('obs',
mu=simulation(xl1, yl1, θl1, xl2, yl2, θl2),
sigma=.001, observed=484)
trace = pm.sample(10,tune=2000,cores=2)
def print_and_visualize(t):
print(t)
visualize_simulation(t['xl1'], t['yl1'], t['θl1'],
t['xl2'], t['yl2'], t['θl2'])
[print_and_visualize(t) for t in trace]
cpt_smry = pm.summary(cpt_trace)
pm.traceplot(cpt_trace)
spp = pm.sample_posterior_predictive(cpt_trace, samples=1000, progressbar=False, var_names=['w', 'theta', 'obs'])
n = len(cpf)
cpf = data[['ds', 'y']].set_index('ds').resample('7D').sum().reset_index()
_, _, _, _, cpf['t'] = set_times(cpf) # add 't'
g = np.gradient(cpf['y'].values) # trend
cpf['w_trend'] = np.abs(g) / np.sum(np.abs(g)) # changepoint density at each point
cpf['trend'] = g
alpha = 1.0 / cpf['w_trend'].mean()
beta = 1.0 / cpf['w_trend'].std()
t = np.range(0, n)
with pm.Model() as my_model:
switchpoint = pm.DiscreteUniform("switchpoint", lower=0, upper=cpf['t'].max(), shape=10)
for i in range(n):
mu_name = 'mu_' + str(i)
setattr(my_model, mu_name, pm.Exponential(mu_name, alpha))
sd_name = 'sd_' + str(i)
setattr(my_model, sd_name, pm.Exponential(sd_name, beta))
t = 0
for i in range(n):
mu = pm.switch(switchpoint >= t, mu_1, mu_2 )
var = pm.switch(switchpoint >= t, sd_1, sd_2 )
obs = pm.Normal('x',mu=mu,sd=sd,observed=data)
with model:
step1 = pm.NUTS( [mu_1, mu_2, sd_1, sd_2] )
step2 = pm.Metropolis( [switchpoint] )
import pymc3 as pm
import arviz as az
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
#Gather and transform data
data_path = '/home/gerardo/Desktop/Projects/PGA-Analysis/data/driving-data/driving-data.csv'
raw_data = pd.read_csv(data_path)
data = raw_data['average_driving_distance'].to_numpy()
#Declare model
with pm.Model() as model:
#Switchpoint
tau = pm.DiscreteUniform("tau", lower=0, upper=len(data) - 1)
#Prior when t <= tau
mu_1 = pm.Normal("mu_1", mu=280, sd=20)
sd_1 = pm.HalfNormal("sd_1", sigma=40)
#Prior when t > tau
mu_2 = pm.Normal("mu_2", mu=280, sd=20)
sd_2 = pm.HalfNormal("sd_2", sigma=40)
#Observations
idx = np.arange(len(data))
mu_t = pm.math.switch(tau > idx, mu_1, mu_2)
sd_t = pm.math.switch(tau > idx, sd_1, sd_2)
observations = pm.Normal("observations", mu=mu_t, sd=sd_t, observed=data)
#Perform inference
with model:
step = pm.NUTS()
trace = pm.sample(50000, tune=5000, step=step)
"""
Comparing models using Hierarchical modelling.
"""
from __future__ import division
import numpy as np
import pymc3 as pm
import matplotlib.pyplot as plt
from plot_post import plot_post
## specify the Data
y = np.repeat([0, 1], [3, 6]) # 3 tails 6 heads
with pm.Model() as model:
# Hyperhyperprior:
model_index = pm.DiscreteUniform('model_index', lower=0, upper=1)
# Hyperprior:
kappa_theta = 12
mu_theta = pm.switch(pm.eq(model_index, 1), 0.25, 0.75)
# Prior distribution:
a_theta = mu_theta * kappa_theta
b_theta = (1 - mu_theta) * kappa_theta
theta = pm.Beta('theta', a_theta,
b_theta) # theta distributed as beta density
#likelihood
y = pm.Bernoulli('y', theta, observed=y)
start = pm.find_MAP()
step = pm.Metropolis()
trace = pm.sample(10000, step, start=start, progressbar=False)
## Check the results.
burnin = 2000 # posterior samples to discard
])
years = len(disasters_data)
@as_op(itypes=[tt.lscalar, tt.dscalar, tt.dscalar], otypes=[tt.dvector])
def rate_(switchpoint, early_mean, late_mean):
out = empty(years)
out[:switchpoint] = early_mean
out[switchpoint:] = late_mean
return out
with pm.Model() as model:
# Prior for distribution of switchpoint location
switchpoint = pm.DiscreteUniform('switchpoint', lower=0, upper=years)
# Priors for pre- and post-switch mean number of disasters
early_mean = pm.Exponential('early_mean', lam=1.)
late_mean = pm.Exponential('late_mean', lam=1.)
# Allocate appropriate Poisson rates to years before and after current
# switchpoint location
idx = arange(years)
rate = rate_(switchpoint, early_mean, late_mean)
# Data likelihood
disasters = pm.Poisson('disasters', rate, observed=disasters_data)
# Use slice sampler for means
step1 = pm.Slice([early_mean, late_mean])
# Use Metropolis for switchpoint, since it accomodates discrete variables
import numpy as np
from matplotlib import pyplot as plt
import scipy.stats as stats
import pymc3 as pm
import theano.tensor as tt
count_data = np.loadtxt("data/txtdata.csv")
n_count_data = len(count_data)
with pm.Model() as model:
alpha = 1.0 / count_data.mean() # Recall count_data is the
# variable that holds our txt counts
lambda_1 = pm.Exponential("lambda_1", alpha)
lambda_2 = pm.Exponential("lambda_2", alpha)
tau = pm.DiscreteUniform("tau", lower=0, upper=n_count_data - 1)
with model:
idx = np.arange(n_count_data) # Index
lambda_ = pm.math.switch(tau > idx, lambda_1, lambda_2)
with model:
observation = pm.Poisson("obs", lambda_, observed=count_data)
with model:
step = pm.Metropolis()
trace = pm.sample(10000, tune=5000, step=step)
lambda_1_samples = trace['lambda_1']
lambda_2_samples = trace['lambda_2']
tau_samples = trace['tau']
What is that point, and how skilled is the test taker?
"""
ground_truth = np.array([True,True,True,True,True,True,True,True,True,True])
obs = np.array([True,False,False,False,False,False,False,False,False,False])
correct = np.equal(ground_truth,obs)
true_inds = np.where(obs)[0]
last_true_idx = true_inds[-1]
test_len = len(ground_truth)
with pm.Model() as model:
skill = pm.Beta('skill',1.0,1.0)
n_correct_obs = np.sum(correct)
endpoint = pm.DiscreteUniform('endpoint',last_true_idx,test_len-1)
for i in range(0,last_true_idx+1):
pm.Bernoulli('correct_%d' % i,skill,observed=correct[i])
for i in range(last_true_idx+1,test_len):
after_endpoint = pm.math.gt(i,endpoint)
prob_correct_if_done = float(ground_truth[i]==False)
prob_correct = pm.math.where(after_endpoint,prob_correct_if_done,skill)
pm.Bernoulli('correct%d' % i,prob_correct,observed=correct[i])
trace = pm.sample()
pm.traceplot(trace)
print pm.summary(trace)
]
# Time series of recorded coal mining disasters in the UK from 1851 to 1962
disasters_data = array([
4, 5, 4, 0, 1, 4, 3, 4, 0, 6, 3, 3, 4, 0, 2, 6, 3, 3, 5, 4, 5, 3, 1, 4, 4,
1, 5, 5, 3, 4, 2, 5, 2, 2, 3, 4, 2, 1, 3, 2, 2, 1, 1, 1, 1, 3, 0, 0, 1, 0,
1, 1, 0, 0, 3, 1, 0, 3, 2, 2, 0, 1, 1, 1, 0, 1, 0, 1, 0, 0, 0, 2, 1, 0, 0,
0, 1, 1, 0, 2, 3, 3, 1, 1, 2, 1, 1, 1, 1, 2, 4, 2, 0, 0, 1, 4, 0, 0, 0, 1,
0, 0, 0, 0, 0, 1, 0, 0, 1, 0, 1
])
year = arange(1851, 1962)
with pm.Model() as model:
switchpoint = pm.DiscreteUniform('switchpoint',
lower=year.min(),
upper=year.max())
early_mean = pm.Exponential('early_mean', lam=1.)
late_mean = pm.Exponential('late_mean', lam=1.)
# Allocate appropriate Poisson rates to years before and after current
# switchpoint location
rate = tt.switch(switchpoint >= year, early_mean, late_mean)
disasters = pm.Poisson('disasters', rate, observed=disasters_data)
# Initial values for stochastic nodes
start = {'early_mean': 2., 'late_mean': 3.}
tr = pm.sample(1000, tune=500, start=start)
pm.traceplot(tr)
import pymc3 as pm
from scipy.stats import poisson
import seaborn as sns
# Config
os.chdir("/home/jovyan/work")
%config InlineBackend.figure_format = 'retina'
%matplotlib inline
plt.rcParams["figure.figsize"] = (12, 3)
# Preparation
N = 100
true_lams = [20, 50]
true_tau = 30
data = np.hstack([
poisson(true_lams[0]).rvs(true_tau),
poisson(true_lams[1]).rvs(N - true_tau),
])
# Modeling
with pm.Model() as model:
lam_1 = pm.Exponential("lam_1", data.mean())
lam_2 = pm.Exponential("lam_2", data.mean())
tau = pm.DiscreteUniform("tau", lower=0, upper=N-1)
idx = np.arange(N)
lam = pm.math.switch(tau > idx, lam_1, lam_2)
female = pm.Poisson("target", lam, observed=data)
step = pm.Metropolis()
trace = pm.sample(20000, tune=5000, step=step, chains=10)
pm.traceplot(trace[1000:], grid=True)
plt.savefig("./results/3-15-a-inference.png")
])
years = len(disasters_data)
@as_op(itypes=[tt.lscalar, tt.dscalar, tt.dscalar], otypes=[tt.dvector])
def rate_(switchpoint, early_mean, late_mean):
out = empty(years)
out[:switchpoint] = early_mean
out[switchpoint:] = late_mean
return out
with pm.Model() as model:
# Prior for distribution of switchpoint location
switchpoint = pm.DiscreteUniform("switchpoint", lower=0, upper=years)
# Priors for pre- and post-switch mean number of disasters
early_mean = pm.Exponential("early_mean", lam=1.0)
late_mean = pm.Exponential("late_mean", lam=1.0)
# Allocate appropriate Poisson rates to years before and after current
# switchpoint location
idx = arange(years)
rate = rate_(switchpoint, early_mean, late_mean)
# Data likelihood
disasters = pm.Poisson("disasters", rate, observed=disasters_data)
# Use slice sampler for means
step1 = pm.Slice([early_mean, late_mean])
# Use Metropolis for switchpoint, since it accomodates discrete variables