def assert_mvn_target_conservation(event_size, batch_size, **kwargs):
initialization = tfd.MultivariateNormalFullCovariance(
loc=tf.zeros(event_size),
covariance_matrix=tf.eye(event_size)).sample(batch_size, seed=4)
samples, leapfrogs = run_nuts_chain(event_size,
batch_size,
num_steps=1,
initial_state=initialization,
**kwargs)
answer = samples[0][-1]
check_cdf_agrees = (
st.assert_multivariate_true_cdf_equal_on_projections_two_sample(
answer, initialization, num_projections=100, false_fail_rate=1e-6))
check_sample_shape = tf1.assert_equal(
tf.shape(input=answer)[0], batch_size)
unique, _ = tf.unique(leapfrogs[0])
check_leapfrogs_vary = tf1.assert_greater_equal(
tf.shape(input=unique)[0], 3)
avg_leapfrogs = tf.math.reduce_mean(input_tensor=leapfrogs[0])
check_leapfrogs = tf1.assert_greater_equal(
avg_leapfrogs, tf.constant(4, dtype=avg_leapfrogs.dtype))
movement = tf.linalg.norm(tensor=answer - initialization, axis=-1)
# This movement distance (0.3) was copied from the univariate case.
check_movement = tf1.assert_greater_equal(
tf.reduce_mean(input_tensor=movement), 0.3)
check_enough_power = tf1.assert_less(
st.min_discrepancy_of_true_cdfs_detectable_by_dkwm_two_sample(
batch_size, batch_size, false_fail_rate=1e-8,
false_pass_rate=1e-6), 0.055)
return (check_cdf_agrees, check_sample_shape, check_leapfrogs_vary,
check_leapfrogs, check_movement, check_enough_power)
def assert_mvn_target_conservation(event_size, batch_size, **kwargs):
strm = tfp_test_util.test_seed_stream()
initialization = tfd.MultivariateNormalFullCovariance(
loc=tf.zeros(event_size),
covariance_matrix=tf.eye(event_size)).sample(
batch_size, seed=strm())
samples, _ = run_nuts_chain(
event_size, batch_size, num_steps=1,
initial_state=initialization, **kwargs)
answer = samples[0][-1]
check_cdf_agrees = (
st.assert_multivariate_true_cdf_equal_on_projections_two_sample(
answer, initialization, num_projections=100, false_fail_rate=1e-6))
check_sample_shape = assert_util.assert_equal(
tf.shape(answer)[0], batch_size)
movement = tf.linalg.norm(answer - initialization, axis=-1)
# This movement distance (0.3) was copied from the univariate case.
check_movement = assert_util.assert_greater_equal(
tf.reduce_mean(movement), 0.3)
check_enough_power = assert_util.assert_less(
st.min_discrepancy_of_true_cdfs_detectable_by_dkwm_two_sample(
batch_size, batch_size, false_fail_rate=1e-8, false_pass_rate=1e-6),
0.055)
return (
check_cdf_agrees,
check_sample_shape,
check_movement,
check_enough_power,
)
def assert_catches_mistake(mean, cov):
wrong_samples = rng.multivariate_normal(
mean=mean, cov=cov, size=num_samples).astype(dtype=dtype)
msg = 'Empirical CDFs outside joint K-S envelope'
with self.assertRaisesOpError(msg):
self.evaluate(
st.assert_multivariate_true_cdf_equal_on_projections_two_sample(
ground_truth, wrong_samples, num_projections=100,
false_fail_rate=1e-6, seed=strm()))
def test_random_projections(self, dtype):
strm = test_util.test_seed_stream()
rng = np.random.RandomState(seed=strm() % 2**31)
num_samples = 57000
# Validate experiment design
# False fail rate here is the target rate of 1e-6 divided by the number of
# projections.
d = st.min_discrepancy_of_true_cdfs_detectable_by_dkwm_two_sample(
num_samples,
num_samples,
false_fail_rate=1e-8,
false_pass_rate=1e-6)
# Choose num_samples so the discrepancy is below 0.05, which should be
# enough to detect a mean shift of around 1/8 of a standard deviation, or a
# scale increase of around 25% (in any particular projection).
self.assertLess(self.evaluate(d), 0.05)
ground_truth = rng.multivariate_normal(mean=[0, 0],
cov=[[1, 0.5], [0.5, 1]],
size=num_samples).astype(dtype)
more_samples = rng.multivariate_normal(mean=[0, 0],
cov=[[1, 0.5], [0.5, 1]],
size=num_samples).astype(dtype)
self.evaluate(
st.assert_multivariate_true_cdf_equal_on_projections_two_sample(
ground_truth,
more_samples,
num_projections=100,
false_fail_rate=1e-6,
seed=strm()))
def assert_catches_mistake(mean, cov):
wrong_samples = rng.multivariate_normal(
mean=mean, cov=cov, size=num_samples).astype(dtype=dtype)
msg = 'Empirical CDFs outside joint K-S envelope'
with self.assertRaisesOpError(msg):
self.evaluate(
st.
assert_multivariate_true_cdf_equal_on_projections_two_sample(
ground_truth,
wrong_samples,
num_projections=100,
false_fail_rate=1e-6,
seed=strm()))
assert_catches_mistake([0, 1], [[1, 0.5], [0.5, 1]])
assert_catches_mistake([0, 0], [[1, 0.7], [0.7, 1]])
assert_catches_mistake([0, 0], [[1, 0.3], [0.3, 1]])
