def experiment(nystr=True, IV=True):
def LMO_err(params, M=2):
params = np.exp(params)
al, bl = params[:-1], params[-1]
L = bl * bl * np.exp(-L0[0] / al[0] / al[0] / 2) + bl * bl * np.exp(
-L0[1] / al[1] / al[1] /
2) + 1e-6 * EYEN # l(X,None,al,bl)# +1e-6*EYEN
if nystr:
tmp_mat = L @ eig_vec_K
C = L - tmp_mat @ np.linalg.inv(eig_vec_K.T @ tmp_mat / N2 +
inv_eig_val_K) @ tmp_mat.T / N2
c = C @ W_nystr_Y * N2
else:
LWL_inv = chol_inv(
L @ W @ L + L / N2 + JITTER * EYEN
) # chol_inv(W*N2+L_inv) # chol_inv(L@W@L+L/N2 +JITTER*EYEN)
C = L @ LWL_inv @ L / N2
c = C @ W @ Y * N2
c_y = c - Y
lmo_err = 0
N = 0
for ii in range(1):
permutation = np.random.permutation(X.shape[0])
for i in range(0, X.shape[0], M):
indices = permutation[i:i + M]
K_i = W[np.ix_(indices, indices)] * N2
C_i = C[np.ix_(indices, indices)]
c_y_i = c_y[indices]
b_y = np.linalg.inv(np.eye(C_i.shape[0]) - C_i @ K_i) @ c_y_i
# print(I_CW_inv.shape,c_y_i.shape)
lmo_err += b_y.T @ K_i @ b_y
N += 1
return lmo_err[0, 0] / N / M**2
def callback0(params, timer=None):
global Nfeval, prev_norm, opt_params, opt_test_err
if Nfeval % 1 == 0:
params = np.exp(params)
al, bl = params[:-1], params[-1]
L = bl * bl * np.exp(
-L0[0] / al[0] / al[0] / 2) + bl * bl * np.exp(
-L0[1] / al[1] / al[1] / 2) + 1e-6 * EYEN
if nystr:
alpha = EYEN - eig_vec_K @ np.linalg.inv(
eig_vec_K.T @ L @ eig_vec_K / N2 +
np.diag(1 / eig_val_K / N2)) @ eig_vec_K.T @ L / N2
alpha = alpha @ W_nystr @ Y * N2
else:
LWL_inv = chol_inv(L @ W @ L + L / N2 + JITTER * EYEN)
alpha = LWL_inv @ L @ W @ Y
pred_mean = L @ alpha
if timer:
return
norm = alpha.T @ L @ alpha
Nfeval += 1
if prev_norm is not None:
if norm[0, 0] / prev_norm >= 3:
if opt_params is None:
opt_params = params
opt_test_err = ((pred_mean - Y)**2).mean()
print(True, opt_params, opt_test_err, prev_norm)
raise Exception
if prev_norm is None or norm[0, 0] <= prev_norm:
prev_norm = norm[0, 0]
opt_params = params
opt_test_err = ((pred_mean - Y)**2).mean()
print('params,test_err, norm:', opt_params, opt_test_err, prev_norm)
ages = np.linspace(
min(X[:, 0]) - abs(min(X[:, 0])) * 0.05,
max(X[:, 0]) + abs(max(X[:, 0])) * 0.05, 32)
vitd = np.linspace(
min(X[:, 1]) - abs(min(X[:, 1])) * 0.05,
max(X[:, 1]) + abs(max(X[:, 1])) * 0.05, 64)
X_mesh, Y_mesh = np.meshgrid(ages, vitd)
table = bl**2 * np.hstack([
np.exp(-_sqdist(X_mesh[:, [i]], X[:, [0]]) / al[0]**2 / 2 -
_sqdist(Y_mesh[:, [i]], X[:, [1]]) / al[1]**2 / 2) @ alpha
for i in range(X_mesh.shape[1])
])
maxv = np.max(table[:])
minv = np.min(table[:])
fig = plt.figure()
ax = fig.add_subplot(111)
# Generate a contour plot
Y0 = data0[:, [4]]
X0 = data0[:, [0, 2]]
Z0 = data0[:, [0, 1]]
ages = np.linspace(
min(X0[:, 0]) - abs(min(X0[:, 0])) * 0.05,
max(X0[:, 0]) + abs(max(X0[:, 0])) * 0.05, 32)
vitd = np.linspace(
min(X0[:, 1]) - abs(min(X0[:, 1])) * 0.05,
max(X0[:, 1]) + abs(max(X0[:, 1])) * 0.05, 64)
X_mesh, Y_mesh = np.meshgrid(ages, vitd)
cpf = ax.contourf(X_mesh, Y_mesh, (table - minv) / (maxv - minv))
# cp = ax.contour(X_mesh, Y_mesh, table)
plt.colorbar(cpf, ax=ax)
plt.xlabel('Age', fontsize=12)
plt.ylabel('Vitamin D', fontsize=12)
plt.xticks(fontsize=12)
plt.yticks(fontsize=12)
if IV:
plt.savefig('VitD_IV.pdf', bbox_inches='tight')
else:
plt.savefig('VitD.pdf', bbox_inches='tight')
plt.close('all')
robjects.r['load'](ROOT_PATH + "/data/VitD.RData")
data = np.array(robjects.r['VitD']).T
# plot data
fig = plt.figure()
plt.scatter((data[:, 0])[data[:, 4] > 0], (data[:, 2])[data[:, 4] > 0],
marker='s',
s=3,
c='r',
label='dead')
plt.scatter((data[:, 0])[data[:, 4] == 0], (data[:, 2])[data[:, 4] == 0],
marker='o',
s=1,
c='b',
label='alive')
lgnd = plt.legend()
lgnd.legendHandles[0]._sizes = [30]
lgnd.legendHandles[1]._sizes = [30]
plt.xlabel('Age', fontsize=12)
plt.ylabel('Vitamin D', fontsize=12)
plt.xticks(fontsize=12)
plt.yticks(fontsize=12)
plt.savefig('VitD_data.pdf', bbox_inches='tight')
plt.close('all')
data0 = data.copy()
for i in range(data.shape[1]):
data[:, i] = (data[:, i] - data[:, i].mean()) / data[:, i].std()
Y = data[:, [4]]
X = data[:, [0, 2]]
Z = data[:, [0, 1]]
t0 = time.time()
EYEN = np.eye(X.shape[0])
N2 = X.shape[0]**2
if IV:
ak = get_median_inter_mnist(Z)
W0 = _sqdist(Z, None)
W = (np.exp(-W0 / ak / ak / 2) + np.exp(-W0 / ak / ak / 200) +
np.exp(-W0 / ak / ak * 50)) / 3 / N2
del W0
else:
W = EYEN / N2
L0 = np.array([_sqdist(X[:, [i]], None) for i in range(X.shape[1])])
params0 = np.random.randn(3) / 10
bounds = None # [[0.01,10],[0.01,5]]
if nystr:
for _ in range(seed + 1):
random_indices = np.sort(
np.random.choice(range(W.shape[0]), nystr_M, replace=False))
eig_val_K, eig_vec_K = nystrom_decomp(W * N2, random_indices)
inv_eig_val_K = np.diag(1 / eig_val_K / N2)
W_nystr = eig_vec_K @ np.diag(eig_val_K) @ eig_vec_K.T / N2
W_nystr_Y = W_nystr @ Y
obj_grad = value_and_grad(lambda params: LMO_err(params))
res = minimize(obj_grad,
x0=params0,
bounds=bounds,
method='L-BFGS-B',
jac=True,
options={'maxiter': 5000},
callback=callback0)
def experiment(sname, seed, datasize, nystr=False, args=None):
np.random.seed(1)
random.seed(1)
def LMO_err(params, M=10):
np.random.seed(2)
random.seed(2)
al, bl = np.exp(params)
L = bl * bl * np.exp(-L0 / al / al / 2) + 1e-6 * EYEN
if nystr:
tmp_mat = L @ eig_vec_K
C = L - tmp_mat @ np.linalg.inv(eig_vec_K.T @ tmp_mat / N2 + inv_eig_val_K) @ tmp_mat.T / N2
c = C @ W_nystr_Y * N2
else:
LWL_inv = chol_inv(L @ W @ L + L / N2 + JITTER * EYEN)
C = L @ LWL_inv @ L / N2
c = C @ W @ Y * N2
c_y = c - Y
lmo_err = 0
N = 0
for ii in range(1):
permutation = np.random.permutation(X.shape[0])
for i in range(0, X.shape[0], M):
indices = permutation[i:i + M]
K_i = W[np.ix_(indices, indices)] * N2
C_i = C[np.ix_(indices, indices)]
c_y_i = c_y[indices]
b_y = np.linalg.inv(np.eye(M) - C_i @ K_i) @ c_y_i
lmo_err += b_y.T @ K_i @ b_y
N += 1
return lmo_err[0, 0] / N / M ** 2
def callback0(params, timer=None):
global Nfeval, prev_norm, opt_params, opt_test_err
np.random.seed(3)
random.seed(3)
if Nfeval % 1 == 0:
al, bl = params
L = bl * bl * np.exp(-L0 / al / al / 2) + 1e-6 * EYEN
if nystr:
alpha = EYEN - eig_vec_K @ np.linalg.inv(
eig_vec_K.T @ L @ eig_vec_K / N2 + np.diag(1 / eig_val_K / N2)) @ eig_vec_K.T @ L / N2
alpha = alpha @ W_nystr @ Y * N2
else:
LWL_inv = chol_inv(L @ W @ L + L / N2 + JITTER * EYEN)
alpha = LWL_inv @ L @ W @ Y
# L_W_inv = chol_inv(W*N2+L_inv)
test_L = bl * bl * np.exp(-test_L0 / al / al / 2)
pred_mean = test_L @ alpha
if timer:
return
test_err = ((pred_mean - test_Y) ** 2).mean() # ((pred_mean-test_Y)**2/np.diag(pred_cov)).mean()+(np.log(np.diag(pred_cov))).mean()
norm = alpha.T @ L @ alpha
Nfeval += 1
if prev_norm is not None:
if norm[0, 0] / prev_norm >= 3:
if opt_params is None:
opt_test_err = test_err
opt_params = params
print(True, opt_params, opt_test_err, prev_norm)
raise Exception
if prev_norm is None or norm[0, 0] <= prev_norm:
prev_norm = norm[0, 0]
opt_test_err = test_err
opt_params = params
print('params,test_err, norm: ', opt_params, opt_test_err, prev_norm)
def get_causal_effect(params, do_A, w):
"to be called within experiment function."
np.random.seed(4)
random.seed(4)
al, bl = params
L = bl * bl * np.exp(-L0 / al / al / 2) + 1e-6 * EYEN
if nystr:
alpha = EYEN - eig_vec_K @ np.linalg.inv(
eig_vec_K.T @ L @ eig_vec_K / N2 + np.diag(1 / eig_val_K / N2)) @ eig_vec_K.T @ L / N2
alpha = alpha @ W_nystr @ Y * N2
else:
LWL_inv = chol_inv(L @ W @ L + L / N2 + JITTER * EYEN)
alpha = LWL_inv @ L @ W @ Y
# L_W_inv = chol_inv(W*N2+L_inv)
EYhat_do_A = []
for a in do_A:
a = np.repeat(a, [w.shape[0]]).reshape(-1, 1)
w = w.reshape(-1, 1)
aw = np.concatenate([a, w], axis=-1)
ate_L0 = _sqdist(aw, X)
ate_L = bl * bl * np.exp(-ate_L0 / al / al / 2)
h_out = ate_L @ alpha
mean_h = np.mean(h_out).reshape(-1, 1)
EYhat_do_A.append(mean_h)
print('a = {}, beta_a = {}'.format(np.mean(a), mean_h))
return np.concatenate(EYhat_do_A)
# train,dev,test = load_data(ROOT_PATH+'/data/zoo/{}_{}.npz'.format(sname,datasize))
# X = np.vstack((train.x,dev.x))
# Y = np.vstack((train.y,dev.y))
# Z = np.vstack((train.z,dev.z))
# test_X = test.x
# test_Y = test.g
t1 = time.time()
train, dev, test = load_data(ROOT_PATH + "/data/zoo/" + sname + '/main_{}.npz'.format(args.sem))
# train, dev, test = train[:300], dev[:100], test[:100]
t2 = time.time()
print('t2 - t1 = ', t2 - t1)
Y = np.concatenate((train.y, dev.y), axis=0).reshape(-1, 1)
# test_Y = test.y
AZ_train, AW_train = bundle_az_aw(train.a, train.z, train.w)
AZ_test, AW_test = bundle_az_aw(test.a, test.z, test.w)
AZ_dev, AW_dev = bundle_az_aw(dev.a, dev.z, test.w)
X, Z = np.concatenate((AW_train, AW_dev), axis=0), np.concatenate((AZ_train, AZ_dev), axis=0)
test_X, test_Y = AW_test, test.y.reshape(-1, 1) # TODO: is test.g just test.y?
t3 = time.time()
print('t3 - t2', t3-t2)
EYEN = np.eye(X.shape[0])
# ak0, ak1 = get_median_inter_mnist(Z[:, 0:1]), get_median_inter_mnist(Z[:, 1:2])
ak = get_median_inter_mnist(Z)
N2 = X.shape[0] ** 2
W0 = _sqdist(Z, None)
print('av kernel indicator: ', args.av_kernel)
# W = np.exp(-W0 / ak0 / ak0 / 2) / N2 if not args.av_kernel \
# else (np.exp(-W0 / ak0 / ak0 / 2) + np.exp(-W0 / ak0 / ak0 / 200) + np.exp(-W0 / ak0 / ak0 * 50)) / 3 / N2
W = np.exp(-W0 / ak / ak / 2) / N2 if not args.av_kernel \
else (np.exp(-W0 / ak / ak / 2) + np.exp(-W0 / ak / ak / 200) + np.exp(-W0 / ak / ak * 50)) / 3 / N2
del W0
L0, test_L0 = _sqdist(X, None), _sqdist(test_X, X)
t4 = time.time()
print('t4 - t3', t4-t3)
# measure time
# callback0(np.random.randn(2)/10,True)
# np.save(ROOT_PATH + "/MMR_IVs/results/zoo/" + sname + '/LMO_errs_{}_nystr_{}_time.npy'.format(seed,train.x.shape[0]),time.time()-t0)
# return
# params0 = np.random.randn(2) # /10
params0 = np.array([1., 1.])
print('starting param: ', params0)
bounds = None # [[0.01,10],[0.01,5]]
if nystr:
for _ in range(seed + 1):
random_indices = np.sort(np.random.choice(range(W.shape[0]), nystr_M, replace=False))
eig_val_K, eig_vec_K = nystrom_decomp(W * N2, random_indices)
inv_eig_val_K = np.diag(1 / eig_val_K / N2)
W_nystr = eig_vec_K @ np.diag(eig_val_K) @ eig_vec_K.T / N2
W_nystr_Y = W_nystr @ Y
t5 = time.time()
print('t5 - t4', t5-t4)
obj_grad = value_and_grad(lambda params: LMO_err(params))
try:
res = minimize(obj_grad, x0=params0, bounds=bounds, method='L-BFGS-B', jac=True, options={'maxiter': 5000},
callback=callback0)
# res stands for results (not residuals!).
except Exception as e:
print(e)
PATH = ROOT_PATH + "/MMR_IVs/results/zoo/" + sname + "/"
if not os.path.exists(PATH+str(date.today())):
os.mkdir(PATH + str(date.today()))
assert opt_params is not None
params = opt_params
do_A = np.load(ROOT_PATH + "/data/zoo/" + sname + '/do_A_{}.npz'.format(args.sem))['do_A']
EY_do_A_gt = np.load(ROOT_PATH + "/data/zoo/" + sname + '/do_A_{}.npz'.format(args.sem))['gt_EY_do_A']
w_sample = train.w
EYhat_do_A = get_causal_effect(params=params, do_A=do_A, w=w_sample)
plt.figure()
plt.plot([i + 1 for i in range(20)], EYhat_do_A)
plt.xlabel('A')
plt.ylabel('EYdoA-est')
plt.savefig(
os.path.join(PATH, str(date.today()), 'causal_effect_estimates_nystr_{}'.format(AW_train.shape[0]) + '.png'))
plt.close()
print('ground truth ate: ', EY_do_A_gt)
visualise_ATEs(EY_do_A_gt, EYhat_do_A,
x_name='E[Y|do(A)] - gt',
y_name='beta_A',
save_loc=os.path.join(PATH, str(date.today())) + '/',
save_name='ate_{}_nystr.png'.format(AW_train.shape[0]))
causal_effect_mean_abs_err = np.mean(np.abs(EY_do_A_gt - EYhat_do_A))
causal_effect_mae_file = open(os.path.join(PATH, str(date.today()), "ate_mae_{}_nystrom.txt".format(AW_train.shape[0])),
"a")
causal_effect_mae_file.write("mae_: {}\n".format(causal_effect_mean_abs_err))
causal_effect_mae_file.close()
os.makedirs(PATH, exist_ok=True)
np.save(os.path.join(PATH, str(date.today()), 'LMO_errs_{}_nystr_{}.npy'.format(seed, AW_train.shape[0])), [opt_params, prev_norm, opt_test_err])
def run_experiment_nn(sname, datasize, indices=[], seed=527, training=True):
torch.manual_seed(seed)
np.random.seed(seed)
if len(indices) == 2:
lr_id, dw_id = indices
elif len(indices) == 3:
lr_id, dw_id, W_id = indices
# load data
folder = ROOT_PATH + "/MMR_IVs/results/" + sname + "/"
os.makedirs(folder, exist_ok=True)
train, dev, test = load_data(ROOT_PATH + "/data/" + sname + '/main.npz',
Torch=True)
X, Z, Y = torch.cat((train.x, dev.x), dim=0).float(), torch.cat(
(train.z, dev.z), dim=0).float(), torch.cat((train.y, dev.y),
dim=0).float()
test_X, test_G = test.x.float(), test.g.float()
n_train = train.x.shape[0]
# training settings
n_epochs = 1000
batch_size = 1000 if train.x.shape[0] > 1000 else train.x.shape[0]
# kernel
kernel = Kernel('rbf', Torch=True)
if Z.shape[1] < 5:
a = get_median_inter_mnist(train.z)
else:
# a = get_median_inter_mnist(train.z)
# np.save('../mnist_precomp/{}_ak.npy'.format(sname),a)
a = np.load(ROOT_PATH + '/mnist_precomp/{}_ak.npy'.format(sname))
a = torch.tensor(a).float()
# training loop
lrs = [2e-4, 1e-4, 5e-5] # [3,5]
decay_weights = [1e-12, 1e-11, 1e-10, 1e-9, 1e-8, 1e-7, 1e-6] # [11,5]
def my_loss(output, target, indices, K):
d = output - target
if indices is None:
W = K
else:
W = K[indices[:, None], indices]
# print((kernel(Z[indices],None,a,1)+kernel(Z[indices],None,a/10,1)+kernel(Z[indices],None,a*10,1))/3-W)
loss = d.T @ W @ d / (d.shape[0])**2
return loss[0, 0]
def fit(x,
y,
z,
dev_x,
dev_y,
dev_z,
a,
lr,
decay_weight,
n_epochs=n_epochs):
if 'mnist' in sname:
train_K = torch.eye(x.shape[0])
else:
train_K = (kernel(z, None, a, 1) + kernel(z, None, a / 10, 1) +
kernel(z, None, a * 10, 1)) / 3
if dev_z is not None:
if 'mnist' in sname:
dev_K = torch.eye(x.shape[0])
else:
dev_K = (kernel(dev_z, None, a, 1) +
kernel(dev_z, None, a / 10, 1) +
kernel(dev_z, None, a * 10, 1)) / 3
n_data = x.shape[0]
net = FCNN(x.shape[1]) if sname not in ['mnist_x', 'mnist_xz'
] else CNN()
es = EarlyStopping(patience=5) # 10 for small
optimizer = optim.Adam(list(net.parameters()),
lr=lr,
weight_decay=decay_weight)
# optimizer = optim.SGD(list(net.parameters()),lr=1e-1, momentum=0.9)
# optimizer = optim.Adadelta(list(net.parameters()))
for epoch in range(n_epochs):
permutation = torch.randperm(n_data)
for i in range(0, n_data, batch_size):
indices = permutation[i:i + batch_size]
batch_x, batch_y = x[indices], y[indices]
# training loop
def closure():
optimizer.zero_grad()
pred_y = net(batch_x)
loss = my_loss(pred_y, batch_y, indices, train_K)
loss.backward()
return loss
optimizer.step(closure) # Does the update
if epoch % 5 == 0 and epoch >= 50 and dev_x is not None: # 5, 10 for small # 5,50 for large
g_pred = net(test_X)
test_err = ((g_pred - test_G)**2).mean()
if epoch == 50 and 'mnist' in sname:
if z.shape[1] > 100:
train_K = np.load(
ROOT_PATH +
'/mnist_precomp/{}_train_K0.npy'.format(sname))
train_K = (torch.exp(-train_K / a**2 / 2) +
torch.exp(-train_K / a**2 * 50) +
torch.exp(-train_K / a**2 / 200)) / 3
dev_K = np.load(
ROOT_PATH +
'/mnist_precomp/{}_dev_K0.npy'.format(sname))
dev_K = (torch.exp(-dev_K / a**2 / 2) +
torch.exp(-dev_K / a**2 * 50) +
torch.exp(-dev_K / a**2 / 200)) / 3
else:
train_K = (kernel(z, None, a, 1) +
kernel(z, None, a / 10, 1) +
kernel(z, None, a * 10, 1)) / 3
dev_K = (kernel(dev_z, None, a, 1) +
kernel(dev_z, None, a / 10, 1) +
kernel(dev_z, None, a * 10, 1)) / 3
dev_err = my_loss(net(dev_x), dev_y, None, dev_K)
print('test', test_err, 'dev', dev_err)
if es.step(dev_err):
break
return es.best, epoch, net
if training is True:
print('training')
for rep in range(10):
save_path = os.path.join(
folder,
'mmr_iv_nn_{}_{}_{}_{}.npz'.format(rep, lr_id, dw_id,
train.x.shape[0]))
# if os.path.exists(save_path):
# continue
lr, dw = lrs[lr_id], decay_weights[dw_id]
print('lr, dw', lr, dw)
t0 = time.time()
err, _, net = fit(X[:n_train], Y[:n_train], Z[:n_train],
X[n_train:], Y[n_train:], Z[n_train:], a, lr, dw)
t1 = time.time() - t0
np.save(
folder + 'mmr_iv_nn_{}_{}_{}_{}_time.npy'.format(
rep, lr_id, dw_id, train.x.shape[0]), t1)
g_pred = net(test_X).detach().numpy()
test_err = ((g_pred - test_G.numpy())**2).mean()
np.savez(save_path,
err=err.detach().numpy(),
lr=lr,
dw=dw,
g_pred=g_pred,
test_err=test_err)
else:
print('test')
opt_res = []
times = []
for rep in range(10):
res_list = []
other_list = []
times2 = []
for lr_id in range(len(lrs)):
for dw_id in range(len(decay_weights)):
load_path = os.path.join(
folder, 'mmr_iv_nn_{}_{}_{}_{}.npz'.format(
rep, lr_id, dw_id, datasize))
if os.path.exists(load_path):
res = np.load(load_path)
res_list += [res['err'].astype(float)]
other_list += [[
res['lr'].astype(float), res['dw'].astype(float),
res['test_err'].astype(float)
]]
time_path = folder + 'mmr_iv_nn_{}_{}_{}_{}_time.npy'.format(
rep, lr_id, dw_id, datasize)
if os.path.exists(time_path):
t = np.load(time_path)
times2 += [t]
res_list = np.array(res_list)
other_list = np.array(other_list)
other_list = other_list[res_list > 0]
res_list = res_list[res_list > 0]
optim_id = np.argsort(res_list)[0] # np.argmin(res_list)
print(rep, '--', other_list[optim_id], np.min(res_list))
opt_res += [other_list[optim_id][-1]]
# times += [times2[optim_id]]
# lr,dw = [torch.from_numpy(e).float() for e in params_list[optim_id]]
# _,_,net = fit(X[:2000],Y[:2000],Z[:2000],X[2000:],Y[2000:],Z[2000:],a,lr,dw)
# g_pred = net(test_X).detach().numpy()
# test_err = ((g_pred-test_G.numpy())**2).mean()
# print(test_err)
# np.savez(save_path,g_pred=g_pred,g_true=test.g,x=test.w)
print('time: ', np.mean(times), np.std(times))
print(np.mean(opt_res), np.std(opt_res))
def run_experiment_nn(sname,
datasize,
indices=[],
seed=527,
training=True,
args=None):
torch.manual_seed(seed)
np.random.seed(seed)
if len(indices) == 2:
lr_id, dw_id = indices
elif len(indices) == 3:
lr_id, dw_id, W_id = indices
# load data
folder = ROOT_PATH + "/MMR_IVs/results/zoo/" + sname + "/"
os.makedirs(folder, exist_ok=True)
train, dev, test = load_data(ROOT_PATH + "/data/zoo/" + sname +
'/main_{}.npz'.format(args.sem),
Torch=True)
Y = torch.cat((train.y, dev.y), dim=0).float()
AZ_train, AW_train = bundle_az_aw(train.a, train.z, train.w, Torch=True)
AZ_test, AW_test = bundle_az_aw(test.a, test.z, test.w, Torch=True)
AZ_dev, AW_dev = bundle_az_aw(dev.a, dev.z, test.w, Torch=True)
X, Z = torch.cat((AW_train, AW_dev), dim=0).float(), torch.cat(
(AZ_train, AZ_dev), dim=0).float()
test_X, test_Y = AW_test.float(), test.y.float(
) # TODO: is test.g just test.y?
n_train = train.a.shape[0]
# training settings
n_epochs = 1000
batch_size = 1000 if train.a.shape[0] > 1000 else train.a.shape[0]
# load expectation eval data
axzy = np.load(ROOT_PATH + "/data/zoo/" + sname +
'/cond_exp_metric_{}.npz'.format(args.sem))['axzy']
w_samples = np.load(
ROOT_PATH + "/data/zoo/" + sname +
'/cond_exp_metric_{}.npz'.format(args.sem))['w_samples']
y_samples = np.load(
ROOT_PATH + "/data/zoo/" + sname +
'/cond_exp_metric_{}.npz'.format(args.sem))['y_samples']
y_axz = axzy[:, -1]
ax = axzy[:, :2]
# kernel
kernel = Kernel('rbf', Torch=True)
a = get_median_inter_mnist(AZ_train)
a = torch.tensor(a).float()
# training loop
lrs = [2e-4, 1e-4, 5e-5] # [3,5]
decay_weights = [1e-12, 1e-11, 1e-10, 1e-9, 1e-8, 1e-7, 1e-6] # [11,5]
def my_loss(output, target, indices, K):
d = output - target
if indices is None:
W = K
else:
W = K[indices[:, None], indices]
# print((kernel(Z[indices],None,a,1)+kernel(Z[indices],None,a/10,1)+kernel(Z[indices],None,a*10,1))/3-W)
loss = d.T @ W @ d / (d.shape[0])**2
return loss[0, 0]
def conditional_expected_loss(net, ax, w_samples, y_samples, y_axz, x_on):
if not x_on:
ax = ax[:, 0:1]
num_reps = w_samples.shape[1]
assert len(ax.shape) == 2
assert ax.shape[1] < 3
assert ax.shape[0] == w_samples.shape[0]
print('number of points: ', w_samples.shape[0])
ax_rep = np.repeat(ax, [num_reps], axis=0)
assert ax_rep.shape[0] == (w_samples.shape[1] * ax.shape[0])
w_samples_flat = w_samples.flatten().reshape(-1, 1)
nn_inp_np = np.concatenate([ax_rep, w_samples_flat], axis=-1)
# print('nn_inp shape: ', nn_inp_np.shape)
nn_inp = torch.as_tensor(nn_inp_np).float()
nn_out = net(nn_inp).detach().cpu().numpy()
nn_out = nn_out.reshape([-1, w_samples.shape[1]])
y_axz_recon = np.mean(nn_out, axis=1)
assert y_axz_recon.shape[0] == y_axz.shape[0]
mean_abs_error = np.mean(np.abs(y_axz - y_axz_recon))
# for debugging compute the mse between y samples and h
y_samples_flat = y_samples.flatten()
mse = np.mean((y_samples_flat - nn_out.flatten())**2)
return mean_abs_error, mse
def fit(x,
y,
z,
dev_x,
dev_y,
dev_z,
a,
lr,
decay_weight,
ax,
y_axz,
w_samples,
n_epochs=n_epochs):
if 'mnist' in sname:
train_K = torch.eye(x.shape[0])
else:
train_K = (kernel(z, None, a, 1) + kernel(z, None, a / 10, 1) +
kernel(z, None, a * 10, 1)) / 3
if dev_z is not None:
if 'mnist' in sname:
dev_K = torch.eye(x.shape[0])
else:
dev_K = (kernel(dev_z, None, a, 1) +
kernel(dev_z, None, a / 10, 1) +
kernel(dev_z, None, a * 10, 1)) / 3
n_data = x.shape[0]
net = FCNN(x.shape[1]) if sname not in ['mnist_x', 'mnist_xz'
] else CNN()
es = EarlyStopping(patience=10) # 10 for small
optimizer = optim.Adam(list(net.parameters()),
lr=lr,
weight_decay=decay_weight)
test_errs, dev_errs, exp_errs, mse_s = [], [], [], []
for epoch in range(n_epochs):
permutation = torch.randperm(n_data)
for i in range(0, n_data, batch_size):
indices = permutation[i:i + batch_size]
batch_x, batch_y = x[indices], y[indices]
# training loop
def closure():
optimizer.zero_grad()
pred_y = net(batch_x)
loss = my_loss(pred_y, batch_y, indices, train_K)
loss.backward()
return loss
optimizer.step(closure) # Does the update
if epoch % 5 == 0 and epoch >= 50 and dev_x is not None: # 5, 10 for small # 5,50 for large
g_pred = net(
test_X
) # TODO: is it supposed to be test_X here? A: yes I think so.
test_err = ((g_pred - test_Y)**2).mean(
) # TODO: why isn't this loss reweighted? A: because it is supposed to measure the agreement between prediction and labels.
if epoch == 50 and 'mnist' in sname:
if z.shape[1] > 100:
train_K = np.load(
ROOT_PATH +
'/mnist_precomp/{}_train_K0.npy'.format(sname))
train_K = (torch.exp(-train_K / a**2 / 2) +
torch.exp(-train_K / a**2 * 50) +
torch.exp(-train_K / a**2 / 200)) / 3
dev_K = np.load(
ROOT_PATH +
'/mnist_precomp/{}_dev_K0.npy'.format(sname))
dev_K = (torch.exp(-dev_K / a**2 / 2) +
torch.exp(-dev_K / a**2 * 50) +
torch.exp(-dev_K / a**2 / 200)) / 3
else:
train_K = (kernel(z, None, a, 1) +
kernel(z, None, a / 10, 1) +
kernel(z, None, a * 10, 1)) / 3
dev_K = (kernel(dev_z, None, a, 1) +
kernel(dev_z, None, a / 10, 1) +
kernel(dev_z, None, a * 10, 1)) / 3
dev_err = my_loss(net(dev_x), dev_y, None, dev_K)
err_in_expectation, mse = conditional_expected_loss(
net=net,
ax=ax,
w_samples=w_samples,
y_samples=y_samples,
y_axz=y_axz,
x_on=False)
print('test', test_err, 'dev', dev_err, 'err_in_expectation',
err_in_expectation, 'mse: ', mse)
test_errs.append(test_err)
dev_errs.append(dev_err)
exp_errs.append(err_in_expectation)
mse_s.append(mse)
if es.step(dev_err):
break
losses = {
'test': test_errs,
'dev': dev_errs,
'exp': exp_errs,
'mse_': mse_s
}
return es.best, epoch, net, losses
def get_causal_effect(net, do_A, w):
"""
:param net: FCNN object
:param do_A: a numpy array of interventions, size = B_a
:param w: a torch tensor of w samples, size = B_w
:return: a numpy array of interventional parameters
"""
net.eval()
# raise ValueError('have not tested get_causal_effect.')
EYhat_do_A = []
for a in do_A:
a = np.repeat(a, [w.shape[0]]).reshape(-1, 1)
a_tensor = torch.as_tensor(a).float()
w = w.reshape(-1, 1).float()
aw = torch.cat([a_tensor, w], dim=-1)
aw_tensor = torch.tensor(aw)
mean_h = torch.mean(net(aw_tensor)).reshape(-1, 1)
EYhat_do_A.append(mean_h)
print('a = {}, beta_a = {}'.format(np.mean(a), mean_h))
return torch.cat(EYhat_do_A).detach().cpu().numpy()
if training is True:
print('training')
for rep in range(3):
print('*******REP: {}'.format(rep))
save_path = os.path.join(
folder,
'mmr_iv_nn_{}_{}_{}_{}.npz'.format(rep, lr_id, dw_id,
AW_train.shape[0]))
# if os.path.exists(save_path):
# continue
lr, dw = lrs[lr_id], decay_weights[dw_id]
print('lr, dw', lr, dw)
t0 = time.time()
err, _, net, losses = fit(X[:n_train],
Y[:n_train],
Z[:n_train],
X[n_train:],
Y[n_train:],
Z[n_train:],
a,
lr,
dw,
ax=ax,
y_axz=y_axz,
w_samples=w_samples)
t1 = time.time() - t0
np.save(
folder + 'mmr_iv_nn_{}_{}_{}_{}_time.npy'.format(
rep, lr_id, dw_id, AW_train.shape[0]), t1)
g_pred = net(test_X).detach().numpy()
test_err = ((g_pred - test_Y.numpy())**2).mean()
np.savez(save_path,
err=err.detach().numpy(),
lr=lr,
dw=dw,
g_pred=g_pred,
test_err=test_err)
# make loss curves
for (name, ylabel) in [('test', 'test av ||y - h||^2'),
('dev', 'R_V'), ('exp', 'E[y-h|a,z,x]'),
('mse_', 'mse_alternative_sim')]:
errs = losses[name]
stps = [50 + i * 5 for i in range(len(errs))]
plt.figure()
plt.plot(stps, errs)
plt.xlabel('epoch')
plt.ylabel(ylabel)
plt.savefig(
os.path.join(
folder, name + '_{}_{}_{}_{}'.format(
rep, lr_id, dw_id, AW_train.shape[0]) + '.png'))
plt.close()
# do causal effect estimates
do_A = np.load(ROOT_PATH + "/data/zoo/" + sname +
'/do_A_{}.npz'.format(args.sem))['do_A']
EY_do_A_gt = np.load(ROOT_PATH + "/data/zoo/" + sname +
'/do_A_{}.npz'.format(args.sem))['gt_EY_do_A']
w_sample = train.w
EYhat_do_A = get_causal_effect(net, do_A=do_A, w=w_sample)
plt.figure()
plt.plot([i + 1 for i in range(20)], EYhat_do_A)
plt.xlabel('A')
plt.ylabel('EYdoA-est')
plt.savefig(
os.path.join(
folder, 'causal_effect_estimates_{}_{}_{}'.format(
lr_id, dw_id, AW_train.shape[0]) + '.png'))
plt.close()
print('ground truth ate: ', EY_do_A_gt)
visualise_ATEs(EY_do_A_gt,
EYhat_do_A,
x_name='E[Y|do(A)] - gt',
y_name='beta_A',
save_loc=folder,
save_name='ate_{}_{}_{}_{}.png'.format(
rep, lr_id, dw_id, AW_train.shape[0]))
causal_effect_mean_abs_err = np.mean(
np.abs(EY_do_A_gt - EYhat_do_A))
causal_effect_mae_file = open(
os.path.join(
folder,
"ate_mae_{}_{}_{}.txt".format(lr_id, dw_id,
AW_train.shape[0])), "a")
causal_effect_mae_file.write("mae_rep_{}: {}\n".format(
rep, causal_effect_mean_abs_err))
causal_effect_mae_file.close()
else:
print('test')
opt_res = []
times = []
for rep in range(10):
res_list = []
other_list = []
times2 = []
for lr_id in range(len(lrs)):
for dw_id in range(len(decay_weights)):
load_path = os.path.join(
folder, 'mmr_iv_nn_{}_{}_{}_{}.npz'.format(
rep, lr_id, dw_id, datasize))
if os.path.exists(load_path):
res = np.load(load_path)
res_list += [res['err'].astype(float)]
other_list += [[
res['lr'].astype(float), res['dw'].astype(float),
res['test_err'].astype(float)
]]
time_path = folder + 'mmr_iv_nn_{}_{}_{}_{}_time.npy'.format(
rep, lr_id, dw_id, datasize)
if os.path.exists(time_path):
t = np.load(time_path)
times2 += [t]
res_list = np.array(res_list)
other_list = np.array(other_list)
other_list = other_list[res_list > 0]
res_list = res_list[res_list > 0]
optim_id = np.argsort(res_list)[0] # np.argmin(res_list)
print(rep, '--', other_list[optim_id], np.min(res_list))
opt_res += [other_list[optim_id][-1]]
print('time: ', np.mean(times), np.std(times))
print(np.mean(opt_res), np.std(opt_res))
def experiment(sname, seed, nystr=True):
def LMO_err(params, M=2, verbal=False):
global Nfeval
params = np.exp(params)
al, bl = params[:-1], params[
-1] # params[:int(n_params/2)], params[int(n_params/2):] # [np.exp(e) for e in params]
if train.x.shape[1] < 5:
train_L = bl**2 * np.exp(-train_L0 / al**2 / 2) + 1e-4 * EYEN
else:
train_L, dev_L = 0, 0
for i in range(len(al)):
train_L += train_L0[i] / al[i]**2
train_L = bl * bl * np.exp(-train_L / 2) + 1e-4 * EYEN
tmp_mat = train_L @ eig_vec_K
C = train_L - tmp_mat @ np.linalg.inv(eig_vec_K.T @ tmp_mat / N2 +
inv_eig_val) @ tmp_mat.T / N2
c = C @ W_nystr_Y * N2
c_y = c - train.y
lmo_err = 0
N = 0
for ii in range(1):
permutation = np.random.permutation(train.x.shape[0])
for i in range(0, train.x.shape[0], M):
indices = permutation[i:i + M]
K_i = train_W[np.ix_(indices, indices)] * N2
C_i = C[np.ix_(indices, indices)]
c_y_i = c_y[indices]
b_y = np.linalg.inv(np.eye(M) - C_i @ K_i) @ c_y_i
lmo_err += b_y.T @ K_i @ b_y
N += 1
return lmo_err[0, 0] / M**2
def callback0(params):
global Nfeval, prev_norm, opt_params, opt_test_err
if Nfeval % 1 == 0:
params = np.exp(params)
print('params:', params)
al, bl = params[:-1], params[-1]
if train.x.shape[1] < 5:
train_L = bl**2 * np.exp(-train_L0 / al**2 / 2) + 1e-4 * EYEN
test_L = bl**2 * np.exp(-test_L0 / al**2 / 2)
else:
train_L, test_L = 0, 0
for i in range(len(al)):
train_L += train_L0[i] / al[i]**2
test_L += test_L0[i] / al[i]**2
train_L = bl * bl * np.exp(-train_L / 2) + 1e-4 * EYEN
test_L = bl * bl * np.exp(-test_L / 2)
if nystr:
tmp_mat = eig_vec_K.T @ train_L
alpha = EYEN - eig_vec_K @ np.linalg.inv(
tmp_mat @ eig_vec_K / N2 + inv_eig_val) @ tmp_mat / N2
alpha = alpha @ W_nystr_Y * N2
else:
LWL_inv = chol_inv(train_L @ train_W @ train_L + train_L / N2 +
JITTER * EYEN)
alpha = LWL_inv @ train_L @ train_W @ train.y
pred_mean = test_L @ alpha
test_err = ((pred_mean - test.g)**2).mean()
norm = alpha.T @ train_L @ alpha
Nfeval += 1
if prev_norm is not None:
if norm[0, 0] / prev_norm >= 3:
if opt_test_err is None:
opt_test_err = test_err
opt_params = params
print(True, opt_params, opt_test_err, prev_norm, norm[0, 0])
raise Exception
if prev_norm is None or norm[0, 0] <= prev_norm:
prev_norm = norm[0, 0]
opt_test_err = test_err
opt_params = params
print(True, opt_params, opt_test_err, prev_norm, norm[0, 0])
train, dev, test = load_data(ROOT_PATH + '/data/' + sname + '/main.npz')
del dev
# avoid same indices when run on the cluster
for _ in range(seed + 1):
random_indices = np.sort(
np.random.choice(range(train.x.shape[0]), nystr_M, replace=False))
EYEN = np.eye(train.x.shape[0])
N2 = train.x.shape[0]**2
# precompute to save time on parallized computation
if train.z.shape[1] < 5:
ak = get_median_inter_mnist(train.z)
else:
ak = np.load(ROOT_PATH + '/mnist_precomp/{}_ak.npy'.format(sname))
train_W = np.load(ROOT_PATH +
'/mnist_precomp/{}_train_K0.npy'.format(sname))
train_W = (np.exp(-train_W / ak / ak / 2) + np.exp(
-train_W / ak / ak / 200) + np.exp(-train_W / ak / ak * 50)) / 3 / N2
if train.x.shape[1] < 5:
train_L0 = _sqdist(train.x, None)
test_L0 = _sqdist(test.x, train.x)
else:
L0s = np.load(ROOT_PATH + '/mnist_precomp/{}_Ls.npz'.format(sname))
train_L0 = L0s['train_L0']
# dev_L0 = L0s['dev_L0']
test_L0 = L0s['test_L0']
del L0s
if train.x.shape[1] < 5:
params0 = np.random.randn(2) * 0.1
else:
params0 = np.random.randn(len(train_L0) + 1) * 0.1
bounds = None
eig_val_K, eig_vec_K = nystrom_decomp(train_W * N2, random_indices)
W_nystr_Y = eig_vec_K @ np.diag(eig_val_K) @ eig_vec_K.T @ train.y / N2
inv_eig_val = np.diag(1 / eig_val_K / N2)
obj_grad = value_and_grad(lambda params: LMO_err(params))
res = minimize(obj_grad,
x0=params0,
bounds=bounds,
method='L-BFGS-B',
jac=True,
options={
'maxiter': 5000,
'disp': True,
'ftol': 0
},
callback=callback0)
PATH = ROOT_PATH + "/MMR_IVs/results/" + sname + "/"
os.makedirs(PATH, exist_ok=True)
np.save(PATH + 'LMO_errs_{}_nystr.npy'.format(seed),
[opt_params, prev_norm, opt_test_err])
def experiment(sname, seed, datasize, nystr=False):
def LMO_err(params, M=2):
al, bl = np.exp(params)
L = bl * bl * np.exp(-L0 / al / al / 2) + 1e-6 * EYEN
if nystr:
tmp_mat = L @ eig_vec_K
C = L - tmp_mat @ np.linalg.inv(eig_vec_K.T @ tmp_mat / N2 +
inv_eig_val_K) @ tmp_mat.T / N2
c = C @ W_nystr_Y * N2
else:
LWL_inv = chol_inv(L @ W @ L + L / N2 + JITTER * EYEN)
C = L @ LWL_inv @ L / N2
c = C @ W @ Y * N2
c_y = c - Y
lmo_err = 0
N = 0
for ii in range(1):
permutation = np.random.permutation(X.shape[0])
for i in range(0, X.shape[0], M):
indices = permutation[i:i + M]
K_i = W[np.ix_(indices, indices)] * N2
C_i = C[np.ix_(indices, indices)]
c_y_i = c_y[indices]
b_y = np.linalg.inv(np.eye(M) - C_i @ K_i) @ c_y_i
lmo_err += b_y.T @ K_i @ b_y
N += 1
return lmo_err[0, 0] / N / M**2
def callback0(params, timer=None):
global Nfeval, prev_norm, opt_params, opt_test_err
if Nfeval % 1 == 0:
al, bl = np.exp(params)
L = bl * bl * np.exp(-L0 / al / al / 2) + 1e-6 * EYEN
if nystr:
alpha = EYEN - eig_vec_K @ np.linalg.inv(
eig_vec_K.T @ L @ eig_vec_K / N2 +
np.diag(1 / eig_val_K / N2)) @ eig_vec_K.T @ L / N2
alpha = alpha @ W_nystr @ Y * N2
else:
LWL_inv = chol_inv(L @ W @ L + L / N2 + JITTER * EYEN)
alpha = LWL_inv @ L @ W @ Y
# L_W_inv = chol_inv(W*N2+L_inv)
test_L = bl * bl * np.exp(-test_L0 / al / al / 2)
pred_mean = test_L @ alpha
if timer:
return
test_err = ((pred_mean - test_G)**2).mean(
) # ((pred_mean-test_G)**2/np.diag(pred_cov)).mean()+(np.log(np.diag(pred_cov))).mean()
norm = alpha.T @ L @ alpha
Nfeval += 1
if prev_norm is not None:
if norm[0, 0] / prev_norm >= 3:
if opt_params is None:
opt_test_err = test_err
opt_params = params
print(True, opt_params, opt_test_err, prev_norm)
raise Exception
if prev_norm is None or norm[0, 0] <= prev_norm:
prev_norm = norm[0, 0]
opt_test_err = test_err
opt_params = params
print('params,test_err, norm: ', opt_params, opt_test_err, prev_norm)
train, dev, test = load_data(ROOT_PATH +
'/data/zoo/{}_{}.npz'.format(sname, datasize))
X = np.vstack((train.x, dev.x))
Y = np.vstack((train.y, dev.y))
Z = np.vstack((train.z, dev.z))
test_X = test.x
test_G = test.g
t0 = time.time()
EYEN = np.eye(X.shape[0])
ak = get_median_inter_mnist(Z)
N2 = X.shape[0]**2
W0 = _sqdist(Z, None)
W = (np.exp(-W0 / ak / ak / 2) + np.exp(-W0 / ak / ak / 200) +
np.exp(-W0 / ak / ak * 50)) / 3 / N2
del W0
L0, test_L0 = _sqdist(X, None), _sqdist(test_X, X)
# measure time
# callback0(np.random.randn(2)/10,True)
# np.save(ROOT_PATH + "/MMR_IVs/results/zoo/" + sname + '/LMO_errs_{}_nystr_{}_time.npy'.format(seed,train.x.shape[0]),time.time()-t0)
# return
params0 = np.random.randn(2) / 10
bounds = None # [[0.01,10],[0.01,5]]
if nystr:
for _ in range(seed + 1):
random_indices = np.sort(
np.random.choice(range(W.shape[0]), nystr_M, replace=False))
eig_val_K, eig_vec_K = nystrom_decomp(W * N2, random_indices)
inv_eig_val_K = np.diag(1 / eig_val_K / N2)
W_nystr = eig_vec_K @ np.diag(eig_val_K) @ eig_vec_K.T / N2
W_nystr_Y = W_nystr @ Y
obj_grad = value_and_grad(lambda params: LMO_err(params))
try:
res = minimize(obj_grad,
x0=params0,
bounds=bounds,
method='L-BFGS-B',
jac=True,
options={'maxiter': 5000},
callback=callback0)
except Exception as e:
print(e)
PATH = ROOT_PATH + "/MMR_IVs/results/zoo/" + sname + "/"
os.makedirs(PATH, exist_ok=True)
np.save(PATH + 'LMO_errs_{}_nystr_{}.npy'.format(seed, train.x.shape[0]),
[opt_params, prev_norm, opt_test_err])
