t = np.linspace(0, 10, 300)
noise_f = np.random.randn(len(t), 1)
# Construct model.
model = CGPCM(window=2, scale=1, n_u=10, t=t)
# Instantiate model.
models = model()
# Perform sampling.
if args.train:
ks, us, fs = sample(model, t, noise_f)
wd.save((ks, us, fs), "samples.pickle")
else:
ks, us, fs = wd.load("samples.pickle")
# Plot.
plt.figure(figsize=(15, 4))
for i, (k, u, f) in enumerate(zip(ks, us, fs)):
plt.subplot(3, 5, 1 + i)
plt.plot(
B.concat(-t[::-1][:-1], t),
B.concat(u[:-1] * 0, u),
lw=1,
)
if hasattr(model, "t_u"):
plt.scatter(model.t_u, model.t_u * 0, s=5, marker="o", c="black")
# plt.xlabel("Time (s)")
if i == 0:
# Perform sampling.
if args.train:
ks = [
_extract_samples(model.predict_kernel(num_samples=20000))
for model in models
]
psds = [
_extract_samples(model.predict_psd(num_samples=20000))
for model in models
]
model_ks, model_psds = ks, psds
wd.save((model_ks, model_psds), "samples.pickle")
else:
model_ks, model_psds = wd.load("samples.pickle")
# Plot.
plt.figure(figsize=(15, 2.5))
for i, (model, (x, ks)) in enumerate(zip(models, model_ks)):
plt.subplot(1, 6, 1 + i)
for q in [1, 5, 10, 20, 30, 40]:
plt.fill_between(
x,
B.quantile(ks, q / 100, axis=1),
B.quantile(ks, 1 - q / 100, axis=1),
facecolor="tab:blue",
alpha=0.2,
)
plt.plot(x, B.mean(ks, axis=1), c="black")
pred_psd.err_95_lower + 20 * B.log(normaliser._scale),
pred_psd.err_95_upper + 20 * B.log(normaliser._scale),
)
# Save predictions.
wd.save(pred_f, model.name.lower(), "pred_f.pickle")
wd.save(pred_f_test, model.name.lower(), "pred_f_test.pickle")
wd.save(pred_k, model.name.lower(), "pred_k.pickle")
wd.save(pred_psd, model.name.lower(), "pred_psd.pickle")
# Load predictions.
preds_f = {}
preds_f_test = {}
preds_k = {}
preds_psd = {}
for model in models:
preds_f[model.name] = wd.load(model.name.lower(), "pred_f.pickle")
preds_f_test[model.name] = wd.load(model.name.lower(),
"pred_f_test.pickle")
preds_k[model.name] = wd.load(model.name.lower(), "pred_k.pickle")
preds_psd[model.name] = wd.load(model.name.lower(), "pred_psd.pickle")
# Print performances.
for name in ["GPCM", "CGPCM", "RGPCM"]:
with out.Section(name):
t, mean, var = preds_f_test[name]
out.kv("RMSE", metric.rmse(mean, y_test))
out.kv("MLL", metric.mll(mean, var, y_test))
def plot_psd(name, y_label=True, style="pred", finish=True):
"""Plot prediction for the PSD."""
pred_f = (t, ) + posterior.predict(t)
pred_psd = posterior.predict_psd()
pred_psd = (
pred_psd.x,
pred_psd.mean,
pred_psd.err_95_lower,
pred_psd.err_95_upper,
pred_psd.all_samples,
)
pred_k = posterior.predict_kernel()
pred_k = (pred_k.x, pred_k.mean, pred_k.var)
wd.save(pred_f, "pred_f.pickle")
wd.save(pred_psd, "pred_psd.pickle")
wd.save(pred_k, "pred_k.pickle")
else:
pred_f = wd.load("pred_f.pickle")
pred_psd = wd.load("pred_psd.pickle")
pred_k = wd.load("pred_k.pickle")
# Unpack prediction for the PDF and cut off a frequency 0.5.
freqs, mean, lower, upper, samps = pred_psd
upper_freq = 0.5
samps = samps[freqs <= upper_freq, :]
mean = mean[freqs <= upper_freq]
lower = lower[freqs <= upper_freq]
upper = upper[freqs <= upper_freq]
freqs = freqs[freqs <= upper_freq]
# Compute the spectrum of the excitation process.
instance = model()
spec_x = (2 * instance.lam) / (instance.lam**2 + (2 * B.pi * freqs)**2)
scheme="structured",
window=window,
scale=scale,
noise=noise,
n_u=n_u,
n_z=n_z,
t=t,
)
model.fit(t, y, iters=30_000)
k_pred_struc = extract(model.condition(t, y).predict_kernel(t_k))
psd_pred_struc = extract(model.condition(t, y).predict_psd())
wd.save((k_pred_mf, psd_pred_mf, k_pred_struc, psd_pred_struc),
"preds.pickle")
else:
k_pred_mf, psd_pred_mf, k_pred_struc, psd_pred_struc = wd.load(
"preds.pickle")
# Report metrics.
with out.Section("Structured"):
t, mean, var, _, _ = k_pred_struc
inds = t <= 3
out.kv("MLL", metric.mll(mean[inds], var[inds], k[inds]))
out.kv("RMSE", metric.rmse(mean[inds], k[inds]))
with out.Section("Mean field"):
t, mean, var, _, _ = k_pred_mf
inds = t <= 3
out.kv("MLL", metric.mll(mean[inds], var[inds], k[inds]))
out.kv("RMSE", metric.rmse(mean[inds], k[inds]))
plt.figure(figsize=(7.5, 3.75))
parser.add_argument(
"--separable", action="store_true", help="Use a separable model."
)
args = parser.parse_args()
# Determine paths to write things to.
if args.separable:
suffix = "_separable"
else:
suffix = ""
wd = WorkingDirectory(
"_experiments", "simulators", subtle=True, log=f"log_process{suffix}.txt"
)
results = wd.load(f"results_mr{args.mr}_ms{args.ms}{suffix}.pickle")
# Give overview of things that have been stored.
wbml.out.kv("Results", ", ".join(results.keys()))
wbml.out.kv("Parameters", ", ".join(results["learned_parameters"].keys()))
# Print learned scales.
scales = results["learned_parameters"]["space/scales"]
wbml.out.kv("Latitude scale", scales[0])
wbml.out.kv("Longitude scale", scales[1])
# Extract everything from the dictionary of results.
m = results["m"]
p = results["p"]
m_s = results["m_s"]
m_r = results["m_r"]
import numpy as np
import wbml.metric as metric
import wbml.out as out
from scipy.stats import ttest_rel
from wbml.experiment import WorkingDirectory
# Setup script.
wd = WorkingDirectory("_experiments", "crude_oil_aggregate")
# Load all experiments and compute metrics.
names = ["GPCM", "CGPCM", "RGPCM"]
mlls = {name: [] for name in names}
rmses = {name: [] for name in names}
for year in range(2012, 2017 + 1):
wd_results = WorkingDirectory("_experiments", "crude_oil", str(year), observe=True)
t, y = wd_results.load("data.pickle")["test"]
for name in names:
_, mean, var = wd_results.load(name.lower(), "pred_f_test.pickle")
mlls[name].append(metric.mll(mean, var, y))
rmses[name].append(metric.rmse(mean, y))
# Print aggregate results.
for name in names:
with out.Section(name):
out.kv("MLL", np.mean(mlls[name]))
out.kv("MLL (std)", np.std(mlls[name]) / len(mlls[name]) ** 0.5)
out.kv("RMSE", np.mean(rmses[name]))
out.kv("RMSE (std)", np.std(rmses[name]) / len(rmses[name]) ** 0.5)
# Compare results.
for name1, name2 in [("RGPCM", "CGPCM"), ("RGPCM", "GPCM"), ("CGPCM", "GPCM")]:
# Load data.
data = load()
# Create lookups.
lookup_place = {('temp', 'Chi'): 'Chimet', ('temp', 'Cam'): 'Cambermet'}
lookup_size = {0: '10 Days', 1: '15 Days', 2: '1 Month'}
# Plot the results.
plt.figure(figsize=(15, 4))
for d_size in [0, 1, 2]:
d_all, d_train, d_tests = data[d_size]
# Load predictions.
preds = wd.load(f'results{d_size}.pickle')
# Compute SMSEs for the first two data sets; the others are the extended
# ones.
smses = []
for (mean, _, _), d_test in list(zip(preds, d_tests))[:2]:
mean = pd.DataFrame(mean, index=d_test.index, columns=d_train.columns)
smse = wbml.metric.smse(mean, d_test).mean()
smses.append(smse)
smse = np.mean(smses)
# Construct plots.
for i, (mean, lowers, uppers) in enumerate(preds[2:]):
plt.subplot(2, 3, d_size + i * 3 + 1)
# Extract test set and extended test set.
# Load data.
data = load()
# Create lookups.
lookup_place = {("temp", "Chi"): "Chimet", ("temp", "Cam"): "Cambermet"}
lookup_size = {0: "10 Days", 1: "15 Days", 2: "1 Month"}
# Plot the results.
plt.figure(figsize=(15, 4))
for d_size in [0, 1, 2]:
d_all, d_train, d_tests = data[d_size]
# Load predictions.
preds = wd.load(f"results{d_size}.pickle")
# Compute SMSEs for the first two data sets; the others are the extended
# ones.
smses = []
for (mean, _, _), d_test in list(zip(preds, d_tests))[:2]:
mean = pd.DataFrame(mean, index=d_test.index, columns=d_train.columns)
smse = wbml.metric.smse(mean, d_test).mean()
smses.append(smse)
smse = np.mean(smses)
# Construct plots.
for i, (mean, lowers, uppers) in enumerate(preds[2:]):
plt.subplot(2, 3, d_size + i * 3 + 1)
# Extract test set and extended test set.
