def test_run_optimize(self):
gp_noise_process = flexnoise.GPNoiseProcess(self.problem, self.kernel,
[2.0], self.gp_times)
y = gp_noise_process.run_optimize(num_restarts=3, iprint=False)
self.assertEqual(len(y),
self.problem.n_parameters() + 2 * len(self.gp_times))
def test_run_mcmc(self):
gp_noise_process = flexnoise.GPNoiseProcess(self.problem, self.kernel,
[2.0], self.gp_times)
iters = 300
chain = gp_noise_process.run_mcmc(iters, 3, iprint=False)
self.assertEqual(
chain.shape,
(iters // 2, self.problem.n_parameters() + 2 * len(self.gp_times)))
def test_set_gp_beta(self):
gp_noise_process = flexnoise.GPNoiseProcess(self.problem, self.kernel,
[2.0], self.gp_times)
dt = self.times[1] - self.times[0]
limit = 0.01
beta = gp_noise_process.set_gp_beta(100, dt, limit=0.01)
expected = 100 * dt / math.sqrt(-2 * math.log(limit))
self.assertAlmostEqual(beta, expected)
def test_set_gp_hyperparameters(self):
gp_noise_process = flexnoise.GPNoiseProcess(self.problem, self.kernel,
[2.0], self.gp_times)
gp_noise_process.set_gp_hyperparameters(
mu=1.0,
alpha=10.0,
beta=2.0,
)
self.assertEqual(gp_noise_process.mu, 1.0)
self.assertEqual(gp_noise_process.alpha, 10.0)
self.assertEqual(gp_noise_process.beta, 2.0)
def run_figureS2(num_runs=3, output_dir='./'):
"""Run the Gaussian process on block noise data.
This function runs the simulations and saves the results to pickle.
"""
random.seed(12345)
np.random.seed(12345)
all_fits = []
iid_runs = []
sigmas = []
mult_runs = []
gp_runs = []
for run in range(num_runs):
# Make a synthetic time series
times, values, data = generate_time_series(model='logistic',
noise='blocks',
n_times=625)
# Make Pints model and problem
model = pints.toy.LogisticModel()
problem = pints.SingleOutputProblem(model, times, data)
# Initial conditions for model parameters
model_starting_point = [0.08, 50]
# Infer the nonstationary kernel fit
# Run an optimization assumming IID
log_prior = pints.UniformLogPrior([0] * 3, [1e6] * 3)
log_likelihood = pints.GaussianLogLikelihood(problem)
log_posterior = pints.LogPosterior(log_likelihood, log_prior)
opt = pints.OptimisationController(log_posterior,
model_starting_point + [2])
xbest, fbest = opt.run()
# Run the GP fit, using the best fit for initialization
gp_times = times[::25]
kernel = flexnoise.kernels.GPLaplacianKernel
gnp = flexnoise.GPNoiseProcess(problem, kernel, xbest[:2], gp_times)
gnp.set_gp_hyperparameters(mu=0.0, alpha=1.0, beta_num_points=200)
x = gnp.run_optimize(num_restarts=100, parallel=True, maxiter=150)
all_fits.append(x)
# Save all results to pickle
kernel = kernel(None, gp_times)
results = [all_fits, times, data, values, model, problem, kernel]
fname = os.path.join(output_dir, 'figS2_data.pkl')
with open(fname, 'wb') as f:
pickle.dump(results, f)
def test_construct(self):
flexnoise.GPNoiseProcess(self.problem, self.kernel, [2.0],
self.gp_times)
def run_figure2(num_mcmc_samples=20000,
num_mcmc_chains=3,
num_runs=8,
output_dir='./'):
"""Run the Gaussian process on multiplicative data.
This function runs the simulations and saves the results to pickle.
"""
random.seed(123)
np.random.seed(123)
all_fits = []
iid_runs = []
sigmas = []
mult_runs = []
gp_runs = []
for run in range(num_runs):
# Make a synthetic time series
times, values, data = generate_time_series(model='logistic',
noise='multiplicative',
n_times=251)
# Make Pints model and problem
model = pints.toy.LogisticModel()
problem = pints.SingleOutputProblem(model, times, data)
# Initial conditions for model parameters
model_starting_point = [0.08, 50]
# Run MCMC for IID posterior
likelihood = pints.GaussianLogLikelihood
x0 = model_starting_point + [2]
posterior_iid = run_pints(problem, likelihood, x0, num_mcmc_samples)
iid_runs.append(posterior_iid)
# Save standard deviations from IID runs
sigma = np.median(posterior_iid[:, 2])
sigmas.append(sigma)
# Run MCMC for multiplicative noise posterior
likelihood = pints.MultiplicativeGaussianLogLikelihood
x0 = model_starting_point + [0.5, 0.5]
posterior_mult = run_pints(problem, likelihood, x0, num_mcmc_samples)
mult_runs.append(posterior_mult)
# Infer the nonstationary kernel fit
# Run an optimization assumming IID
log_prior = pints.UniformLogPrior([0] * 3, [1e6] * 3)
log_likelihood = pints.GaussianLogLikelihood(problem)
log_posterior = pints.LogPosterior(log_likelihood, log_prior)
opt = pints.OptimisationController(log_posterior,
model_starting_point + [2])
xbest, fbest = opt.run()
# Run the GP fit, using the best fit for initialization
gp_times = times[::10]
kernel = flexnoise.kernels.GPLaplacianKernel
gnp = flexnoise.GPNoiseProcess(problem, kernel, xbest[:2], gp_times)
gnp.set_gp_hyperparameters(mu=0.0, alpha=1.0, beta_num_points=200)
x = gnp.run_optimize(num_restarts=100, parallel=True, maxiter=150)
all_fits.append(x)
# Run MCMC for multivariate normal noise
kernel = flexnoise.kernels.GPLaplacianKernel(None, gp_times)
kernel.parameters = x[2:]
cov = kernel.get_matrix(times)
likelihood = flexnoise.CovarianceLogLikelihood
x0 = model_starting_point
posterior_gp = run_pints(problem,
likelihood,
x0,
num_mcmc_samples,
likelihood_args=[cov])
gp_runs.append(posterior_gp)
# Save all results to pickle
results = [
iid_runs, mult_runs, all_fits, gp_runs, times, data, values, model,
problem, kernel, sigmas
]
fname = os.path.join(output_dir, 'fig2_data.pkl')
with open(fname, 'wb') as f:
pickle.dump(results, f)
