def optimize(self, maxiter=1000, perdiff=0.1):
"""
Optimizes the posterior distribution given the data. The
algorithm terminates when either the maximum number of
iterations is reached or the percent difference in the
posterior is less than perdiff.
"""
#if self.gpu:
# self.gdata = to_gpu(np.asarray(self.data, dtype=np.float32))
# self.g_ones = to_gpu(np.ones((self.ncomp,1), dtype=np.float32))
# self.g_ones_long = to_gpu(np.ones((self.nobs, 1), dtype=np.float32))
if self.parallel:
from multiprocessing import RawArray
self.shared_dens_mem = RawArray('d', self.nobs * self.ncomp)
self.shared_dens = np.frombuffer(self.shared_dens_mem).reshape(
self.nobs, self.ncomp)
for w in self.workers:
w.set_dens(self.shared_dens_mem)
w.start()
# start threads
if self.gpu:
self.gpu_workers = init_GPUWorkers(self.data, self.dev_list)
self.expected_labels()
ll_2 = self.log_posterior()
ll_1 = 1
it = 0
if self.verbose:
if self.gpu:
print "starting GPU enabled BEM"
else:
print "starting BEM"
while np.abs(ll_1 - ll_2) > 0.01 * perdiff and it < maxiter:
if isinstance(self.verbose,
int) and self.verbose and not isinstance(
self.verbose, bool):
if it % self.verbose == 0:
print "%d:, %f" % (it, ll_2)
it += 1
self.maximize_mu()
self.maximize_Sigma()
self.maximize_weights()
self.expected_alpha()
self.expected_labels()
ll_1 = ll_2
ll_2 = self.log_posterior()
if self.gpu:
kill_GPUWorkers(self.gpu_workers)
if self.parallel:
for i in xrange(self.num_cores):
self.work_queue[i].put(None)
def optimize(self, maxiter=1000, perdiff=0.1):
"""
Optimizes the posterior distribution given the data. The
algorithm terminates when either the maximum number of
iterations is reached or the percent difference in the
posterior is less than perdiff.
"""
# start threads
if self.gpu:
self.gpu_workers = init_GPUWorkers(self.data, self.dev_list)
self.expected_labels()
ll_2 = self.log_posterior()
ll_1 = 1
it = 0
if self.verbose:
if self.gpu:
print "starting GPU enabled BEM"
else:
print "starting BEM"
while np.abs(ll_1 - ll_2) > 0.01 * perdiff and it < maxiter:
if isinstance(self.verbose,
int) and self.verbose and not isinstance(
self.verbose, bool):
if it % self.verbose == 0:
print "%d:, %f" % (it, ll_2)
it += 1
self.maximize_mu()
self.maximize_Sigma()
self.maximize_weights()
self.expected_alpha()
self.expected_labels()
ll_1 = ll_2
ll_2 = self.log_posterior()
if self.gpu:
kill_GPUWorkers(self.gpu_workers)
def sample(self,
niter=1000,
nburn=100,
thin=1,
tune_interval=100,
ident=False):
"""
Performs MCMC sampling of the posterior. \beta must be sampled
using Metropolis Hastings and its proposal distribution will
be tuned every tune_interval iterations during the burnin
period. It is suggested that an ample burnin is used and the
AR parameters stores the acceptance rate for the stick weights
of \beta and \alpha_0.
"""
if self.verbose:
if self.gpu:
print "starting GPU enabled MCMC"
else:
print "starting MCMC"
# multiGPU init
if self.gpu:
self.gpu_workers = init_GPUWorkers(self.data, self.dev_list)
if self.parallel:
for w in self.workers:
w.start()
self._ident = ident
self._setup_storage(niter, thin)
self._tune_interval = tune_interval
alpha = self._alpha0
alpha0 = self._alpha00
weights = self._weights0
beta = self._beta0
stick_beta = self._stick_beta0
mu = self._mu0
Sigma = self._Sigma0
for i in range(-nburn, niter):
if isinstance(self.verbose, int) and self.verbose and \
not isinstance(self.verbose, bool):
if i % self.verbose == 0:
print i
## update labels
labels, zhat = self._update_labels(mu, Sigma, weights)
## Get initial reference if needed
if i == 0 and ident:
zref = []
for ii in xrange(self.ngroups):
zref.append(zhat[ii].copy())
c0 = np.zeros((self.ncomp, self.ncomp), dtype=np.double)
for j in xrange(self.ncomp):
for ii in xrange(self.ngroups):
c0[j, :] += np.sum(zref[ii] == j)
## update mu and sigma
mu, Sigma, counts = self._update_mu_Sigma(Sigma, labels,
self.alldata)
## update weights, masks
stick_weights, weights = self._update_stick_weights(
counts, beta, alpha0)
stick_beta, beta = self._update_beta(stick_beta, beta,
stick_weights, alpha0, alpha)
## hyper parameters
alpha = self._update_alpha(stick_beta)
alpha0 = self._update_alpha0(stick_weights, beta, alpha0)
## Relabel
if i > 0 and ident:
cost = c0.copy()
for Z, Zr in zip(zhat, zref):
_get_cost(Zr, Z, cost)
_, iii = np.where(munkres(cost))
beta = beta[iii]
weights = weights[:, iii]
mu = mu[iii]
Sigma = Sigma[iii]
## save
if i >= 0:
self.beta[i] = beta
self.weights[i] = weights
self.alpha[i] = alpha
self.alpha0[i] = alpha0
self.mu[i] = mu
self.Sigma[i] = Sigma
elif (nburn + i + 1) % self._tune_interval == 0:
self._tune()
self.stick_beta = stick_beta.copy()
if self.gpu:
kill_GPUWorkers(self.gpu_workers)
if self.parallel:
for ii in range(len(self.workers)):
self.work_queue[ii].put(None)
gpus = [2, 3]
true_labels, data = generate_data(n=N, k=K, ncomps=3)
data = data - data.mean(0)
data = data / data.std(0)
#shuffle the data ...
ind = np.arange(N)
np.random.shuffle(ind)
all_data = data[ind].copy()
w = np.ones(ncomps)
mu = np.zeros((ncomps, J))
Sigma = np.zeros((ncomps, J, J))
for i in range(ncomps):
Sigma[i] = np.identity(J)
workers = multigpu.init_GPUWorkers(data, gpus)
starttime = time.time()
for i in xrange(1000):
if i % 100 == 0:
print i
#import pdb; pdb.set_trace()
ll, ct, xbar, dens = multigpu.get_expected_labels_GPU(
workers, w, mu, Sigma)
labels = multigpu.get_labelsGPU(workers, w, mu, Sigma, True)
## make sure host GPU is ok ...
from pycuda.gpuarray import to_gpu
from pycuda.gpuarray import sum as gsum
test = to_gpu(np.ones(100000, dtype=np.int32))
print gsum(test)
def sample(self, niter=1000, nburn=0, thin=1, ident=False):
"""
samples niter + nburn iterations only storing the last niter
draws thinned as indicated.
if ident is True the munkres identification algorithm will be
used matching to the INITIAL VALUES. These should be selected
with great care. We recommend using the EM algorithm. Also
.. burning doesn't make much sense in this case.
"""
self._setup_storage(niter)
# start threads
if self.parallel:
for w in self.workers:
w.start()
if self.gpu:
self.gpu_workers = init_GPUWorkers(self.data, self.dev_list)
alpha = self._alpha0
weights = self._weights0
mu = self._mu0
Sigma = self._Sigma0
if self.verbose:
if self.gpu:
print "starting GPU enabled MCMC"
else:
print "starting MCMC"
for i in range(-nburn, niter):
if i == 0 and ident:
labels, zref = self._update_labels(mu, Sigma, weights, True)
c0 = np.zeros((self.ncomp, self.ncomp), dtype=np.double)
for j in xrange(self.ncomp):
c0[j, :] = np.sum(zref == j)
zhat = zref.copy()
if isinstance(self.verbose, int) and self.verbose and \
not isinstance(self.verbose, bool):
if i % self.verbose == 0:
print i
labels, zhat = self._update_labels(mu, Sigma, weights, ident)
mu, Sigma, counts = self._update_mu_Sigma(Sigma, labels)
stick_weights, weights = self._update_stick_weights(counts, alpha)
alpha = self._update_alpha(stick_weights)
## relabel if needed:
if i > 0 and ident:
cost = c0.copy()
try:
_get_cost(zref, zhat, cost) #cython!!
except IndexError:
print 'Something stranged happened ... do zref and zhat look correct?'
import pdb
pdb.set_trace()
_, iii = np.where(munkres(cost))
weights = weights[iii]
mu = mu[iii]
Sigma = Sigma[iii]
if i >= 0:
self.weights[i] = weights
self.alpha[i] = alpha
self.mu[i] = mu
self.Sigma[i] = Sigma
# clean up threads
if self.parallel:
for i in xrange(self.num_cores):
self.work_queue[i].put(None)
if self.gpu:
kill_GPUWorkers(self.gpu_workers)