def fit_network_hawkes_svi(S,
S_test,
dt,
dt_max,
output_path,
model_args={},
standard_model=None,
N_samples=100,
time_limit=8 * 60 * 60,
delay=10.0,
forgetting_rate=0.25):
T, K = S.shape
# Check for existing Gibbs results
if os.path.exists(output_path):
with gzip.open(output_path, 'r') as f:
print("Loading SVI results from ", output_path)
results = pickle.load(f)
else:
print("Fitting the data with a network Hawkes model using SVI")
test_model = DiscreteTimeNetworkHawkesModelGammaMixtureSBM(
K=K, dt=dt, dt_max=dt_max, **model_args)
test_model.add_data(S)
# Initialize with the standard model parameters
if standard_model is not None:
test_model.initialize_with_standard_model(standard_model)
# Precompute F_test
F_test = test_model.basis.convolve_with_basis(S_test)
# Initialize with the standard model parameters
if standard_model is not None:
test_model.initialize_with_standard_model(standard_model)
# TODO: Add the data in minibatches
minibatchsize = 3000
stepsize = (np.arange(N_samples) + delay)**(-forgetting_rate)
# Stochastic variational inference
samples = []
lps = [test_model.log_probability()]
hlls = [test_model.heldout_log_likelihood(S_test)]
times = [0]
for itr in progprint_xrange(N_samples):
# Update the model
tic = time.time()
test_model.sgd_step(minibatchsize=minibatchsize,
stepsize=stepsize[itr])
times.append(time.time() - tic)
# Resample from variational posterior to compute log prob and hlls
test_model.resample_from_mf()
# samples.append(test_model.copy_sample())
samples.append(copy.deepcopy(test_model.get_parameters()))
# Compute log probability and heldout log likelihood
# lps.append(test_model.log_probability())
hlls.append(test_model.heldout_log_likelihood(S_test, F=F_test))
# Save this sample
# with open(output_path + ".svi.itr%04d.pkl" % itr, 'w') as f:
# cPickle.dump(samples[-1], f, protocol=-1)
# Check if time limit has been exceeded
if np.sum(times) > time_limit:
break
# Get cumulative timestamps
timestamps = np.cumsum(times)
lps = np.array(lps)
hlls = np.array(hlls)
# Make results object
results = Results(samples, timestamps, lps, hlls)
# Save the Gibbs samples
with gzip.open(output_path, 'w') as f:
print("Saving SVI samples to ", output_path)
pickle.dump(results, f, protocol=-1)
return results
def fit_network_hawkes_svi(S,
K,
C,
dt,
dt_max,
output_path,
standard_model=None,
N_iters=500,
true_network=None):
# Check for existing Gibbs results
if os.path.exists(output_path + ".svi.pkl.gz"):
with gzip.open(output_path + ".svi.pkl.gz", 'r') as f:
print "Loading SVI results from ", (output_path + ".svi.pkl.gz")
(samples, timestamps) = cPickle.load(f)
elif os.path.exists(output_path + ".svi.itr%04d.pkl" % (N_iters - 1)):
with open(output_path + ".svi.itr%04d.pkl" % (N_iters - 1), 'r') as f:
print "Loading SVI results from ", (output_path +
".svi.itr%04d.pkl" %
(N_iters - 1))
sample = cPickle.load(f)
samples = [sample]
timestamps = None
# (samples, timestamps) = cPickle.load(f)
else:
print "Fitting the data with a network Hawkes model using SVI"
# Make a new model for inference
test_basis = IdentityBasis(dt, dt_max, allow_instantaneous=True)
E_W = 0.01
kappa = 10.
E_v = kappa / E_W
alpha = 10.
beta = alpha / E_v
# network_hypers = {'C': 2,
# 'kappa': kappa, 'alpha': alpha, 'beta': beta,
# 'p': 0.1, 'tau1': 1.0, 'tau0': 1.0,
# 'allow_self_connections': False}
# test_model = DiscreteTimeNetworkHawkesModelGammaMixture(K=K, dt=dt, dt_max=dt_max,
# basis=test_basis,
# network_hypers=network_hypers)
network_hypers = {
'C': 2,
'kappa': kappa,
'alpha': alpha,
'beta': beta,
'p': 0.8,
'allow_self_connections': False
}
test_model = DiscreteTimeNetworkHawkesModelGammaMixtureSBM(
K=K,
dt=dt,
dt_max=dt_max,
basis=test_basis,
network_hypers=network_hypers)
# Initialize with the standard model parameters
if standard_model is not None:
test_model.initialize_with_standard_model(standard_model)
#
# plt.ion()
# im = plot_network(test_model.weight_model.A, test_model.weight_model.W, vmax=0.03)
# plt.pause(0.001)
# TODO: Add the data in minibatches
minibatchsize = 3000
test_model.add_data(S)
# Stochastic variational inference
samples = []
delay = 10.0
forgetting_rate = 0.5
stepsize = (np.arange(N_iters) + delay)**(-forgetting_rate)
timestamps = []
for itr in xrange(N_iters):
if true_network is not None:
# W_score = test_model.weight_model.expected_A()
W_score = test_model.weight_model.expected_W()
print "AUC: ", roc_auc_score(true_network.ravel(),
W_score.ravel())
print "SVI Iter: ", itr, "\tStepsize: ", stepsize[itr]
test_model.sgd_step(minibatchsize=minibatchsize,
stepsize=stepsize[itr])
test_model.resample_from_mf()
samples.append(test_model.copy_sample())
timestamps.append(time.clock())
#
# if itr % 1 == 0:
# plt.figure(1)
# im.set_data(test_model.weight_model.expected_W())
# plt.pause(0.001)
# Save this sample
with open(output_path + ".svi.itr%04d.pkl" % itr, 'w') as f:
cPickle.dump(samples[-1], f, protocol=-1)
# Save the Gibbs samples
with gzip.open(output_path + ".svi.pkl.gz", 'w') as f:
print "Saving SVI samples to ", (output_path + ".svi.pkl.gz")
cPickle.dump((samples, timestamps), f, protocol=-1)
return samples, timestamps
def fit_network_hawkes_svi(S, S_test, dt, dt_max, output_path,
model_args={}, standard_model=None,
N_samples=100, time_limit=8*60*60,
delay=10.0,
forgetting_rate=0.25):
T,K = S.shape
# Check for existing Gibbs results
if os.path.exists(output_path):
with gzip.open(output_path, 'r') as f:
print "Loading SVI results from ", output_path
results = cPickle.load(f)
else:
print "Fitting the data with a network Hawkes model using SVI"
test_model = DiscreteTimeNetworkHawkesModelGammaMixtureSBM(K=K, dt=dt, dt_max=dt_max,
**model_args)
test_model.add_data(S)
# Initialize with the standard model parameters
if standard_model is not None:
test_model.initialize_with_standard_model(standard_model)
# Precompute F_test
F_test = test_model.basis.convolve_with_basis(S_test)
# Initialize with the standard model parameters
if standard_model is not None:
test_model.initialize_with_standard_model(standard_model)
# TODO: Add the data in minibatches
minibatchsize = 3000
stepsize = (np.arange(N_samples) + delay)**(-forgetting_rate)
# Stochastic variational inference
samples = []
lps = [test_model.log_probability()]
hlls = [test_model.heldout_log_likelihood(S_test)]
times = [0]
for itr in progprint_xrange(N_samples):
# Update the model
tic = time.time()
test_model.sgd_step(minibatchsize=minibatchsize, stepsize=stepsize[itr])
times.append(time.time() - tic)
# Resample from variational posterior to compute log prob and hlls
test_model.resample_from_mf()
# samples.append(test_model.copy_sample())
samples.append(copy.deepcopy(test_model.get_parameters()))
# Compute log probability and heldout log likelihood
# lps.append(test_model.log_probability())
hlls.append(test_model.heldout_log_likelihood(S_test, F=F_test))
# Save this sample
# with open(output_path + ".svi.itr%04d.pkl" % itr, 'w') as f:
# cPickle.dump(samples[-1], f, protocol=-1)
# Check if time limit has been exceeded
if np.sum(times) > time_limit:
break
# Get cumulative timestamps
timestamps = np.cumsum(times)
lps = np.array(lps)
hlls = np.array(hlls)
# Make results object
results = Results(samples, timestamps, lps, hlls)
# Save the Gibbs samples
with gzip.open(output_path, 'w') as f:
print "Saving SVI samples to ", output_path
cPickle.dump(results, f, protocol=-1)
return results
def fit_network_hawkes_svi(S, K, C, dt, dt_max, output_path, standard_model=None, N_iters=500, true_network=None):
# Check for existing Gibbs results
if os.path.exists(output_path + ".svi.pkl.gz"):
with gzip.open(output_path + ".svi.pkl.gz", "r") as f:
print "Loading SVI results from ", (output_path + ".svi.pkl.gz")
(samples, timestamps) = cPickle.load(f)
elif os.path.exists(output_path + ".svi.itr%04d.pkl" % (N_iters - 1)):
with open(output_path + ".svi.itr%04d.pkl" % (N_iters - 1), "r") as f:
print "Loading SVI results from ", (output_path + ".svi.itr%04d.pkl" % (N_iters - 1))
sample = cPickle.load(f)
samples = [sample]
timestamps = None
# (samples, timestamps) = cPickle.load(f)
else:
print "Fitting the data with a network Hawkes model using SVI"
# Make a new model for inference
test_basis = IdentityBasis(dt, dt_max, allow_instantaneous=True)
E_W = 0.01
kappa = 10.0
E_v = kappa / E_W
alpha = 10.0
beta = alpha / E_v
# network_hypers = {'C': 2,
# 'kappa': kappa, 'alpha': alpha, 'beta': beta,
# 'p': 0.1, 'tau1': 1.0, 'tau0': 1.0,
# 'allow_self_connections': False}
# test_model = DiscreteTimeNetworkHawkesModelGammaMixture(K=K, dt=dt, dt_max=dt_max,
# basis=test_basis,
# network_hypers=network_hypers)
network_hypers = {
"C": 2,
"kappa": kappa,
"alpha": alpha,
"beta": beta,
"p": 0.8,
"allow_self_connections": False,
}
test_model = DiscreteTimeNetworkHawkesModelGammaMixtureSBM(
K=K, dt=dt, dt_max=dt_max, basis=test_basis, network_hypers=network_hypers
)
# Initialize with the standard model parameters
if standard_model is not None:
test_model.initialize_with_standard_model(standard_model)
#
# plt.ion()
# im = plot_network(test_model.weight_model.A, test_model.weight_model.W, vmax=0.03)
# plt.pause(0.001)
# TODO: Add the data in minibatches
minibatchsize = 3000
test_model.add_data(S)
# Stochastic variational inference
samples = []
delay = 10.0
forgetting_rate = 0.5
stepsize = (np.arange(N_iters) + delay) ** (-forgetting_rate)
timestamps = []
for itr in xrange(N_iters):
if true_network is not None:
# W_score = test_model.weight_model.expected_A()
W_score = test_model.weight_model.expected_W()
print "AUC: ", roc_auc_score(true_network.ravel(), W_score.ravel())
print "SVI Iter: ", itr, "\tStepsize: ", stepsize[itr]
test_model.sgd_step(minibatchsize=minibatchsize, stepsize=stepsize[itr])
test_model.resample_from_mf()
samples.append(test_model.copy_sample())
timestamps.append(time.clock())
#
# if itr % 1 == 0:
# plt.figure(1)
# im.set_data(test_model.weight_model.expected_W())
# plt.pause(0.001)
# Save this sample
with open(output_path + ".svi.itr%04d.pkl" % itr, "w") as f:
cPickle.dump(samples[-1], f, protocol=-1)
# Save the Gibbs samples
with gzip.open(output_path + ".svi.pkl.gz", "w") as f:
print "Saving SVI samples to ", (output_path + ".svi.pkl.gz")
cPickle.dump((samples, timestamps), f, protocol=-1)
return samples, timestamps
def fit_network_hawkes_svi(S,
K,
C,
dt,
dt_max,
output_path,
standard_model=None,
N_iters=100,
true_network=None):
"""
From Scott Linderman's experiments in https://github.com/slinderman/pyhawkes/tree/master/experiments
"""
# Check for existing Gibbs results
if os.path.exists(output_path + ".svi.pkl.gz"):
with gzip.open(output_path + ".svi.pkl.gz", 'r') as f:
print("Loading SVI results from ", (output_path + ".svi.pkl.gz"))
(samples, timestamps) = pickle.load(f)
elif os.path.exists(output_path + ".svi.itr%04d.pkl" % (N_iters - 1)):
with open(output_path + ".svi.itr%04d.pkl" % (N_iters - 1), 'r') as f:
print("Loading SVI results from ",
(output_path + ".svi.itr%04d.pkl" % (N_iters - 1)))
sample = pickle.load(f)
samples = [sample]
timestamps = None
# (samples, timestamps) = cPickle.load(f)
else:
print("Fitting the data with a network Hawkes model using SVI")
#------------- Make a new model for inference
test_basis = IdentityBasis(dt, dt_max, allow_instantaneous=True)
E_W = 0.01
kappa = 10.
E_v = kappa / E_W
alpha = 10.
beta = alpha / E_v
network_hypers = {
'C': 2,
'kappa': kappa,
'alpha': alpha,
'beta': beta,
'p': 0.8,
'allow_self_connections': False
}
test_model = DiscreteTimeNetworkHawkesModelGammaMixtureSBM(
K=K,
dt=dt,
dt_max=dt_max,
basis=test_basis,
network_hypers=network_hypers)
#------------- Initialize with the standard model parameters
if standard_model is not None:
test_model.initialize_with_standard_model(standard_model)
minibatchsize = 3000
test_model.add_data(S)
#------------- Stochastic variational inference learning with default algorithm hyperparameters
samples = []
delay = 10.0
forgetting_rate = 0.5
stepsize = (np.arange(N_iters) + delay)**(-forgetting_rate)
timestamps = []
for itr in range(N_iters):
print("SVI Iter: ", itr, "\tStepsize: ", stepsize[itr])
test_model.sgd_step(minibatchsize=minibatchsize,
stepsize=stepsize[itr])
test_model.resample_from_mf()
samples.append(test_model.copy_sample())
timestamps.append(time.clock())
with open(output_path + ".svi.itr%04d.pkl" % itr, 'w') as f:
pickle.dump(samples[-1], f, protocol=-1)
with gzip.open(output_path + ".svi.pkl.gz", 'w') as f:
print("Saving SVI samples to ", (output_path + ".svi.pkl.gz"))
pickle.dump((samples, timestamps), f, protocol=-1)
return samples, timestamps