def testInitGPNoAmp():
"""
Test default GP initialization.
Parameters
----------
Returns
-------
"""
# For reproducibility
m0 = 50
seed = 57
np.random.seed(seed)
# Randomly sample initial conditions from the prior
theta = np.array(lh.rosenbrockSample(m0))
# Evaluate forward model log likelihood + lnprior for each theta
y = np.zeros(len(theta))
for ii in range(len(theta)):
y[ii] = lh.rosenbrockLnlike(theta[ii]) + lh.rosenbrockLnprior(
theta[ii])
# Set up a gp with a ExpSquaredKernel
gp = gpUtils.defaultGP(theta, y, fitAmp=False)
errMsg = "ERROR: Default initialization with incorrect parameters!"
true = [-31.02658091, -1.0552327, -1.16092752]
assert np.allclose(true, gp.get_parameter_vector()), errMsg
def test_1DBO():
"""
Test Bayesian optimization of 1D function
"""
# Define algorithm parameters
m0 = 3 # Size of initial training set
bounds = [[-1, 2]] # Prior bounds
algorithm = "jones" # Expected Utility from Jones et al. (1998)
numNewPoints = 10 # Number of new design points to find
seed = 57 # RNG seed
np.random.seed(seed)
# First, directly minimize the objective to find the "true minimum"
fn = lambda x : -(lh.testBOFn(x) + lh.testBOFnLnPrior(x))
trueSoln = minimize(fn, lh.testBOFnSample(1), method="nelder-mead")
# Sample design points from prior to create initial training set
theta = lh.testBOFnSample(m0)
# Evaluate forward model log likelihood + lnprior for each point
y = np.zeros(len(theta))
for ii in range(len(theta)):
y[ii] = lh.testBOFn(theta[ii]) + lh.testBOFnLnPrior(theta[ii])
# Initialize default gp with an ExpSquaredKernel
gp = gpUtils.defaultGP(theta, y, fitAmp=True)
# Initialize object using the Wang & Li (2017) Rosenbrock function example
ap = approx.ApproxPosterior(theta=theta,
y=y,
gp=gp,
lnprior=lh.testBOFnLnPrior,
lnlike=lh.testBOFn,
priorSample=lh.testBOFnSample,
bounds=bounds,
algorithm=algorithm)
# Run the Bayesian optimization!
soln = ap.bayesOpt(nmax=numNewPoints, tol=1.0e-3, seed=seed, verbose=False,
cache=False, gpMethod="powell", optGPEveryN=1,
nGPRestarts=3, nMinObjRestarts=5, initGPOpt=True,
minObjMethod="nelder-mead", findMAP=True,
gpHyperPrior=gpUtils.defaultHyperPrior)
# Ensure estimated maximum and value are within 5% of the truth
errMsg = "thetaBest is incorrect."
assert(np.allclose(soln["thetaBest"], trueSoln["x"], rtol=5.0e-2)), errMsg
errMsg = "Maximum function value is incorrect."
assert(np.allclose(soln["valBest"], -trueSoln["fun"], rtol=5.0e-2)), errMsg
# Same as above, but for MAP solution
errMsg = "thetaBest is incorrect."
assert(np.allclose(soln["thetaMAPBest"], trueSoln["x"], rtol=5.0e-2)), errMsg
errMsg = "Maximum function value is incorrect."
assert(np.allclose(soln["valMAPBest"], -trueSoln["fun"], rtol=5.0e-2)), errMsg
def testMAPAmp():
"""
Test MAP estimation
"""
# Define algorithm parameters
m0 = 20 # Initial size of training set
bounds = [(-5, 5), (-5, 5)] # Prior bounds
algorithm = "jones"
seed = 57 # For reproducibility
np.random.seed(seed)
# Randomly sample initial conditions from the prior
theta = np.array(lh.sphereSample(m0))
# Evaluate forward model log likelihood + lnprior for each theta
y = np.zeros(len(theta))
for ii in range(len(theta)):
y[ii] = lh.sphereLnlike(theta[ii]) + lh.sphereLnprior(theta[ii])
# Create the the default GP using an ExpSquaredKernel
gp = gpUtils.defaultGP(theta, y, fitAmp=True)
# Initialize object using the Wang & Li (2017) Rosenbrock function example
# Use default GP initialization: ExpSquaredKernel
ap = approx.ApproxPosterior(theta=theta,
y=y,
gp=gp,
lnprior=lh.sphereLnprior,
lnlike=lh.sphereLnlike,
priorSample=lh.sphereSample,
bounds=bounds,
algorithm=algorithm)
# Optimize the GP hyperparameters
ap.optGP(seed=seed, method="powell", nGPRestarts=3)
# Find some points to add to GP training set
ap.findNextPoint(numNewPoints=5, nGPRestarts=3, cache=False)
# Find MAP solution
trueMAP = [0.0, 0.0]
trueVal = 0.0
testMAP, testVal = ap.findMAP(nRestarts=15)
# Compare estimated MAP to true values, given some tolerance
errMsg = "True MAP solution is incorrect."
assert (np.allclose(trueMAP, testMAP, atol=1.0e-3)), errMsg
errMsg = "True MAP function value is incorrect."
assert (np.allclose(trueVal, testVal, atol=1.0e-3)), errMsg
def testUtilsGPNoAmp():
"""
Test the utility functions! This probes the gp_utils.setup_gp function
(which is rather straight-forward) and makes sure the utility functions
produce the right result (which is also straight-forward). Based on the
Wang+2017 Rosenbrock function example.
Parameters
----------
Returns
-------
"""
# For reproducibility
m0 = 20
seed = 57
np.random.seed(seed)
# Randomly sample initial conditions from the prior
theta = np.array(lh.rosenbrockSample(m0))
# Evaluate forward model log likelihood + lnprior for each theta
y = np.zeros(len(theta))
for ii in range(len(theta)):
y[ii] = lh.rosenbrockLnlike(theta[ii]) + lh.rosenbrockLnprior(
theta[ii])
# Set up a gp
gp = gpUtils.defaultGP(theta, y, fitAmp=False)
# Compute the AGP utility function at some point
thetaTest = np.array([-2.3573, 4.673])
testUtil = ut.AGPUtility(thetaTest, y, gp, lh.rosenbrockLnprior)
errMsg = "ERROR: AGP util fn bug. Did you change gp_utils.setup_gp?"
assert np.allclose(testUtil, 37.41585067, rtol=1.0e-4), errMsg
# Now do the same using the BAPE utility function
testUtil = ut.BAPEUtility(thetaTest, y, gp, lh.rosenbrockLnprior)
errMsg = "ERROR: BAPE util fn bug. Did you change gp_utils.setup_gp?"
assert np.allclose(testUtil, 76.15271103, rtol=1.0e-4), errMsg
# Now do the same using the Jones+1998 utility function
testUtil = ut.JonesUtility(thetaTest, y, gp, lh.rosenbrockLnprior)
errMsg = "ERROR: Jones util fn bug. Did you change gp_utils.setup_gp?"
assert np.allclose(testUtil, 0, rtol=1.0e-4), errMsg
def testFindNoAmp():
"""
Test the findNextPoint function.
"""
# Define algorithm parameters
m0 = 50 # Initial size of training set
bounds = ((-5, 5), (-5, 5)) # Prior bounds
algorithm = "bape"
# For reproducibility
seed = 57
np.random.seed(seed)
# Randomly sample initial conditions from the prior
# Note: adding corner cases because approxposterior loves corners
theta = np.array(list(lh.rosenbrockSample(m0)) + [[-5, 5], [5, 5]])
# Evaluate forward model log likelihood + lnprior for each theta
y = np.zeros(len(theta))
for ii in range(len(theta)):
y[ii] = lh.rosenbrockLnlike(theta[ii]) + lh.rosenbrockLnprior(
theta[ii])
# Set up a gp
gp = gpUtils.defaultGP(theta, y, fitAmp=False)
# Initialize object using the Wang & Li (2017) Rosenbrock function example
# using default ExpSquaredKernel GP
ap = approx.ApproxPosterior(theta=theta,
y=y,
gp=gp,
lnprior=lh.rosenbrockLnprior,
lnlike=lh.rosenbrockLnlike,
priorSample=lh.rosenbrockSample,
bounds=bounds,
algorithm=algorithm)
# Find new point!
thetaT = ap.findNextPoint(computeLnLike=False, bounds=bounds, seed=seed)
err_msg = "findNextPoint selected incorrect thetaT."
assert (np.allclose(thetaT, [0.79813416, 0.85542199],
rtol=1.0e-3)), err_msg
def testGPOptNoAmp():
"""
Test optimizing the GP hyperparameters.
Parameters
----------
Returns
-------
"""
# For reproducibility
m0 = 50
seed = 57
np.random.seed(seed)
# Randomly sample initial conditions from the prior
theta = np.array(lh.rosenbrockSample(m0))
# Evaluate forward model log likelihood + lnprior for each theta
y = np.zeros(len(theta))
for ii in range(len(theta)):
y[ii] = lh.rosenbrockLnlike(theta[ii]) + lh.rosenbrockLnprior(
theta[ii])
# Set up a gp
gp = gpu.defaultGP(theta, y, fitAmp=False)
# Optimize gp using default opt parameters
gp = gpu.optimizeGP(gp, theta, y, seed=seed, nGPRestarts=5)
# Extract GP hyperparameters, compare to truth
# Ignore mean fit - just focus on scale lengths and amplitude
hypeTest = gp.get_parameter_vector()[1:]
print(hypeTest)
errMsg = "ERROR: GP hyperparameters are not close to the true value!"
hypeTrue = [-1.54256578, 3.24723589]
assert np.allclose(hypeTest, hypeTrue, rtol=1.0e-2), errMsg
m0 = 10 # Size of training set
bounds = ((-5, 5), (-5, 5)) # Prior bounds
algorithm = "bape" # Use the Kandasamy et al. (2017) formalism
seed = 57 # RNG seed
np.random.seed(seed)
# Sample design points from prior
theta = lh.sphereSample(m0)
# Evaluate forward model log likelihood + lnprior for each point
y = np.zeros(len(theta))
for ii in range(len(theta)):
y[ii] = lh.sphereLnlike(theta[ii]) + lh.sphereLnprior(theta[ii])
# Initialize default gp with an ExpSquaredKernel
gp = gpUtils.defaultGP(theta, y, white_noise=-12, fitAmp=True)
# Initialize approxposterior object
ap = approx.ApproxPosterior(theta=theta,
y=y,
gp=gp,
lnprior=lh.sphereLnprior,
lnlike=lh.sphereLnlike,
priorSample=lh.sphereSample,
bounds=bounds,
algorithm=algorithm)
# Optimize the GP hyperparameters
ap.optGP(seed=seed, method="powell", nGPRestarts=1)
# Find MAP solution and function value at MAP
y[ii] = mcmcUtils.LnLike(theta[ii], **
kwargs)[0] + trappist1.LnPriorTRAPPIST1(
theta[ii], **kwargs)
np.savez("apRunAPFModelCache.npz", theta=theta, y=y)
else:
print("Loading in cached simulations...")
sims = np.load("apRunAPFModelCache.npz")
theta = sims["theta"]
y = sims["y"]
print(theta.shape)
### Initialize GP ###
# Use ExpSquared kernel, the approxposterior default option
gp = gpUtils.defaultGP(theta, y, white_noise=-15, fitAmp=False)
# Initialize approxposterior
ap = approx.ApproxPosterior(theta=theta,
y=y,
gp=gp,
lnprior=trappist1.LnPriorTRAPPIST1,
lnlike=mcmcUtils.LnLike,
priorSample=trappist1.samplePriorTRAPPIST1,
bounds=bounds,
algorithm=algorithm)
# Run!
ap.run(m=m,
nmax=nmax,
estBurnin=True,
m_low_arr = np.ones_like(mlims_f_j)*m_low
m_high_arr = np.ones_like(mlims_f_j)*m_high
total_obs = sum(len(m) for m in mlims_f_j)
plims_f_bar = 1/(m_high-m_low)**(total_obs)*(1-sum(P_f))
plims_T = 1/(m_high-m_low)**(total_obs)
theta = np.array([[np.random.uniform(low=-17,high=-12),np.random.uniform(low=0,high=1)] for i in range(100)])
y = np.array([kne_inf.ln_prob(th,mlims_f_j,T_f_j,t0,p_d_f,P_f,P_A,P_T,f_bar_sum,plims_f_bar,plims_T,m_low_arr,m_high_arr) for th in theta])
np.savetxt('theta.txt',theta)
np.savetxt('y.txt',y)
y_no_inf = np.nan_to_num(y,neginf=-600.)
y_no_inf[y_no_inf<=-600.] = -600.
#theta = np.loadtxt('theta.txt')
#y_no_inf = np.nan_to_num(np.loadtxt('y.txt'),neginf=-710.)
gp = gpUtils.defaultGP(theta, y_no_inf, white_noise=-12)
m=200
nmax=3
bounds = [(-17,-12),(0,1)]
algorithm = 'bape'
samplerKwargs = {"nwalkers" : 20}
mcmcKwargs = {"iterations" : 8000}
ap = approx.ApproxPosterior(theta=theta, y=y_no_inf, gp=gp, lnprior=kne_inf.ln_prior, lnlike=kne_inf.ln_likelihood,
priorSample=prior_sample, algorithm=algorithm, bounds=bounds)
ap.run(m=m, convergenceCheck=True, estBurnin=True, nGPRestarts=3, mcmcKwargs=mcmcKwargs,
cache=False, samplerKwargs=samplerKwargs, verbose=True, thinChains=True,
optGPEveryN=5,args=[mlims_f_j,T_f_j,t0,p_d_f,P_f,P_A,P_T,f_bar_sum,plims_f_bar,plims_T,m_low_arr,m_high_arr])
for iTrial in range(iTrainInit):
print("Training simulation: %d" % iTrial)
theta[iTrial,:] = SampleStateVector()
y[iTrial] = LnLike(theta[iTrial], **kwargs)[0] + LnPrior(theta[iTrial], **kwargs)
#np.savez("apRunAPFModelCache.npz", theta=theta, y=y)
else:
print("Loading in cached simulations...")
sims = np.load("apRunAPFModelCache.npz")
theta = sims["theta"]
y = sims["y"]
### Initialize GP ###
# Use ExpSquared kernel, the approxposterior default option
gp = gpUtils.defaultGP(theta, y, order=None, white_noise=-12)
# Initialize approxposterior
ap = approx.ApproxPosterior(theta=theta,
y=y,
gp=gp,
lnprior=LnPrior,
lnlike=LnLike,
priorSample=SampleStateVector,
bounds=daBounds,
algorithm=sAlgorithm)
# Run!
ap.run(m=iNewPoints, nmax=iMaxIter, estBurnin=True, mcmcKwargs=mcmcKwargs,
thinChains=True,samplerKwargs=samplerKwargs, verbose=True,
nGPRestarts=iGPRestarts,nMinObjRestarts=iMinObjRestarts,