print(
'Improved Validation Bound, Old: {:0.3f}, New: {:0.3f}'
.format(best_logpvalid, logpvalid))
best_logpvalid = logpvalid
# saving model
saver.save(sess, 'models/ihdp')
if epoch % args.print_every == 0:
y0, y1 = get_y0_y1(sess,
y_post,
f0,
f1,
shape=yalltr.shape,
L=1)
y0, y1 = y0 * ys + ym, y1 * ys + ym
score_train = evaluator_train.calc_stats(y1, y0)
rmses_train = evaluator_train.y_errors(y0, y1)
y0, y1 = get_y0_y1(sess,
y_post,
f0t,
f1t,
shape=yte.shape,
L=1)
y0, y1 = y0 * ys + ym, y1 * ys + ym
score_test = evaluator_test.calc_stats(y1, y0)
print(
"Epoch: {}/{}, Validation Bound >= {:0.3f}, ICE_train: {:0.3f}, ACE_train: {:0.3f}, "
"ICE_test: {:0.3f}, ACE_test: {:0.3f}, BETA = {:0.2f}".
format(epoch + 1, n_epoch, logpvalid, score_train[0],
indices = np.array(list(range(0, num_test)))
waste_num = int(drop_ratio * len(indices))
test_filter = indices[:-waste_num] if waste_num != 0 else indices
"""Scoring"""
if task == 'jobs':
evaluator_test = Evaluator(yte[test_filter], tte[test_filter], e=ete[test_filter], task=task)
evaluator_train = Evaluator(yalltr, talltr, e=ealltr, task=task)
else:
evaluator_test = Evaluator(yte[test_filter], tte[test_filter], y_cf=y_cfte[test_filter], mu0=mu0te[test_filter], mu1=mu1te[test_filter], task=task)
evaluator_train = Evaluator(yalltr, talltr, y_cf=np.concatenate([y_cftr, y_cfva], axis=0),
mu0=np.concatenate([mu0tr, mu0va], axis=0), mu1=np.concatenate([mu1tr, mu1va], axis=0), task=task)
# in-test score
y0, y1 = get_y0_y1(sess, y_post, f0, f1, shape=yalltr.shape, L=100, verbose=False, task=task)
if task == 'ihdp':
y0, y1 = y0 * ys + ym, y1 * ys + ym
score = evaluator_train.calc_stats(y1, y0)
scores[i, :] = score
# out-test score
y0t, y1t = get_y0_y1(sess, y_post, f0t, f1t, shape=yte.shape, L=100, verbose=False, task=task)
if task == 'ihdp':
y0t, y1t = y0t * ys + ym, y1t * ys + ym
score_test = evaluator_test.calc_stats(y1t[test_filter], y0t[test_filter])
scores_test[i, :] = score_test
print('Replication: {}/{}, tr_ite: {:0.3f}, tr_ate: {:0.3f}, tr_score: {:0.3f}' \
', te_ite: {:0.3f}, te_ate: {:0.3f}, te_score: {:0.3f}'.format(i + 1, args.reps,
score[0], score[1], score[2],
score_test[0], score_test[1], score_test[2]))
sess.close()
print('CEVAE model total scores ' + str(arg_info))
train_means, train_stds = np.mean(scores, axis=0), sem(scores, axis=0)
train_preds0 = model.predict(train_x, np.zeros(train_t.shape))
train_preds1 = model.predict(train_x, np.ones(train_t.shape))
end = time.time()
in_sample_time = end - start
## In-sample:
eval_in = Evaluator(
y=train_y,
t=train_t.flatten(),
y_cf=train['ycf'][:, repl] if 'ycf' in train else None,
mu0=train['mu0'][:, repl] if 'mu0' in train else None,
mu1=train['mu1'][:, repl] if 'mu1' in train else None,
true_ite=train['ite'][:, repl] if 'ite' in train else None,
true_ate=train['ate'].item() if 'ate' in train else None)
stats_names, in_sample_scores = eval_in.calc_stats(train_preds1,
train_preds0)
stats_names.append('TRAIN_TIME')
stats_names.append('PREDICT_TIME')
scores_in.append(
np.concatenate([in_sample_scores, [train_time, in_sample_time]]))
test = dict(np.load('Data/%s/test.npz' % args.data))
test_x = test['x'][:, :, repl]
test_t = test['t'][:, repl]
test_y = test['yf'][:, repl]
## Out-of-sample:
start = time.time()
test_preds0 = model.predict(test_x, np.zeros(test_t.shape))
test_preds1 = model.predict(test_x, np.ones(test_t.shape))
end = time.time()
if epoch % args.print_every == 0:
# predict for the whole training
yi0, yi1 = get_y0_y1(sess, yi_post, fi0, fi1, shape=yialltr.shape, L=1)
yi0, yi1 = yi0 * yis + yim, yi1 * yis + yim
yj0, yj1 = get_y0_y1(sess, yj_post, fj0, fj1, shape=yjalltr.shape, L=1)
yj0, yj1 = yj0 * yjs + yjm, yj1 * yjs + yjm
# I need to figure out the average of each node, so we need to retrieve which nodes are in a certain pair.
# We have the list of node idx, so we create a data structure s.t. we can group them by the pos and calculate average
avg_yi0, avg_yi1 = average_y(yi0,nodei_map_alltr,pos_i_alltr), average_y(yi1,nodei_map_alltr,pos_i_alltr)
avg_yj0, avg_yj1 = average_y(yj0,nodej_map_alltr,pos_j_alltr), average_y(yj1,nodej_map_alltr,pos_j_alltr)
score_train_i = evaluatori_train.calc_stats(avg_yi1, avg_yi0)
rmses_train_i = evaluatori_train.y_errors(avg_yi0, avg_yi1)
score_train_j = evaluatorj_train.calc_stats(avg_yj1, avg_yj0)
rmses_train_j = evaluatorj_train.y_errors(avg_yj0, avg_yj1)
score_train = merge_scores(score_train_i,score_train_j)
# predict for the test
yi0t, yi1t = get_y0_y1(sess, yi_post, fi0t, fi1t, shape=yite.shape, L=1)
yj0t, yj1t = get_y0_y1(sess, yj_post, fj0t, fj1t, shape=yjte.shape, L=1)
# assuming that the test set shares the same mean and variance with the training set in terms of y
# therefore, we still use yim, yis and yjm, yjs to recover the value of predicted potential outcomes
class TrainLoop(object):
def __init__(self,
in_size,
d,
nh,
h,
n_pseudo_inputs,
prior,
activation,
optimizer,
optim_params,
dataset,
z_dim,
checkpoint_path=None,
cuda=True):
if checkpoint_path is None:
# Save to current directory
self.checkpoint_path = os.getcwd()
else:
self.checkpoint_path = checkpoint_path
if not os.path.isdir(self.checkpoint_path):
os.mkdir(self.checkpoint_path)
self.in_size = in_size
self.d = d
self.nh = nh
self.h = h
self.activation = activation
self.save_fmt = os.path.join(self.checkpoint_path,
'best_model_rep{}.pt')
self.cuda_mode = cuda
self.dataset = dataset
self.optimizer = optimizer
self.optimim_params = optim_params
self.history = {
'train_loss': [],
'valid_loss': [],
'avg_loss': [],
'ite_train': [],
'ite_test': [],
'ate_train': [],
'ate_test': [],
'pehe_train': [],
'pehe_test': []
}
self.z_dim = z_dim
self.n_pseudo_inputs = n_pseudo_inputs
self.prior = prior
def train(self, n_epochs=10, n_reps=1, batch_size=100, save_every=1):
best_val_loss_gen = np.inf
train_iter = tqdm(enumerate(self.dataset.get_train_valid_test()))
scores = np.zeros((n_reps, 3))
scores_test = np.zeros((n_reps, 3))
## Replications loop
for t, (train, valid, test, contfeats, binfeats) in train_iter:
best_val_loss_rep = np.inf
# Lists for logging replication results
train_loss = []
valid_loss = []
avg_loss = []
ite_train = []
ite_test = []
ate_train = []
ate_test = []
pehe_train = []
pehe_test = []
## Setup new models/optimizers
pyro.clear_param_store()
self.encoder = model_.encoder(self.in_size, self.in_size + 1,
self.d, self.nh, self.h,
self.n_pseudo_inputs,
len(self.dataset.binfeats),
len(self.dataset.contfeats),
self.activation)
self.decoder = model_.decoder(self.d, self.nh, self.h,
len(self.dataset.binfeats),
len(self.dataset.contfeats),
self.activation)
self.initialize_params()
if self.cuda_mode:
self.encoder = self.encoder.cuda()
self.decoder = self.decoder.cuda()
if self.optimizer == 'adam':
optim = Adam(self.optimim_params)
elif self.optimizer == 'adamax':
optim = Adamax(self.optimim_params)
else:
print('Select correct optimizer')
self.svi = SVI(self.model, self.guide, optim, loss="ELBO")
## Prepare data
print('\nReplication {}/{} \n'.format(t + 1, n_reps))
(xtr, ttr, ytr), (y_cftr, mu0tr, mu1tr) = train
(xva, tva, yva), (y_cfva, mu0va, mu1va) = valid
(xte, tte, yte), (y_cfte, mu0te, mu1te) = test
xtr, ttr, ytr, y_cftr, mu0tr, mu1tr = torch.from_numpy(xtr).float(
), torch.from_numpy(ttr).float(), torch.from_numpy(ytr).float(
), torch.from_numpy(y_cftr).float(), torch.from_numpy(
mu0tr).float(), torch.from_numpy(mu1tr).float()
xva, tva, yva, y_cfva, mu0va, mu1va = torch.from_numpy(xva).float(
), torch.from_numpy(tva).float(), torch.from_numpy(yva).float(
), torch.from_numpy(y_cfva).float(), torch.from_numpy(
mu0va).float(), torch.from_numpy(mu1va).float()
xte, tte, yte, y_cfte, mu0te, mu1te = torch.from_numpy(xte).float(
), torch.from_numpy(tte).float(), torch.from_numpy(yte).float(
), torch.from_numpy(y_cfte).float(), torch.from_numpy(
mu0te).float(), torch.from_numpy(mu1te).float()
perm = binfeats + contfeats
xtr, xva, xte = xtr[:, perm], xva[:, perm], xte[:, perm]
xalltr, talltr, yalltr = torch.cat((xtr, xva), 0), torch.cat(
(ttr, tva), 0), torch.cat((ytr, yva), 0)
# zero mean, unit variance for y during training
self.ym, self.ys = torch.mean(ytr), torch.std(ytr)
ytr, yva = (ytr - self.ym) / self.ys, (yva - self.ym) / self.ys
train_data = Variable(torch.cat([xtr, ttr, ytr], 1).float())
val_data = Variable(torch.cat([xva, yva, tva], 1).float())
test_data = Variable(xte.float())
if self.cuda_mode:
train_data = train_data.cuda()
val_data = val_data.cuda()
test_data = test_data.cuda()
self.evaluator_test = Evaluator(yte.cuda(),
tte.cuda(),
y_cf=y_cfte.cuda(),
mu0=mu0te.cuda(),
mu1=mu1te.cuda())
self.evaluator_train = Evaluator(
yalltr.cuda(),
talltr.cuda(),
y_cf=torch.cat([y_cftr, y_cfva], 0).cuda(),
mu0=torch.cat([mu0tr, mu0va], 0).cuda(),
mu1=torch.cat([mu1tr, mu1va], 0).cuda())
else:
self.evaluator_test = Evaluator(yte,
tte,
y_cf=y_cfte,
mu0=mu0te,
mu1=mu1te)
self.evaluator_train = Evaluator(
yalltr,
talltr,
y_cf=torch.cat([y_cftr, y_cfva], 0),
mu0=torch.cat([mu0tr, mu0va], 0),
mu1=torch.cat([mu1tr, mu1va], 0))
n_iter_per_epoch, idx = 10 * int(
xtr.shape[0] / batch_size), np.arange(xtr.shape[0])
## Train loop - batches
for epoch in range(n_epochs):
a_loss = 0.0
np.random.shuffle(idx)
## Iterations loop - minibatches
for j in range(n_iter_per_epoch):
batch = Variable(
torch.LongTensor(np.random.choice(idx, batch_size)))
if self.cuda_mode:
batch = batch.cuda()
minibatch_train_data = train_data.index_select(0, batch)
info_dict = self.svi.step(minibatch_train_data)
a_loss += info_dict / minibatch_train_data.size(0)
a_loss = a_loss
#self.print_params_norms()
## evaluation - each save_every epochs
if epoch % save_every == 0:
t_loss = self.svi.evaluate_loss(
train_data) / train_data.size(0)
v_loss = self.svi.evaluate_loss(val_data) / val_data.size(
0)
print("average train loss in epoch {}/{}: {} ".format(
epoch + 1, n_epochs, a_loss))
print("train loss in epoch {}/{}: {} ".format(
epoch + 1, n_epochs, t_loss))
print("validation loss in epoch {}/{}: {}".format(
epoch + 1, n_epochs, v_loss))
metrics_data = torch.cat(
[train_data[:, :-2], val_data[:, :-2]], 0)
y0, y1 = self.get_y0_y1(metrics_data, L=1)
y0, y1 = y0 * self.ys + self.ym, y1 * self.ys + self.ym
score = self.evaluator_train.calc_stats(y1, y0)
y0t, y1t = self.get_y0_y1(test_data, L=1)
y0t, y1t = y0t * self.ys + self.ym, y1t * self.ys + self.ym
score_test = self.evaluator_test.calc_stats(y1t, y0t)
print(
'\nTrain and test metrics in epoch {}/{} ==> tr_ite: {:0.3f}, tr_ate: {:0.3f}, tr_pehe: {:0.3f}, te_ite: {:0.3f}, te_ate: {:0.3f}, te_pehe: {:0.3f}'
.format(epoch + 1, n_epochs, score[0], score[1],
score[2], score_test[0], score_test[1],
score_test[2]))
# Logging epoch results
train_loss.append(t_loss)
valid_loss.append(v_loss)
avg_loss.append(a_loss)
ite_train.append(score[0])
ite_test.append(score_test[0])
ate_train.append(score[1])
ate_test.append(score_test[1])
pehe_train.append(score[2])
pehe_test.append(score_test[2])
# Checking for improvement in the best performance within the replication and overall
if v_loss <= best_val_loss_rep:
print(
'Improved validation bound, old: {:0.3f}, new: {:0.3f}\n '
.format(best_val_loss_rep, v_loss))
best_val_loss_rep = v_loss
self.cur_epoch = epoch
self.checkpointing(t + 1)
if v_loss < best_val_loss_gen:
best_val_loss_gen = v_loss
self.checkpointing()
#Logging replication results
self.history['train_loss'].append(train_loss)
self.history['valid_loss'].append(valid_loss)
self.history['avg_loss'].append(avg_loss)
self.history['ite_train'].append(ite_train)
self.history['ite_test'].append(ite_test)
self.history['ate_train'].append(ate_train)
self.history['ate_test'].append(ate_test)
self.history['pehe_train'].append(pehe_train)
self.history['pehe_test'].append(pehe_test)
## evaluation - each replication - Load best model within the replications
self.load_checkpoint(self.save_fmt.format(t + 1))
y0, y1 = self.get_y0_y1(metrics_data, L=100)
y0, y1 = y0 * self.ys + self.ym, y1 * self.ys + self.ym
score = self.evaluator_train.calc_stats(y1, y0)
scores[t, :] = score
y0t, y1t = self.get_y0_y1(test_data, L=100)
y0t, y1t = y0t * self.ys + self.ym, y1t * self.ys + self.ym
score_test = self.evaluator_test.calc_stats(y1t, y0t)
scores_test[t, :] = score_test
scores_mu = np.mean(scores, axis=0)
scores_std = sem(scores, axis=0)
scores_mu_test = np.mean(scores_test, axis=0)
scores_std_test = sem(scores_test, axis=0)
print(
'\nTrain and test metrics ==> tr_ite: {:0.3f}+-{:0.3f}, tr_ate: {:0.3f}+-{:0.3f}, tr_pehe: {:0.3f}+-{:0.3f}, te_ite: {:0.3f}+-{:0.3f}, te_ate: {:0.3f}+-{:0.3f}, te_pehe: {:0.3f}+-{:0.3f}'
.format(scores_mu[0], scores_std[0], scores_mu[1], scores_std[1],
scores_mu[2], scores_std[2], scores_mu_test[0],
scores_std_test[0], scores_mu_test[1], scores_std_test[1],
scores_mu_test[2], scores_std_test[2]))
# converting log into numpy arrays
for key in self.history.keys():
self.history[key] = np.asarray(self.history[key])
def test(self):
## evaluation - final valid - Load best model over all the replications
self.load_checkpoint(
os.path.join(self.checkpoint_path, 'best_model_gen.pt'))
(train, valid, test, contfeats,
binfeats) = next(self.dataset.get_train_valid_test())
(xdata, tdata, ydata), (y_cfte, mu0te, mu1te) = test
xdata, tdata, ydata, y_cfte, mu0te, mu1te = torch.from_numpy(
xdata).float(), torch.from_numpy(tdata).float(), torch.from_numpy(
ydata).float(), torch.from_numpy(
y_cfte).float(), torch.from_numpy(
mu0te).float(), torch.from_numpy(mu1te).float()
perm = binfeats + contfeats
xdata = xdata[:, perm]
if self.cuda_mode:
xdata = xdata.cuda()
xdata = Variable(xdata.float())
y0t, y1t = self.get_y0_y1(xdata, L=100)
y0t, y1t = y0t * self.ys + self.ym, y1t * self.ys + self.ym
score_test = self.evaluator_test.calc_stats(y1t, y0t)
print(
'\nOverall best model metrics ==> te_ite: {:0.3f}, te_ate: {:0.3f}, te_pehe: {:0.3f}'
.format(score_test[0], score_test[1], score_test[2]))
def get_y0_y1(self, x, L=1, verbose=True):
muq_t0, sigmaq_t0, muq_t1, sigmaq_t1, qt = self.encoder.forward(x)
for l in range(L):
if L > 1 and verbose:
sys.stdout.write('\rSample {}/{}'.format(l + 1, L))
sys.stdout.flush()
try:
y0 += self.decoder.p_y_zt(muq_t0, False) / L
y1 += self.decoder.p_y_zt(muq_t1, True) / L
except UnboundLocalError:
y0 = self.decoder.p_y_zt(muq_t0, False) / L
y1 = self.decoder.p_y_zt(muq_t1, True) / L
if L > 1 and verbose:
print()
return y0.data, y1.data
def model(self, data):
decoder = pyro.module('decoder', self.decoder)
# Normal prior
if self.prior == 0:
z_mu, z_sigma = ng_zeros([data.size(0), self.z_dim
]), ng_ones([data.size(0), self.z_dim])
if self.cuda_mode:
z_mu, z_sigma = z_mu.cuda(), z_sigma.cuda()
z = pyro.sample("latent", dist.normal, z_mu, z_sigma)
elif self.prior == 1:
z_mu, z_sigma = self.vampprior()
z_mu_avg = torch.mean(z_mu, 0)
z_sigma_square = z_sigma * z_sigma
z_sigma_square_avg = torch.mean(z_sigma_square, 0)
z_sigma_avg = torch.sqrt(z_sigma_square_avg)
z_mu_avg = z_mu_avg.expand(data.size(0), z_mu_avg.size(0))
z_sigma_avg = z_sigma_avg.expand(data.size(0), z_sigma_avg.size(0))
z = pyro.sample("latent", dist.normal, z_mu_avg, z_sigma_avg)
x1, x2, t, y = decoder.forward(
z, data[:, :len(self.dataset.binfeats)],
data[:,
len(self.dataset.binfeats):(len(self.dataset.binfeats) +
len(self.dataset.contfeats))],
data[:, -2], data[:, -1])
def vampprior(self):
# Minibatch of size n_pseudo_inputs of "one hot-encoded" embeddings for each pseudo-input
idle_input = Variable(torch.eye(self.n_pseudo_inputs,
self.n_pseudo_inputs),
requires_grad=False)
if self.cuda_mode:
idle_input = idle_input.cuda()
# Generate pseudo-inputs from embeddings
pseudo_inputs = self.encoder.forward_pseudo_inputs(idle_input)
# Calculate mu and var for latent representation of all pseudo inputs
muq_t0, sigmaq_t0, muq_t1, sigmaq_t1, qt = self.encoder.forward(
pseudo_inputs)
z_mu = qt * muq_t1 + (1. - qt) * muq_t0
z_sigma = qt * sigmaq_t1 + (1. - qt) * sigmaq_t0
return z_mu, z_sigma
def guide(self, data):
encoder = pyro.module('encoder', self.encoder)
muq_t0, sigmaq_t0, muq_t1, sigmaq_t1, qt = encoder.forward(
data[:, :(len(self.dataset.binfeats) +
len(self.dataset.contfeats))])
pyro.sample('latent', dist.normal, qt * muq_t1 + (1. - qt) * muq_t0,
qt * sigmaq_t1 + (1. - qt) * sigmaq_t0)
def checkpointing(self, rep=None):
# Checkpointing
print('Saving model...')
ckpt = {
'encoder_state': self.encoder.state_dict(),
'decoder_state': self.decoder.state_dict()
}
if rep:
torch.save(ckpt, self.save_fmt.format(rep))
else:
torch.save(ckpt,
os.path.join(self.checkpoint_path, 'best_model_gen.pt'))
def load_checkpoint(self, ckpt):
if os.path.isfile(ckpt):
ckpt = torch.load(ckpt)
# Load model state
self.encoder.load_state_dict(ckpt['encoder_state'])
self.decoder.load_state_dict(ckpt['decoder_state'])
else:
print('No checkpoint found at: {}'.format(ckpt))
def initialize_params(self):
for layer in self.encoder.modules():
for k, v in layer.named_parameters():
if 'weight' in k:
init.xavier_normal(v)
else:
v.data.zero_()
for layer in self.encoder.modules():
for k, v in layer.named_parameters():
if 'weight' in k:
init.xavier_normal(v)
else:
v.data.zero_()
def print_grad_norms(self):
norm = 0.0
for i, params in enumerate(list(self.encoder.parameters())):
try:
norm += params.grad.norm(2).data[0]
except AttributeError:
print('Params {} with no gradients'.format(i))
print('Sum of grads norms (encoder): {}'.format(norm))
norm = 0.0
for i, params in enumerate(list(self.decoder.parameters())):
try:
norm += params.grad.norm(2).data[0]
except AttributeError:
print('Params {} with no gradients'.format(i))
print('Sum of grads norms (decoder): {}'.format(norm))
def print_params_norms(self):
norm = 0.0
for i, params in enumerate(list(self.encoder.parameters())):
norm += params.norm(2).data[0]
print('Sum of params norms (encoder): {}'.format(norm))
norm = 0.0
for i, params in enumerate(list(self.decoder.parameters())):
norm += params.norm(2).data[0]
print('Sum of params norms (decoder): {}'.format(norm))