def step(self, point: PointType):
partial_funcs_and_point = [
DictToArrayBijection.mapf(x, start_point=point) for x in self.fs
]
if self.allvars:
partial_funcs_and_point.append(point)
apoint = DictToArrayBijection.map(
{v.name: point[v.name]
for v in self.vars})
step_res = self.astep(apoint, *partial_funcs_and_point)
if self.generates_stats:
apoint_new, stats = step_res
else:
apoint_new = step_res
if not isinstance(apoint_new, RaveledVars):
# We assume that the mapping has stayed the same
apoint_new = RaveledVars(apoint_new, apoint.point_map_info)
point_new = DictToArrayBijection.rmap(apoint_new, start_point=point)
if self.generates_stats:
return point_new, stats
return point_new
def step(self, point):
bij = DictToArrayBijection(self.ordering, point)
inputs = [bij.mapf(x) for x in self.fs]
if self.allvars:
inputs.append(point)
if self.generates_stats:
apoint, stats = self.astep(bij.map(point), *inputs)
return bij.rmap(apoint), stats
else:
apoint = self.astep(bij.map(point), *inputs)
return bij.rmap(apoint)
def find_MAP(start=None,
vars=None,
method="L-BFGS-B",
return_raw=False,
include_transformed=True,
progressbar=True,
maxeval=5000,
model=None,
*args,
**kwargs):
"""
Finds the local maximum a posteriori point given a model.
find_MAP should not be used to initialize the NUTS sampler. Simply call pymc3.sample() and it will automatically initialize NUTS in a better way.
Parameters
----------
start: `dict` of parameter values (Defaults to `model.test_point`)
vars: list
List of variables to optimize and set to optimum (Defaults to all continuous).
method: string or callable
Optimization algorithm (Defaults to 'L-BFGS-B' unless
discrete variables are specified in `vars`, then
`Powell` which will perform better). For instructions on use of a callable,
refer to SciPy's documentation of `optimize.minimize`.
return_raw: bool
Whether to return the full output of scipy.optimize.minimize (Defaults to `False`)
include_transformed: bool, optional defaults to True
Flag for reporting automatically transformed variables in addition
to original variables.
progressbar: bool, optional defaults to True
Whether or not to display a progress bar in the command line.
maxeval: int, optional, defaults to 5000
The maximum number of times the posterior distribution is evaluated.
model: Model (optional if in `with` context)
*args, **kwargs
Extra args passed to scipy.optimize.minimize
Notes
-----
Older code examples used find_MAP() to initialize the NUTS sampler,
but this is not an effective way of choosing starting values for sampling.
As a result, we have greatly enhanced the initialization of NUTS and
wrapped it inside pymc3.sample() and you should thus avoid this method.
"""
model = modelcontext(model)
if start is None:
start = model.test_point
else:
update_start_vals(start, model.test_point, model)
check_start_vals(start, model)
if vars is None:
vars = model.cont_vars
vars = inputvars(vars)
disc_vars = list(typefilter(vars, discrete_types))
allinmodel(vars, model)
start = Point(start, model=model)
bij = DictToArrayBijection(ArrayOrdering(vars), start)
logp_func = bij.mapf(model.fastlogp_nojac)
x0 = bij.map(start)
try:
dlogp_func = bij.mapf(model.fastdlogp_nojac(vars))
compute_gradient = True
except (AttributeError, NotImplementedError, tg.NullTypeGradError):
compute_gradient = False
if disc_vars or not compute_gradient:
pm._log.warning(
"Warning: gradient not available." +
"(E.g. vars contains discrete variables). MAP " +
"estimates may not be accurate for the default " +
"parameters. Defaulting to non-gradient minimization " +
"'Powell'.")
method = "Powell"
if "fmin" in kwargs:
fmin = kwargs.pop("fmin")
warnings.warn(
"In future versions, set the optimization algorithm with a string. "
'For example, use `method="L-BFGS-B"` instead of '
'`fmin=sp.optimize.fmin_l_bfgs_b"`.')
cost_func = CostFuncWrapper(maxeval, progressbar, logp_func)
# Check to see if minimization function actually uses the gradient
if "fprime" in getargspec(fmin).args:
def grad_logp(point):
return nan_to_num(-dlogp_func(point))
opt_result = fmin(cost_func, x0, fprime=grad_logp, *args, **kwargs)
else:
# Check to see if minimization function uses a starting value
if "x0" in getargspec(fmin).args:
opt_result = fmin(cost_func, x0, *args, **kwargs)
else:
opt_result = fmin(cost_func, *args, **kwargs)
if isinstance(opt_result, tuple):
mx0 = opt_result[0]
else:
mx0 = opt_result
else:
# remove 'if' part, keep just this 'else' block after version change
if compute_gradient:
cost_func = CostFuncWrapper(maxeval, progressbar, logp_func,
dlogp_func)
else:
cost_func = CostFuncWrapper(maxeval, progressbar, logp_func)
try:
opt_result = minimize(cost_func,
x0,
method=method,
jac=compute_gradient,
*args,
**kwargs)
mx0 = opt_result["x"] # r -> opt_result
except (KeyboardInterrupt, StopIteration) as e:
mx0, opt_result = cost_func.previous_x, None
if isinstance(e, StopIteration):
pm._log.info(e)
finally:
last_v = cost_func.n_eval
if progressbar:
assert isinstance(cost_func.progress, ProgressBar)
cost_func.progress.total = last_v
cost_func.progress.update(last_v)
print()
vars = get_default_varnames(model.unobserved_RVs, include_transformed)
mx = {
var.name: value
for var, value in zip(vars,
model.fastfn(vars)(bij.rmap(mx0)))
}
if return_raw:
return mx, opt_result
else:
return mx
def dlogp_func(x):
return DictToArrayBijection.mapf(model.fastdlogp_nojac(vars))(
RaveledVars(x, x0.point_map_info))
