def test_check_discrete_minibatch(self):
disaster_data_t = tt.vector()
disaster_data_t.tag.test_value = np.zeros(len(self.disaster_data))
def create_minibatches():
while True:
return (self.disaster_data, )
with Model():
switchpoint = DiscreteUniform('switchpoint',
lower=self.year.min(),
upper=self.year.max(),
testval=1900)
# Priors for pre- and post-switch rates number of disasters
early_rate = Exponential('early_rate', 1)
late_rate = Exponential('late_rate', 1)
# Allocate appropriate Poisson rates to years before and after current
rate = tt.switch(switchpoint >= self.year, early_rate, late_rate)
disasters = Poisson('disasters', rate, observed=disaster_data_t)
with self.assertRaises(ValueError):
advi_minibatch(n=10,
minibatch_RVs=[disasters],
minibatch_tensors=[disaster_data_t],
minibatches=create_minibatches())
def test_advi_minibatch(self):
n = 1000
sd0 = 2.
mu0 = 4.
sd = 3.
mu = -5.
data = floatX(sd * np.random.randn(n) + mu)
d = n / sd**2 + 1 / sd0**2
mu_post = (n * np.mean(data) / sd**2 + mu0 / sd0**2) / d
data_t = tt.vector()
data_t.tag.test_value = floatX(np.zeros(1,))
def create_minibatch(data):
while True:
data = np.roll(data, 100, axis=0)
yield (data[:100],)
minibatches = create_minibatch(data)
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
x = Normal('x', mu=mu_, sd=sd, observed=data_t)
advi_fit = advi_minibatch(
n=1000, minibatch_tensors=[data_t],
minibatch_RVs=[x], minibatches=minibatches,
total_size=n, learning_rate=1e-1)
np.testing.assert_allclose(advi_fit.means['mu'], mu_post, rtol=0.1)
trace = sample_vp(advi_fit, 10000)
np.testing.assert_allclose(np.mean(trace['mu']), mu_post, rtol=0.4)
np.testing.assert_allclose(np.std(trace['mu']), np.sqrt(1. / d), rtol=0.4)
# Test for n < 10
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
x = Normal('x', mu=mu_, sd=sd, observed=data_t)
advi_fit = advi_minibatch(
n=5, minibatch_tensors=[data_t],
minibatch_RVs=[x], minibatches=minibatches,
total_size=n, learning_rate=1e-1)
# Check to raise NaN with a large learning coefficient
with pytest.raises(FloatingPointError):
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
x = Normal('x', mu=mu_, sd=sd, observed=data_t)
advi_fit = advi_minibatch(
n=1000, minibatch_tensors=[data_t],
minibatch_RVs=[x], minibatches=minibatches,
total_size=n, learning_rate=1e10)
def test_advi_minibatch_shared(self):
n = 1000
sd0 = 2.
mu0 = 4.
sd = 3.
mu = -5.
data = sd * np.random.randn(n) + mu
d = n / sd**2 + 1 / sd0**2
mu_post = (n * np.mean(data) / sd**2 + mu0 / sd0**2) / d
data_t = shared(np.zeros(1, ))
def create_minibatches(data):
while True:
data = np.roll(data, 100, axis=0)
yield (data[:100], )
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
x = Normal('x', mu=mu_, sd=sd, observed=data_t)
advi_fit = advi_minibatch(n=1000,
minibatch_tensors=[data_t],
minibatch_RVs=[x],
minibatches=create_minibatches(data),
total_size=n,
learning_rate=1e-1)
np.testing.assert_allclose(advi_fit.means['mu'], mu_post, rtol=0.1)
trace = sample_vp(advi_fit, 10000)
np.testing.assert_allclose(np.mean(trace['mu']), mu_post, rtol=0.4)
np.testing.assert_allclose(np.std(trace['mu']),
np.sqrt(1. / d),
rtol=0.4)
def test_advi_minibatch_shared(self):
n = 1000
sd0 = 2.
mu0 = 4.
sd = 3.
mu = -5.
data = sd * np.random.randn(n) + mu
d = n / sd**2 + 1 / sd0**2
mu_post = (n * np.mean(data) / sd**2 + mu0 / sd0**2) / d
data_t = shared(np.zeros(1,))
def create_minibatches(data):
while True:
data = np.roll(data, 100, axis=0)
yield (data[:100],)
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
x = Normal('x', mu=mu_, sd=sd, observed=data_t)
advi_fit = advi_minibatch(
n=1000, minibatch_tensors=[data_t],
minibatch_RVs=[x], minibatches=create_minibatches(data),
total_size=n, learning_rate=1e-1)
np.testing.assert_allclose(advi_fit.means['mu'], mu_post, rtol=0.1)
trace = sample_vp(advi_fit, 10000)
np.testing.assert_allclose(np.mean(trace['mu']), mu_post, rtol=0.4)
np.testing.assert_allclose(np.std(trace['mu']), np.sqrt(1. / d), rtol=0.4)
def fit(self, x, y):
if self.verbose:
logging.info('Building pymc3 model')
self.make_model(x, y)
if self.verbose:
logging.info('Sampling...')
with self.model:
minibatch_tensors = [
self.product_id_var,
self.route_id_var,
self.client_id_var,
self.adjusted_demand_var
]
output_rvs = [self.adjusted_demand]
total_size = x.shape[0]
self.v_params = variational.advi_minibatch(
n=int(1e6),
minibatch_tensors=minibatch_tensors,
minibatch_RVs=output_rvs,
total_size=total_size,
minibatches=self.minibatch_tensors(x, y)
)
plt.plot(self.v_params.elbo_vals[-int(1e5):])
plt.savefig('./elbo.png')
self.trace = variational.sample_vp(self.v_params)
if self.verbose:
print(pm.summary(self.trace[100:], varnames=['route_demand', 'client_demand']))
return self
def test_check_discrete_minibatch(self):
disaster_data_t = tt.vector()
disaster_data_t.tag.test_value = np.zeros(len(self.disaster_data))
def create_minibatches():
while True:
return (self.disaster_data,)
with Model():
switchpoint = DiscreteUniform(
'switchpoint', lower=self.year.min(), upper=self.year.max(), testval=1900)
# Priors for pre- and post-switch rates number of disasters
early_rate = Exponential('early_rate', 1)
late_rate = Exponential('late_rate', 1)
# Allocate appropriate Poisson rates to years before and after current
rate = tt.switch(switchpoint >= self.year, early_rate, late_rate)
disasters = Poisson('disasters', rate, observed=disaster_data_t)
with self.assertRaises(ValueError):
advi_minibatch(n=10, minibatch_RVs=[disasters], minibatch_tensors=[disaster_data_t],
minibatches=create_minibatches(), verbose=False)
def test_advi_minibatch():
n = 1000
sd0 = 2.
mu0 = 4.
sd = 3.
mu = -5.
data = sd * np.random.RandomState(0).randn(n) + mu
d = n / sd**2 + 1 / sd0**2
mu_post = (n * np.mean(data) / sd**2 + mu0 / sd0**2) / d
data_t = tt.vector()
data_t.tag.test_value = np.zeros(1, )
with Model() as model:
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
x = Normal('x', mu=mu_, sd=sd, observed=data_t)
minibatch_RVs = [x]
minibatch_tensors = [data_t]
def create_minibatch(data):
while True:
data = np.roll(data, 100, axis=0)
yield (data[:100], )
minibatches = create_minibatch(data)
with model:
advi_fit = advi_minibatch(n=1000,
minibatch_tensors=minibatch_tensors,
minibatch_RVs=minibatch_RVs,
minibatches=minibatches,
total_size=n,
learning_rate=1e-1,
random_seed=1)
np.testing.assert_allclose(advi_fit.means['mu'], mu_post, rtol=0.1)
trace = sample_vp(advi_fit, 10000)
np.testing.assert_allclose(np.mean(trace['mu']), mu_post, rtol=0.4)
np.testing.assert_allclose(np.std(trace['mu']), np.sqrt(1. / d), rtol=0.4)
def test_advi_minibatch():
n = 1000
sd0 = 2.
mu0 = 4.
sd = 3.
mu = -5.
data = sd * np.random.RandomState(0).randn(n) + mu
d = n / sd**2 + 1 / sd0**2
mu_post = (n * np.mean(data) / sd**2 + mu0 / sd0**2) / d
data_t = tt.vector()
data_t.tag.test_value=np.zeros(1,)
with Model() as model:
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
x = Normal('x', mu=mu_, sd=sd, observed=data_t)
minibatch_RVs = [x]
minibatch_tensors = [data_t]
def create_minibatch(data):
while True:
data = np.roll(data, 100, axis=0)
yield (data[:100],)
minibatches = create_minibatch(data)
with model:
advi_fit = advi_minibatch(
n=1000, minibatch_tensors=minibatch_tensors,
minibatch_RVs=minibatch_RVs, minibatches=minibatches,
total_size=n, learning_rate=1e-1, random_seed=1
)
np.testing.assert_allclose(advi_fit.means['mu'], mu_post, rtol=0.1)
trace = sample_vp(advi_fit, 10000)
np.testing.assert_allclose(np.mean(trace['mu']), mu_post, rtol=0.4)
np.testing.assert_allclose(np.std(trace['mu']), np.sqrt(1. / d), rtol=0.4)
def test_advi_minibatch(self):
n = 1000
sd0 = 2.
mu0 = 4.
sd = 3.
mu = -5.
data = sd * np.random.randn(n) + mu
d = n / sd**2 + 1 / sd0**2
mu_post = (n * np.mean(data) / sd**2 + mu0 / sd0**2) / d
data_t = tt.vector()
data_t.tag.test_value = np.zeros(1, )
def create_minibatch(data):
while True:
data = np.roll(data, 100, axis=0)
yield (data[:100], )
minibatches = create_minibatch(data)
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
x = Normal('x', mu=mu_, sd=sd, observed=data_t)
advi_fit = advi_minibatch(n=1000,
minibatch_tensors=[data_t],
minibatch_RVs=[x],
minibatches=minibatches,
total_size=n,
learning_rate=1e-1)
np.testing.assert_allclose(advi_fit.means['mu'], mu_post, rtol=0.1)
trace = sample_vp(advi_fit, 10000)
np.testing.assert_allclose(np.mean(trace['mu']), mu_post, rtol=0.4)
np.testing.assert_allclose(np.std(trace['mu']),
np.sqrt(1. / d),
rtol=0.4)
# Test for n < 10
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
x = Normal('x', mu=mu_, sd=sd, observed=data_t)
advi_fit = advi_minibatch(n=5,
minibatch_tensors=[data_t],
minibatch_RVs=[x],
minibatches=minibatches,
total_size=n,
learning_rate=1e-1)
# Check to raise NaN with a large learning coefficient
with self.assertRaises(FloatingPointError):
with Model():
mu_ = Normal('mu', mu=mu0, sd=sd0, testval=0)
x = Normal('x', mu=mu_, sd=sd, observed=data_t)
advi_fit = advi_minibatch(n=1000,
minibatch_tensors=[data_t],
minibatch_RVs=[x],
minibatches=minibatches,
total_size=n,
learning_rate=1e10)