def resample_omega(self, augmented_data_list):
"""
Resample omega from its conditional Polya-gamma distribution
:return:
"""
K = self.K
for data in augmented_data_list:
x = data["x"]
T = data["T"]
# TODO: Fix this hack
if "z" in data:
z = data["z"]
elif "states" in data:
z = data["states"].stateseq
else:
raise Exception("Could not find latent states in augmented data!")
psi = z.dot(self.C.T) + self.mu[None, :]
N = N_vec(x).astype(np.float)
tmp_omg = np.zeros(N.size)
ppg.pgdrawvpar(self.ppgs, N.ravel(), psi.ravel(), tmp_omg)
data["omega"] = tmp_omg.reshape((T, self.K-1))
# Clip out zeros
data["omega"] = np.clip(data["omega"], 1e-8,np.inf)
def resample_auxiliary_variables(self):
C, D, ed = self.C, self.D, self.emission_distn
psi = self.gaussian_states.dot(C.T) + self.inputs.dot(D.T) + ed.b.T
b = ed.b_func(self.data)
import pypolyagamma as ppg
ppg.pgdrawvpar(self.ppgs, b.ravel(), psi.ravel(), self.omega.ravel())
def sample_w(self):
"""
This method samples the augmenting w parameters from its conditional posterior distribution.
For details about the augmentation see the paper.
:return: samples for w_i from a polyagamma distribution.
list of lists of arrays num_images x num_subjects x T(image, subject).
"""
nthreads = pypolyagamma.get_omp_num_threads()
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
w = []
for i in range(len(self.saliencies_ts)):
w.append([])
for saliency_ts in self.saliencies_ts[i]:
T = saliency_ts.shape[0]
A = np.ones(T)
w_is = np.zeros(T)
pypolyagamma.pgdrawvpar(
ppgs, A,
np.abs(self.b.value * (saliency_ts - self.s_0.value)),
w_is)
w[-1].append(w_is)
return w
def pg_spike_train(X, Y, C, Omega, D_out, nthreads=None, N=1, neg_bin=False):
"""
Sample Polya-Gamma wy|Y,C,D,X where Y are spike trains and X are the continuous latent states
:param X: List of continuous latent states
:param Y: list of spike trains
:param C: emission parameters. bias parameter is appended to last column.
:param Omega: list used for storing polya-gamma variables
:param D_out: Dimension of output i..e number of neurons
:param nthreads: Number of threads for parallel sampling.
:param N: Maximum number of spikes N for a binomial distribution, or number of failures in negative binomial
:param neg_bin: Boolean flag dictating whether likelihood is negative binomial
:return:
"""
for idx in range(len(X)):
T = X[idx][0, 1:].size
b = N * np.ones(T * D_out)
if neg_bin:
b += Y[idx].flatten(order='F')
if nthreads is None:
nthreads = n_cpu
out = np.empty(T * D_out)
V = C[:, :-1] @ X[
idx][:,
1:] + C[:,
-1][:,
na] # Ignore the first point of the time series
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, b, V.flatten(order='F'), out)
Omega[idx] = out.reshape((D_out, T), order='F')
return Omega
def pg_tree_posterior(states, omega, R, path, depth, nthreads=None):
'''
Sample Polya-Gamma w_n,t|x_t,z_{t+1} where the subscript n denotes the hyperplane
for which we are augmenting with the Polya-Gamma. Thus will augment all the logistic regressions
that was taken while traversing down the tree
:param states: This variable contains the continuous latent states. It is a list of numpy arrays
:param omega: list for storing polya-gamma variables
:param R: normal vectors of hyper-plane where the bias term is the last element in that array. The format is a list of arrays.
:param path: path taken through the tree at time t. a list of numpy arrays
:param depth: maximum depth of the tree
:return: a list of pg rvs for each time series
'''
for idx in range(len(states)):
T = states[idx][0, :].size
b = np.ones(T * (depth - 1))
if nthreads is None:
nthreads = cpu_count()
v = np.ones((depth - 1, T))
out = np.empty(T * (depth - 1))
#Compute parameters for conditional
for d in range(depth - 1):
for t in range(T):
index = int(path[idx][d, t] - 1) # Find which node you went through
v[d, t] = np.matmul(R[d][:-1, index], np.array(states[idx][:, t])) + R[d][-1, index]
seeds = np.random.randint(2 ** 16, size=nthreads)
ppgs = [PyPolyaGamma(seed) for seed in seeds]
#Sample in parallel
pypolyagamma.pgdrawvpar(ppgs, b, v.flatten(order='F'), out)
omega[idx] = out.reshape((depth - 1, T), order='F')
return omega
def _resample_b(self):
V = self.V
# Sample auxiliary variables.
# We could be more efficient here since we only need
# the lower triangular part.
XXTs = [(self.X * m).dot(self.X.T) for m in self.ms]
psis = [self.b + XXT for XXT in XXTs]
omegas = []
for psi in psis:
omega = np.zeros(V**2)
pgdrawvpar(self.ppgs, np.ones(V**2), psi.ravel(), omega)
omegas.append(omega.reshape((V, V)))
# Sample b
J = 1.0 / (self.sigmasq_b + 1e-8)
h = 0.0
for A, mask, XXT, omega in zip(self.As, self.masks, XXTs, omegas):
J += omega * mask
h += (A - 0.5 - omega * XXT) * mask
sigmasq = 1. / J
mu = sigmasq * h
self.b = mu + np.sqrt(sigmasq) * npr.randn(V, V)
# Symmetrize -- only keep lower triangular part
L = np.tril(np.ones((V, V)), k=-1)
self.b = self.b * L + self.b.T * L.T
def resample_omega(self):
pgdrawvpar(
self.ppgs,
N_vec(self.time_word_topic_counts,
axis=1).astype('float64').ravel(), self.psi.ravel(),
self.omega.ravel())
np.clip(self.omega, 1e-32, np.inf, out=self.omega)
def resample_omega(self, augmented_data_list):
"""
Resample omega from its conditional Polya-gamma distribution
:return:
"""
K = self.K
for data in augmented_data_list:
x = data["x"]
T = data["T"]
# TODO: Fix this hack
if "z" in data:
z = data["z"]
elif "states" in data:
z = data["states"].stateseq
else:
raise Exception("Could not find latent states in augmented data!")
psi = z.dot(self.C.T) + self.mu[None, :]
N = N_vec(x).astype(np.float)
tmp_omg = np.zeros(N.size)
ppg.pgdrawvpar(self.ppgs, N.ravel(), psi.ravel(), tmp_omg)
data["omega"] = tmp_omg.reshape((T, self.K-1))
# Clip out zeros
data["omega"] = np.clip(data["omega"], 1e-8,np.inf)
def sample_marks(self):
""" Samples Polya-Gamma variables (at observed and latent events).
:return:
"""
self.marks = numpy.empty(self.N + self.M)
pgdrawvpar(self.pg, numpy.ones(self.N + self.M), self.g, self.marks)
def resample_omega(z, x):
# Resample with Jesse Windle's ported code
b = 1. / T
omega = np.zeros(1)
psi = z
ppg.pgdrawvpar(ppgs, np.array([b]), np.array([psi]), omega)
return omega[0]
def resample_omega(self):
pgdrawvpar(
self.ppgs,
N_vec(self.time_word_topic_counts, axis=1).astype("float64").ravel(),
self.psi.ravel(),
self.omega.ravel(),
)
np.clip(self.omega, 1e-32, np.inf, out=self.omega)
def _info_form_heldout_log_likelihood(self, X, M=10):
"""
We can analytically integrate out z (latent states)
given omega. To estimate the heldout log likelihood of a
data sequence, we Monte Carlo integrate over omega,
where omega is drawn from the prior.
:param data:
:param M: number of Monte Carlo samples for integrating out omega
:return:
"""
# assert len(self.data_list) == 1, "TODO: Support more than 1 data set"
T, K = X.shape
assert K == self.K
kappa = kappa_vec(X)
N = N_vec(X)
# Compute the data-specific normalization constant from the
# augmented multinomial distribution
Z_mul = (gammaln(N + 1) - gammaln(X[:, :-1] + 1) -
gammaln(N - X[:, :-1] + 1)).sum()
Z_mul += (-N * np.log(2.)).sum()
# Monte carlo integrate wrt omega ~ PG(N, 0)
import pypolyagamma as ppg
hlls = np.zeros(M)
for m in range(M):
# Sample omega using the emission distributions samplers
omega = np.zeros(N.size)
ppg.pgdrawvpar(self.emission_distn.ppgs, N.ravel(),
np.zeros(N.size), omega)
omega = omega.reshape((T, K - 1))
# Exactly integrate out the latent states z using message passing
# The "data" is the normal potential from the
states = MultinomialLDSStates(model=self, data=X)
conditional_mean = kappa / np.clip(
omega, 1e-64, np.inf) - self.emission_distn.mu[None, :]
conditional_prec = np.zeros((T, K - 1, K - 1))
for t in range(T):
conditional_prec[t, :, :] = np.diag(omega[t, :])
Z_lds = states.info_log_likelihood(conditional_mean,
conditional_prec)
# Sum them up to get the heldout log likelihood for this omega
hlls[m] = Z_mul + Z_lds
# Now take the log of the average to get the log likelihood
hll = logsumexp(hlls) - np.log(M)
# Use bootstrap to compute error bars
samples = np.random.choice(hlls, size=(100, M), replace=True)
hll_samples = logsumexp(samples, axis=1) - np.log(M)
std_hll = hll_samples.std()
return hll, std_hll
def resample_omega(self, x):
"""
Resample omega from its conditional Polya-gamma distribution
:return:
"""
assert x.ndim == 2
N = x.sum()
# Sum the N's (i.e. the b's in the denominator)
ppg.pgdrawvpar(self.ppgs, N * np.ones(self.K), self.rho, self.omega)
def resample_omega(self, x):
"""
Resample omega from its conditional Polya-gamma distribution
:return:
"""
assert x.ndim == 2
N = x.sum()
# Sum the N's (i.e. the b's in the denominator)
ppg.pgdrawvpar(self.ppgs, N * np.ones(self.K), self.rho, self.omega)
def omega(self, X, y):
"""
In the Polya-gamma augmentation, the precision is
given by an auxiliary variable that we must sample
"""
import pypolyagamma as ppg
psi = self.activation(X)
omega = np.zeros(y.size)
ppg.pgdrawvpar(self.ppgs, self.b_func(y).ravel(), psi.ravel(), omega)
return omega.reshape(y.shape)
def _info_form_heldout_log_likelihood(self, X, M=10):
"""
We can analytically integrate out z (latent states)
given omega. To estimate the heldout log likelihood of a
data sequence, we Monte Carlo integrate over omega,
where omega is drawn from the prior.
:param data:
:param M: number of Monte Carlo samples for integrating out omega
:return:
"""
# assert len(self.data_list) == 1, "TODO: Support more than 1 data set"
T, K = X.shape
assert K == self.K
kappa = kappa_vec(X)
N = N_vec(X)
# Compute the data-specific normalization constant from the
# augmented multinomial distribution
Z_mul = (gammaln(N + 1) - gammaln(X[:,:-1]+1) - gammaln(N-X[:,:-1]+1)).sum()
Z_mul += (-N * np.log(2.)).sum()
# Monte carlo integrate wrt omega ~ PG(N, 0)
import pypolyagamma as ppg
hlls = np.zeros(M)
for m in range(M):
# Sample omega using the emission distributions samplers
omega = np.zeros(N.size)
ppg.pgdrawvpar(self.emission_distn.ppgs,
N.ravel(), np.zeros(N.size),
omega)
omega = omega.reshape((T, K-1))
# Exactly integrate out the latent states z using message passing
# The "data" is the normal potential from the
states = MultinomialLDSStates(model=self, data=X)
conditional_mean = kappa / np.clip(omega, 1e-64,np.inf) - self.emission_distn.mu[None, :]
conditional_prec = np.zeros((T, K-1, K-1))
for t in range(T):
conditional_prec[t,:,:] = np.diag(omega[t,:])
Z_lds = states.info_log_likelihood(conditional_mean, conditional_prec)
# Sum them up to get the heldout log likelihood for this omega
hlls[m] = Z_mul + Z_lds
# Now take the log of the average to get the log likelihood
hll = logsumexp(hlls) - np.log(M)
# Use bootstrap to compute error bars
samples = np.random.choice(hlls, size=(100, M), replace=True)
hll_samples = logsumexp(samples, axis=1) - np.log(M)
std_hll = hll_samples.std()
return hll, std_hll
def resample_omega(self, x):
"""
Resample omega from its conditional Polya-gamma distribution
:return:
"""
assert x.ndim == 2
N = N_vec(x)
# Sum the N's (i.e. the b's in the denominator)
NN = N.sum(0).astype(np.float)
ppg.pgdrawvpar(self.ppgs, NN, self.psi, self.omega)
def resample_omega(self):
# Resample the omega's given N and psi
for data in self.data_list:
M = data["M"]
N = data["N"]
psi = data["psi"] + self.mu[None, :]
# Go through each GP and resample psi given the likelihood
tmp_omg = np.zeros(N.size)
ppg.pgdrawvpar(self.ppgs, N.ravel(), psi.ravel(), tmp_omg)
data["omega"] = tmp_omg.reshape((M, self.K-1))
def resample_omega(self):
# Resample the omega's given N and psi
for data in self.data_list:
M = data["M"]
N = data["N"]
psi = data["psi"] + self.mu[None, :]
# Go through each GP and resample psi given the likelihood
tmp_omg = np.zeros(N.size)
ppg.pgdrawvpar(self.ppgs, N.ravel(), psi.ravel(), tmp_omg)
data["omega"] = tmp_omg.reshape((M, self.K-1))
def resample_omega(self, x):
"""
Resample omega from its conditional Polya-gamma distribution
:return:
"""
assert x.ndim == 2
N = N_vec(x)
# Sum the N's (i.e. the b's in the denominator)
NN = N.sum(0).astype(np.float)
ppg.pgdrawvpar(self.ppgs, NN, self.psi, self.omega)
def omega(self, X, y):
"""
In the Polya-gamma augmentation, the precision is
given by an auxiliary variable that we must sample
"""
import pypolyagamma as ppg
psi = self.activation(X)
omega = np.zeros(y.size)
ppg.pgdrawvpar(self.ppgs,
self.b_func(y).ravel(),
psi.ravel(),
omega)
return omega.reshape(y.shape)
def resample(self, augmented_data_list, temperature=1.0):
"""
Resample omega given xi and psi, then resample psi given omega, X, w, and sigma
"""
for augmented_data in augmented_data_list:
psi = self.activation.compute_psi(augmented_data)
# Resample with Jesse Windle's ported code
b = self.b(augmented_data) * temperature
ppg.pgdrawvpar(self.ppgs, b.ravel(), psi.ravel(),
augmented_data["omega"].ravel())
# Update kappa for the new temperature
a = self.a(augmented_data) * temperature
augmented_data["kappa"] = a - b/2.0
def monte_carlo_approx(M=100000):
ppgs = initialize_polya_gamma_samplers()
# Compute the left hand side analytically
loglhs = psi*a - b * np.log1p(np.exp(psi))
# Compute the right hand side with Monte Carlo
omegas = np.ones(M)
ppg.pgdrawvpar(ppgs, b*np.ones(M), np.zeros(M), omegas)
logrhss = -b * np.log(2) + (a-b/2.)*psi -0.5 * omegas*psi**2
logrhs = logsumexp(logrhss) - np.log(M)
print("Monte Carlo")
print("log LHS: ", loglhs)
print("log RHS: ", logrhs)
def resample(self, augmented_data_list, temperature=1.0):
"""
Resample omega given xi and psi, then resample psi given omega, X, w, and sigma
"""
for augmented_data in augmented_data_list:
psi = self.activation.compute_psi(augmented_data)
# Resample with Jesse Windle's ported code
b = self.b(augmented_data) * temperature
ppg.pgdrawvpar(self.ppgs, b.ravel(), psi.ravel(),
augmented_data["omega"].ravel())
# Update kappa for the new temperature
a = self.a(augmented_data) * temperature
augmented_data["kappa"] = a - b / 2.0
def monte_carlo_approx(M=100000):
ppgs = initialize_polya_gamma_samplers()
# Compute the left hand side analytically
loglhs = psi * a - b * np.log1p(np.exp(psi))
# Compute the right hand side with Monte Carlo
omegas = np.ones(M)
ppg.pgdrawvpar(ppgs, b * np.ones(M), np.zeros(M), omegas)
logrhss = -b * np.log(2) + (a - b / 2.) * psi - 0.5 * omegas * psi**2
logrhs = logsumexp(logrhss) - np.log(M)
print("Monte Carlo")
print("log LHS: ", loglhs)
print("log RHS: ", logrhs)
def test_parallel(verbose=False):
# Call the parallel vectorized version
np.random.seed(0)
n = 5
nthreads = 8
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
if verbose:
print(v3)
return True
def sample_w_i(S, J_i):
"""
:param S: observation matrix
:param J_i: neuron i's couplings
:return: samples for w_i from a polyagamma distribution
"""
nthreads = pypolyagamma.get_omp_num_threads()
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
T = S.shape[0]
A = np.ones(T)
w_i = np.zeros(T)
pypolyagamma.pgdrawvpar(ppgs, A, np.dot(S, J_i), w_i)
return w_i
def _resample_Omega(self, As=[]):
"""
Sample auxiliary Polya-gamma variables for each adjacency matrix
:param As:
:return:
"""
Omegas = []
for A in As:
tmp = np.empty(A.size, dtype=np.float)
ppg.pgdrawvpar(self.ppgs,
np.ones(A.size, dtype=np.int32),
self.Mu.ravel("C"),
tmp)
Omega = tmp.reshape((self.N, self.N), order="C")
Omegas.append(Omega)
return Omegas
def test_parallel(verbose=False):
# Call the parallel vectorized version
np.random.seed(0)
n = 5
nthreads = pypolyagamma.get_omp_num_threads()
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
if verbose:
print(v3)
return True
def _resample_omegav(self, v):
V = self.V
notv = np.ones(V, dtype=bool)
notv[v] = False
omegas = []
for n, (A, m) in enumerate(zip(self.As, self.ms)):
# Scale the covariates by the mask
Xnotv = self.X[notv] * m
xv = self.X[v]
psi = self.b[v][notv] + Xnotv.dot(xv)
bb = np.ones(V-1)
omega = np.zeros(V-1)
pgdrawvpar(self.ppgs, bb, psi, omega)
omegas.append(omega)
return omegas
def resample_transition_auxiliary_variables(self):
# Resample the auxiliary variable for the transition matrix
trans_distn = self.trans_distn
prev_state = one_hot(self.stateseq[:-1], self.num_states)
next_state = one_hot(self.stateseq[1:], self.num_states)
A = trans_distn.A[:, :self.num_states]
C = trans_distn.A[:, self.num_states:self.num_states + self.D_latent]
# D = trans_distn.A[:, self.num_states+self.D_latent:]
b = trans_distn.b
psi = prev_state.dot(A.T) \
+ self.covariates.dot(C.T) \
+ b.T \
# + self.inputs.dot(D.T) \
b_pg = trans_distn.b_func(next_state[:,:-1])
import pypolyagamma as ppg
ppg.pgdrawvpar(self.ppgs, b_pg.ravel(), psi.ravel(), self.trans_omegas.ravel())
def augment_data(self, augmented_data):
"""
Add a matrix of augmented counts
:param augmented_data:
:return:
"""
S = augmented_data["S"]
T = S.shape[0]
assert S.shape[1] == self.N
# Initialize auxiliary variables
augmented_data["omega"] = np.empty((T, self.N))
ppg.pgdrawvpar(self.ppgs, np.ones(T*self.N), np.zeros(T*self.N),
augmented_data["omega"].ravel())
# Precompute kappa (assuming that it is constant given data)
# That is, we can only do this if xi is not resampled
augmented_data["kappa"] = self.a(augmented_data) - self.b(augmented_data)/2.0
# Initialize the mean field local variational parameters
augmented_data["omega"] = np.empty((T, self.N))
def augment_data(self, augmented_data):
"""
Add a matrix of augmented counts
:param augmented_data:
:return:
"""
S = augmented_data["S"]
T = S.shape[0]
assert S.shape[1] == self.N
# Initialize auxiliary variables
augmented_data["omega"] = np.empty((T, self.N))
ppg.pgdrawvpar(self.ppgs, np.ones(T * self.N), np.zeros(T * self.N),
augmented_data["omega"].ravel())
# Precompute kappa (assuming that it is constant given data)
# That is, we can only do this if xi is not resampled
augmented_data["kappa"] = self.a(
augmented_data) - self.b(augmented_data) / 2.0
# Initialize the mean field local variational parameters
augmented_data["omega"] = np.empty((T, self.N))
def resample_auxiliary_variables(self):
# TODO: move this to cython
T, C, D, ed = self.T, self.C, self.D, self.emission_distn
data, size, indices, indptr \
= self.masked_data, self.masked_data.size, \
self.masked_data.indices, self.masked_data.indptr
psi = np.zeros(size)
offset = 0
for t in range(T):
for n in indices[indptr[t]:indptr[t + 1]]:
psi[offset] = self.gaussian_states[t].dot(C[n])
psi[offset] += self.inputs[t].dot(D[n])
psi[offset] += ed.b[n]
offset += 1
psi = csr_matrix((psi, indices, indptr), shape=data.shape)
b = ed.b_func(data)
# Allocate vector for omega
self.omega = np.zeros(size)
ppg.pgdrawvpar(self.ppgs, b.data, psi.data, self.omega)
self.omega = csr_matrix((self.omega, indices, indptr),
shape=data.shape)
def pg_spike_train(X, C, Omega, D_out, nthreads=None):
'''
Sample Polya-Gamma wy|Y,C,D,X where Y are spike trains and X are the continuous latent states
:param X: continuous latent states
:param C: emission parameters. bias parameter is appended to last column.
:param Omega: list used for storing polya-gamma variables
:param D_out: Dimension of output i..e number of neurons
:return: polya gamma samples from conditional posterior in a list of numpy arrays
'''
for idx in range(len(X)):
T = X[idx][0, 1:].size
b = np.ones(T * D_out)
if nthreads is None:
nthreads = cpu_count()
out = np.empty(T * D_out)
V = C[:, :-1] @ X[idx][:, 1:] + C[:, -1][:, na] # Ignore the initial point of the time series
seeds = np.random.randint(2 ** 16, size=nthreads)
ppgs = [PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, b, V.flatten(order='F'), out)
Omega[idx] = out.reshape((D_out, T), order='F')
return Omega
""" Call the different sample methods """ import numpy as np np.random.seed(0) import pypolyagamma as pypolyagamma rng = pypolyagamma.PyRNG(0) ppg = pypolyagamma.PyPolyaGamma(np.random.randint(2**16)) # # Call the single sample # v1 = ppg.pgdraw(1.,1.) # print v1 # # # Call the vectorized version n = 5 # v2 = np.zeros(n) a = 14 * np.ones(n, dtype=np.float) b = 0 * np.ones(n, dtype=np.float) # ppg.pgdrawv(a, b, v2) # print v2 # Call the parallel vectorized version # n = 5 nthreads = 8 v3 = np.zeros(n) seeds = np.random.randint(2**16, size=nthreads) ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds] pypolyagamma.pgdrawvpar(ppgs, a, b, v3) print(v3)
def resample_omega(self):
pgdrawvpar(
self.ppgs, N_vec(self.doc_topic_counts).astype('float64').ravel(),
self.psi.ravel(), self.omega.ravel())
np.clip(self.omega, 1e-32, np.inf, out=self.omega)
def draw_w(self):
"""w: L-by-N; augmented latent variable"""
ns = np.ones(self.N, dtype=np.float)
## draw polya gamma parallelly
for l in xrange(self.L):
ppg.pgdrawvpar(self.ppgs, ns, self.psi[l, :], self.w[l, :])
def _resample_auxiliary_vars(self):
import pypolyagamma as ppg
b, psi = self.b, self.psi
ppg.pgdrawvpar(self.ppgs, b.ravel(), psi.ravel(), self.omega.ravel())
def resample_omega():
ppg.pgdrawvpar(ppgs, np.ones(T*N), psi.ravel(), omega.ravel())
""" Call the different sample methods """ import numpy as np np.random.seed(0) import pypolyagamma as ppg # Call the parallel vectorized version n = 16 b = 2 * np.ones(n, dtype=np.float) z = 0 * np.ones(n, dtype=np.float) v3 = np.zeros(n) # # print "Different seeds" # nthreads = 1 # seeds = np.random.randint(2**16, size=nthreads) # ppgs = [ppg.PyPolyaGamma(seed) for seed in seeds] # ppg.pgdrawvpar(ppgs, b, z, v3) # print v3 # Now try it where they all have the same seed print "Same seed" nthreads = ppg.get_omp_num_threads() print "N threads: ", nthreads seeds = 5 * np.ones(nthreads, dtype=np.uint) ppgs = [ppg.PyPolyaGamma(seed) for seed in seeds] ppg.pgdrawvpar(ppgs, b, z, v3) print v3
def _resample_auxiliary_vars(self):
import pypolyagamma as ppg
b, psi = self.b, self.psi
ppg.pgdrawvpar(self.ppgs, b.ravel(), psi.ravel(),
self.omega.ravel())
def resample(self, psi):
ppg.pgdrawvpar(self.ppgs, self.b.ravel(), psi.ravel(),
self.omega.ravel())
def test_parallel2():
"""Test multiple cases of OMP"""
num_threads = pypolyagamma.get_omp_num_threads()
if num_threads < 2:
return
np.random.seed(0)
# Case 1: n < nthreads, nthreads = num_threads
nthreads = num_threads
n = nthreads - 1
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 2: n < nthreads, nthreads < num_threads
nthreads = num_threads - 1
n = nthreads - 1
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 3: n < nthreads, nthreads > num_threads
nthreads = num_threads + 1
n = nthreads - 1
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 4: n > nthreads, nthreads = num_threads
nthreads = num_threads
n = nthreads + 1
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 5: n > nthreads, nthreads < num_threads
nthreads = num_threads - 1
n = nthreads + 1
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 6: n > nthreads, nthreads > num_threads
nthreads = num_threads + 1
n = nthreads + 1
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 7: n = nthreads, nthreads = num_threads
nthreads = num_threads
n = nthreads
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 8: n = nthreads, nthreads < num_threads
nthreads = num_threads - 1
n = nthreads
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 9: n = nthreads, nthreads > num_threads
nthreads = num_threads + 1
n = nthreads
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
return True
def test_parallel2():
"""Test multiple cases of OMP"""
num_threads = pypolyagamma.get_omp_num_threads()
if num_threads < 2:
return
np.random.seed(0)
# Case 1: n < nthreads, nthreads = num_threads
nthreads = num_threads
n = nthreads - 1
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 2: n < nthreads, nthreads < num_threads
nthreads = num_threads - 1
n = nthreads - 1
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 3: n < nthreads, nthreads > num_threads
nthreads = num_threads + 1
n = nthreads - 1
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 4: n > nthreads, nthreads = num_threads
nthreads = num_threads
n = nthreads + 1
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 5: n > nthreads, nthreads < num_threads
nthreads = num_threads - 1
n = nthreads + 1
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 6: n > nthreads, nthreads > num_threads
nthreads = num_threads + 1
n = nthreads + 1
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 7: n = nthreads, nthreads = num_threads
nthreads = num_threads
n = nthreads
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 8: n = nthreads, nthreads < num_threads
nthreads = num_threads - 1
n = nthreads
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
# Case 9: n = nthreads, nthreads > num_threads
nthreads = num_threads + 1
n = nthreads
v3 = np.zeros(n)
a = 14 * np.ones(n)
b = 0 * np.ones(n)
seeds = np.random.randint(2**16, size=nthreads)
ppgs = [pypolyagamma.PyPolyaGamma(seed) for seed in seeds]
pypolyagamma.pgdrawvpar(ppgs, a, b, v3)
return True