def test_HawkesExpKern_solver_step(self):
"""...Test HawkesExpKern setting of step parameter
of solver
"""
for solver in solvers:
if solver in ['bfgs']:
msg = '^Solver "%s" has no settable step$' % solver
with self.assertWarnsRegex(RuntimeWarning, msg):
learner = HawkesExpKern(
self.decays, solver=solver, step=1,
**Test.specific_solver_kwargs(solver))
self.assertIsNone(learner.step)
else:
learner = HawkesExpKern(self.decays, solver=solver,
step=self.float_1,
**Test.specific_solver_kwargs(solver))
self.assertEqual(learner.step, self.float_1)
self.assertEqual(learner._solver_obj.step, self.float_1)
learner.step = self.float_2
self.assertEqual(learner.step, self.float_2)
self.assertEqual(learner._solver_obj.step, self.float_2)
if solver in ['sgd']:
msg = '^SGD step needs to be tuned manually$'
with self.assertWarnsRegex(RuntimeWarning, msg):
learner = HawkesExpKern(self.decays, solver='sgd',
max_iter=1)
learner.fit(self.events, 0.3)
def test_corresponding_simu(self):
"""...Test that the corresponding simulation object is correctly
built
"""
learner = HawkesExpKern(self.decays, max_iter=10)
learner.fit(self.events)
corresponding_simu = learner._corresponding_simu()
self.assertEqual(corresponding_simu.decays, learner.decays)
np.testing.assert_array_equal(corresponding_simu.baseline,
learner.baseline)
np.testing.assert_array_equal(corresponding_simu.adjacency,
learner.adjacency)
def inference(dataset, decays):
adj, events, n = load(dataset)
tick_events = events_to_tick_events(events, n)
learner = HawkesExpKern(decays=decays, penalty="l1", solver="agd", C=1000, verbose=True)
learner.fit(tick_events)
influence_matrix = learner.adjacency
baseline = learner.baseline
print("score = {}".format(learner.score()))
with open("./model/" + dataset + ".pickle", "wb") as f:
pickle.dump([influence_matrix, baseline, decays, n], f)
return
def test_HawkesExpKern_score(self):
"""...Test HawkesExpKern score method
"""
n_nodes = 2
n_realizations = 3
train_events = [[
np.cumsum(np.random.rand(4 + i)) for i in range(n_nodes)
] for _ in range(n_realizations)]
test_events = [[
np.cumsum(np.random.rand(4 + i)) for i in range(n_nodes)
] for _ in range(n_realizations)]
learner = HawkesExpKern(self.decays)
msg = '^You must either call `fit` before `score` or provide events$'
with self.assertRaisesRegex(ValueError, msg):
learner.score()
given_baseline = np.random.rand(n_nodes)
given_adjacency = np.random.rand(n_nodes, n_nodes)
learner.fit(train_events)
train_score_current_coeffs = learner.score()
self.assertAlmostEqual(train_score_current_coeffs, 2.0855840)
train_score_given_coeffs = learner.score(baseline=given_baseline,
adjacency=given_adjacency)
self.assertAlmostEqual(train_score_given_coeffs, 0.59502417)
test_score_current_coeffs = learner.score(test_events)
self.assertAlmostEqual(test_score_current_coeffs, 1.6001762)
test_score_given_coeffs = learner.score(test_events,
baseline=given_baseline,
adjacency=given_adjacency)
self.assertAlmostEqual(test_score_given_coeffs, 0.89322199)
def test_HawkesExpKern_fit_start(self):
"""...Test HawkesExpKern starting point of fit method
"""
n_nodes = len(self.events)
n_coefs = n_nodes + n_nodes * n_nodes
# Do not step
learner = HawkesExpKern(self.decays, max_iter=-1)
learner.fit(self.events)
np.testing.assert_array_equal(learner.coeffs, np.ones(n_coefs))
learner.fit(self.events, start=self.float_1)
np.testing.assert_array_equal(learner.coeffs,
np.ones(n_coefs) * self.float_1)
learner.fit(self.events, start=self.int_1)
np.testing.assert_array_equal(learner.coeffs,
np.ones(n_coefs) * self.int_1)
random_coeffs = np.random.rand(n_coefs)
learner.fit(self.events, start=random_coeffs)
np.testing.assert_array_equal(learner.coeffs, random_coeffs)
def test_HawkesExpKern_fit(self):
"""...Test HawkesExpKern fit with different solvers
and penalties
"""
sto_seed = 179312
n_nodes = 2
events, baseline, adjacency = Test.get_train_data(
n_nodes=n_nodes, betas=self.decays)
start = 0.3
initial_adjacency_error = \
Test.estimation_error(start * np.ones((n_nodes, n_nodes)),
adjacency)
for gofit in gofits:
for penalty in penalties:
for solver in solvers:
solver_kwargs = {
'penalty': penalty,
'tol': 1e-10,
'solver': solver,
'verbose': False,
'max_iter': 10,
'gofit': gofit
}
if penalty != 'none':
solver_kwargs['C'] = 50
if solver in ['sgd', 'svrg']:
solver_kwargs['random_state'] = sto_seed
# manually set step
if solver == 'sgd' and gofit == 'likelihood':
solver_kwargs['step'] = 3e-1
elif solver == 'sgd' and gofit == 'least-squares':
solver_kwargs['step'] = 1e-5
elif solver == 'svrg' and gofit == 'likelihood':
solver_kwargs['step'] = 1e-3
elif solver == 'svrg' and gofit == 'least-squares':
continue
if solver == 'bfgs':
# BFGS only accepts ProxZero and ProxL2sq for now
if penalty != 'l2':
continue
if penalty == 'nuclear':
# Nuclear penalty only compatible with batch solvers
if solver in \
HawkesExpKern._solvers_stochastic:
continue
learner = HawkesExpKern(self.decays, **solver_kwargs)
learner.fit(events, start=start)
adjacency_error = Test.estimation_error(
learner.adjacency, adjacency)
self.assertLess(
adjacency_error, initial_adjacency_error * 0.8,
"solver %s with penalty %s and "
"gofit %s reached too high "
"baseline error" % (solver, penalty, gofit))