def sample_posterior_M(self, thetaval):
n = np.shape(self.X)[0]
m = np.shape(self.Z)[0]
K = GaussianKernel(thetaval)
Kxz = K.kernel(self.X, self.Z)
Kyz = K.kernel(self.Y, self.Z)
G = Kxz - Kyz # Compute the observations
Delta_val = np.mean(G, axis=0)
Dzz = squareform(pdist(self.Z, 'sqeuclidean')) # Compute the R matrix
R = np.exp(-Dzz / float(4 * thetaval**2)) + 10**(-8) * np.eye(m)
H = np.eye(n) - np.ones((n, n)) / np.float(n)
if self.ifindependent:
Sigma1 = Kxz.T.dot(H.dot(Kxz)) / (n**2)
Sigma2 = Kyz.T.dot(H.dot(Kyz)) / (n**2)
Sigma = Sigma1 + Sigma2 + 10**(-8) * np.eye(m)
else:
Sigma = np.transpose(G).dot(H.dot(G)) / np.float(
n**2) + 10**(-8) * np.eye(m)
BF = multivariate_normal.pdf(
Delta_val, cov=Sigma) / multivariate_normal.pdf(Delta_val,
cov=R + Sigma)
Prob_M1 = 1 / np.float(BF + 1)
mm = bernoulli.rvs(Prob_M1, size=1)
if mm == 0:
M = 0
else:
M = 1
return BF, M
def ridge_error(nlp, nn, ni, sgma=1.0):
mse_pres = np.zeros(nlp)
for ii in np.arange(nlp):
x_tr, y_tr, x_tt, y_tt = dat_gen(nn, ni)
kernel = GaussianKernel(float(sgma))
lamda_pre, width_pre = kernel.xvalidate(x_tr,
y_tr,
method="ridge_regress")
mse_pres[ii] = err_pre(x_tr, y_tr, x_tt, y_tt, width_pre, lamda_pre)
mse_pre = np.mean(mse_pres)
return mse_pre
def disRe_corc(par,eta,lnd_cho,X,Y,Xtst = None,Ytst = None): mu_tr,sigma_tr = bag_cor(par[0],eta,X,lnd_cho) kernel = GaussianKernel(float(par[1])) if Xtst is None: beta = kernel.ridge_regress(mu_tr,Y,par[2]) else: mu_tt,sigma_tt = bag_cor(par[0],eta,Xtst,lnd_cho) if Ytst is None: beta,prdt = kernel.ridge_regress(mu_tr,Y,par[2],mu_tt) else: beta,prdt,mse = kernel.ridge_regress(mu_tr,Y,par[2],mu_tt,Ytst) return beta,prdt,np.sqrt(mse)
def disRe(par,lnd_cho,X,Y,Xtst=None,Ytst = None): mu_tr = pln_ebeding(par[0],X,lnd_cho) kernel = GaussianKernel(float(par[1])) if Xtst is None: beta = kernel.ridge_regress(mu_tr,Y,par[2]) else: mu_tt = pln_ebeding(par[0],Xtst,lnd_cho) if Ytst is None: beta,prdt = kernel.ridge_regress(mu_tr,Y,par[2],mu_tt) else: beta,prdt,mse = kernel.ridge_regress(mu_tr,Y,par[2], mu_tt, Ytst) return beta,prdt,np.sqrt(mse)
def rff_error(nlp, nn, ni, D, sgma=1.0):
mse_rffs = np.zeros(nlp)
for ii in np.arange(nlp):
x_tr, y_tr, x_tt, y_tt = dat_gen(nn, ni)
kernel = GaussianKernel(float(sgma))
kernel.rff_generate(D)
lamda_rff, width_rff = kernel.xvalidate(x_tr,
y_tr,
method="ridge_regress_rff")
mse_rffs[ii] = err_rff(x_tr, y_tr, x_tt, y_tt, width_rff, lamda_rff, D)
mse_rff = np.mean(mse_rffs)
return mse_rff
def UnitTestBagKernel(which_bag_kernel):
num_bagsX = 20
num_bagsY = 30
shift = 2.0
dim = 3
bagsize = 50
qvar = 0.6
baglistx = list()
baglisty = list()
for _ in range(num_bagsX):
muX = np.sqrt(qvar) * np.random.randn(1, dim)
baglistx.append(muX +
np.sqrt(1 - qvar) * np.random.randn(bagsize, dim))
for _ in range(num_bagsY):
muY = np.sqrt(qvar) * np.random.randn(1, dim)
muY[:, 0] = muY[:, 0] + shift
baglisty.append(muY +
np.sqrt(1 - qvar) * np.random.randn(bagsize, dim))
data_kernel = GaussianKernel(1.0)
bag_kernel = which_bag_kernel(data_kernel)
bag_kernel.show_kernel_matrix(baglistx + baglisty)
print '...successfully visualised kernel matrix on bags.'
bag_kernel.rff_generate(dim=dim)
bagmmd = bag_kernel.estimateMMD_rff(baglistx, baglisty)
print '...successfully computed rff mmd on bags; value: ', bagmmd
response_y = np.random.randn(num_bagsX)
bag_kernel.ridge_regress_rff(baglistx, response_y)
print '...successfully ran rff ridge regression on bags.'
print 'unit test ran for ', bag_kernel.__str__()
def get_bag_median_sqdist(feats, indiv_bw, num_freq=250, seed=23):
data_gauss_kernel = GaussianKernel(sigma=indiv_bw)
gauss_kernel = LinearBagKernel(data_gauss_kernel)
# TODO:check this is correct, works for list
np.random.seed(seed)
gauss_kernel.rff_generate(mdata= num_freq, dim= feats.ndim)
means = gauss_kernel.rff_expand(batch)
bag_median_sqdist = self.get_median_sqdist(means)
return bag_median_sqdist
def compute_average_BF(n, m, nsim, Xmean, Xstd, Ymean, Ystd, Ydist='Normal',
thetaval = np.linspace(0.001, 60, 100), rdseed = 12231):
if thetaval is None:
ntheta = 1
else:
ntheta = np.shape(thetaval)[0]
BFmat = np.zeros((nsim, ntheta))
ProbM1mat = np.zeros((nsim, ntheta))
for ll in range(nsim):
np.random.seed(rdseed)
X = np.reshape(normal(Xmean, Xstd, n), (n, 1))
Zx = normal(Xmean, Xstd, int(m / 2))
if Ydist == 'Normal':
Y = np.reshape(normal(Ymean, Ystd, n), (n, 1))
Zy = normal(Ymean, Ystd, int(m / 2))
elif Ydist == 'Laplace':
Y = np.reshape(laplace(Ymean, Ystd, n), (n, 1))
Zy = laplace(Ymean, Ystd, int(m / 2))
else:
raise NotImplementedError
Z = np.reshape(np.concatenate((Zx, Zy)), (m, 1))
if thetaval is None:
K = GaussianKernel()
XY = np.reshape(np.concatenate((X, Y)), (2 * n, 1))
median_heuristic_theta = K.get_sigma_median_heuristic(XY)
BF_val, prob_M1_val = compute_ProbM1(X, Y, Z, np.array([median_heuristic_theta]), Independent=True)
else:
BF_val, prob_M1_val = compute_ProbM1(X, Y, Z, thetaval, Independent=True)
median_heuristic_theta = None
BFmat[ll, :] = BF_val.reshape(-1)
ProbM1mat[ll,:] = prob_M1_val.reshape(-1)
rdseed += 1
return BFmat, ProbM1mat, median_heuristic_theta
def err_computing(nlp,nn,ni,D_ftr,sgma0,lamda0):
### the error for ridge regression
err_pres = np.zeros(nlp)
### the error for the rff
err_rffs = np.zeros(nlp)
### the error difference for the two regression
err_pre_rffs = np.zeros(nlp)
for num in range(nlp):
### generating data
xs,ys,xt,yt =dat_gen(nn,ni)
### run xvalidation
kernel = GaussianKernel(sgma0)
lamda_pre, width_pre = kernel.xvalidate(xs,ys,method="ridge_regress")
kernel.rff_generate(D_ftr)
lamda_rff,width_rff = kernel.xvalidate(xs,ys,method="ridge_regress_rff")
### perform ridge regression
y_pre, err_pre0 = err_pre(xs,ys,xt,yt,width_pre,lamda_pre)
err_pres[num] = err_pre0
### perform random fourier features
y_rff, err_rff0 = err_rff(xs,ys,xt,yt,width_rff,lamda_rff,D_ftr)
err_rffs[num] = err_rff0
### comparing the difference between two predictions
err_pre_rffs[num] = np.linalg.norm(y_pre-y_rff)**2/ni
### the mean square error for ridge regression
mse_pre = np.mean(err_pres)
### the mean square error for rff
mse_rff = np.mean(err_rffs)
### the mean square error for the difference between ridge and rff
mse_pre_rff = np.mean(err_pre_rffs)
results = np.array([mse_pre,mse_rff,mse_pre_rff])
return results
#Set data parameters
offset_data = 1.0
lengthscale_data = 1.0 / 3.0 #fixed to be a third od the range of the dataset
sigma_data = 1.0
random_noise = np.random.normal(loc=0.0, scale=1.0, size=None)
#Set initial parameters
#gamma = 1. #to check
#lengthscale_initial = np.sqrt(1/(2*gamma)) + random_noise
lengthscale_initial = lengthscale_data + random_noise
offset_initial = offset_data + random_noise
sigma_initial = sigma_data + random_noise
inputs = np.linspace(0, 1, num=N_all)[:, np.newaxis]
sigma = GaussianKernel(sigma=lengthscale_data).kernel(
inputs, inputs) #lenghtscale in kerpy is called sigma
#np.savetxt("../../Workspace/updated_AutoGP/R_plots/inputs.csv", inputs, header="inputs", delimiter=",")
# There is a problem of numerical precision
#pert = np.zeros((N_all,N_all))
#np.fill_diagonal(pert, 0.001)
#print('perturbation',pert)
#print('this is the covariance used to generate the data', sigma)
#print('this is the covariance shape', sigma.shape)
#print('its cholesky', np.linalg.cholesky(sigma+pert))
#sigma = MaternKernel(width = lengthscale_data, nu = 1.5, sigma = sigma_data).kernel(inputs,inputs) #Matern 3_2
#sigma = MaternKernel(width = lengthscale_data, nu = 2.5, sigma = sigma_data).kernel(inputs,inputs) #Matern 5_2
#sigma = sk.rbf_kernel(inputs, inputs)
#sigma = sk.rbf_kernel(inputs, inputs, gamma = 50)
def estimate_skeleton( data_matrix, alpha, **kwargs):
# originally first argument is indep_test_func
# now this version uses HSIC Spectral Test for independence
# and KRESIT for conditional independence.
"""Estimate a skeleton graph from the statistis information.
Args:
indep_test_func: the function name for a conditional
independency test.
data_matrix: data (as a numpy array).
alpha: the significance level.
kwargs:
'max_reach': maximum value of l (see the code). The
value depends on the underlying distribution.
'method': if 'stable' given, use stable-PC algorithm
(see [Colombo2014]).
other parameters may be passed depending on the
indep_test_func()s.
Returns:
g: a skeleton graph (as a networkx.Graph).
sep_set: a separation set (as an 2D-array of set()).
[Colombo2014] Diego Colombo and Marloes H Maathuis. Order-independent
constraint-based causal structure learning. In The Journal of Machine
Learning Research, Vol. 15, pp. 3741-3782, 2014.
"""
def method_stable(kwargs):
return ('method' in kwargs) and kwargs['method'] == "stable"
node_ids = range(data_matrix.shape[1])
g = _create_complete_graph(node_ids)
node_size = data_matrix.shape[1]
sep_set = [[set() for i in range(node_size)] for j in range(node_size)]
X_idx_list_init = []
Y_idx_list_init = []
Z_idx_list_init = []
pval_list_init = []
l = 0
completed_xy_idx_init = 0
completed_z_idx_init = 0
remove_edges_current = []
results_filename = kwargs['results_filename']
myfolder = "pcalg_results/"
save_filename = myfolder + results_filename + ".bin"
#print("save_filename:", save_filename)
#sys.exit(1)
if not os.path.exists(myfolder):
os.mkdir(myfolder)
elif os.path.exists(save_filename):
load_f = open(save_filename,"r")
[X_idx_list_init, Y_idx_list_init, Z_idx_list_init, pval_list_init, \
l, completed_xy_idx_init, completed_z_idx_init,\
remove_edges_current, g] = load(load_f)
load_f.close()
print("Found exitising results")
X_idx_list = X_idx_list_init
Y_idx_list = Y_idx_list_init
Z_idx_list = Z_idx_list_init
pval_list = pval_list_init
completed_xy_idx = completed_xy_idx_init
completed_z_idx = completed_z_idx_init
while True:
cont = False
remove_edges = remove_edges_current
perm_iteration_list = list(permutations(node_ids,2))
length_iteration_list = len(perm_iteration_list)
for ij in arange(completed_xy_idx, length_iteration_list):
(i,j) = perm_iteration_list[ij]
adj_i = g.neighbors(i)
if j not in adj_i:
continue
else:
adj_i.remove(j)
pass
if len(adj_i) >= l:
_logger.debug('testing %s and %s' % (i,j))
_logger.debug('neighbors of %s are %s' % (i, str(adj_i)))
if len(adj_i) < l:
continue
cc = list(combinations(adj_i, l))
length_cc = len(cc)
for kk in arange(completed_z_idx, length_cc):
k = cc[kk]
_logger.debug('indep prob of %s and %s with subset %s'
% (i, j, str(k)))
if l == 0: # independence testing
print("independence testing", (i,j))
data_x = data_matrix[:,[i]]
data_y = data_matrix[:,[j]]
num_samples = np.shape(data_matrix)[0]
kernelX_hsic = GaussianKernel(1.)
kernelY_hsic = GaussianKernel(1.)
kernelX_use_median_hsic = True
kernelY_use_median_hsic = True
myspectraltestobj = HSICSpectralTestObject(num_samples, None, kernelX_hsic, kernelY_hsic,
kernelX_use_median = kernelX_use_median_hsic,
kernelY_use_median = kernelY_use_median_hsic,
num_nullsims=1000, unbiased=False)
p_val, _ = myspectraltestobj.compute_pvalue_with_time_tracking(data_x,data_y)
X_idx_list.append((i))
Y_idx_list.append((j))
Z_idx_list.append((0))
pval_list.append((p_val))
else: # conditional independence testing
print("conditional independence testing",(i,j,k))
data_x = data_matrix[:,[i]]
data_y = data_matrix[:,[j]]
data_z = data_matrix[:,k]
num_samples = np.shape(data_matrix)[0]
#kernelX = GaussianKernel(1.)
#kernelY = GaussianKernel(1.)
#kernelX_use_median = True
#kernelY_use_median = True
#kernelX = LinearKernel()
#kernelY = LinearKernel()
kernelX = kwargs['kernelX']
kernelY = kwargs['kernelY']
kernelZ = GaussianKernel(1.)
kernelX_use_median = kwargs['kernelX_use_median']
kernelY_use_median = kwargs['kernelY_use_median']
kernelRxz = kwargs['kernelRxz']
kernelRyz = kwargs['kernelRyz']
kernelRxz_use_median = kwargs['kernelRxz_use_median']
kernelRyz_use_median = kwargs['kernelRyz_use_median']
RESIT_type = kwargs['RESIT_type']
optimise_lambda_only = kwargs['optimise_lambda_only']
grid_search = kwargs['grid_search']
GD_optimise = kwargs['GD_optimise']
num_lambdaval = 30
lambda_val = 10**np.linspace(-6,1, num=num_lambdaval)
z_bandwidth = None
#num_bandwidth = 20
#z_bandwidth = 10**np.linspace(-5,1,num = num_bandwidth)
mytestobj = TwoStepCondTestObject(num_samples, None,
kernelX, kernelY, kernelZ,
kernelX_use_median=kernelX_use_median,
kernelY_use_median=kernelY_use_median,
kernelZ_use_median=True,
kernelRxz = kernelRxz, kernelRyz = kernelRyz,
kernelRxz_use_median = kernelRxz_use_median,
kernelRyz_use_median = kernelRyz_use_median,
RESIT_type = RESIT_type,
num_shuffles=800,
lambda_val=lambda_val,lambda_X = None, lambda_Y = None,
optimise_lambda_only = optimise_lambda_only,
sigmasq_vals = z_bandwidth ,sigmasq_xz = 1., sigmasq_yz = 1.,
K_folds=5, grid_search = grid_search,
GD_optimise=GD_optimise, learning_rate=0.1,max_iter=300,
initial_lambda_x=0.5,initial_lambda_y=0.5, initial_sigmasq = 1)
p_val, _ = mytestobj.compute_pvalue(data_x, data_y, data_z)
X_idx_list.append((i))
Y_idx_list.append((j))
Z_idx_list.append(k)
pval_list.append((p_val))
completed_z_idx = kk + 1
save_f = open(save_filename,"w")
dump([X_idx_list, Y_idx_list, Z_idx_list, pval_list, l, completed_xy_idx, completed_z_idx,\
remove_edges, g], save_f)
save_f.close()
_logger.debug('p_val is %s' % str(p_val))
if p_val > alpha:
if g.has_edge(i, j):
_logger.debug('p: remove edge (%s, %s)' % (i, j))
if method_stable(kwargs):
remove_edges.append((i, j))
else:
g.remove_edge(i, j)
pass
sep_set[i][j] |= set(k)
sep_set[j][i] |= set(k)
break
pass
completed_z_idx = 0
completed_xy_idx = ij + 1
cont = True
pass
pass
l += 1
completed_xy_idx = 0
if method_stable(kwargs):
g.remove_edges_from(remove_edges)
if cont is False:
break
if ('max_reach' in kwargs) and (l > kwargs['max_reach']):
break
save_f = open(save_filename,"w")
dump([X_idx_list, Y_idx_list, Z_idx_list, pval_list, l, completed_xy_idx, completed_z_idx,\
remove_edges, g], save_f)
save_f.close()
pass
return (g, sep_set)
entro = list()
m0 = 0.0
for ii in np.arange(l):
pois = np.random.normal(m0, sd[ii], n)
en = 0.5 * np.log(2 * np.pi * np.e * (sd[ii]**2))
sample.append(pois)
entro.append(en)
return sample, entro
sam1d_tr, entro1d_tr = sam1d_gen(5, 10)
print sam1d_tr
#print entro1d_tr
sam1d_tt, entro1d_tt = sam1d_gen(2, 5)
##########################################################
# conduct the ridge regression
data_gamma = 1.0
bag_gamma = 1.0
data_kernel = GaussianKernel(data_gamma)
print data_kernel.kernel(sam1d_tr)
bag_kernel = GaussianBagKernel(data_kernel, bag_gamma)
#standard distribution regression - computes full kernel matrices
#coeff,ypred=bag_kernel.ridge_regress(sam1d_tr,entro1d_tr,lmbda=0.01,Xtst=sam1d_tt)
#or distribution regression with random features
#bag_kernel.rff_generate(50,60,dim=dim) #50 random features for bag_kernel, 60 for data_kernel
#coeff,ypred=bag_kernel.ridge_regress_rff(baglistX,y,Xtst=baglistXtst)
num_samples,D = shape(data)
#assume that x corresponds to all but the last column in the file
data_x = data[:,:(D-1)]
#and that y is just the last column
data_y = data[:,D-1]
#need to ensure data_y is a 2d array
data_y=reshape(data_y,(num_samples,1))
'''
print "shape of data_x:", shape(data_x)
print "shape of data_y:", shape(data_y)
'''
First, we need to specify the kernels for X and Y. We will use Gaussian kernels -- default value of the width parameter is 1.0
the widths can be either kept fixed or set to a median heuristic based on the data when running a test
'''
kernelX = GaussianKernel()
kernelY = GaussianKernel()
'''
HSICSpectralTestObject/HSICPermutationTestObject:
=================================================
num_samples: Integer values -- the number of data samples
data_generator: If we use simulated data, which function to use to generate data for repeated tests to investigate power;
Examples are given in SimDataGen.py, e.g. data_generator = SimDataGen.LargeScale;
Default value is None (if only a single test will be run).
kernelX, kernelY: The kernel functions to use for X and Y respectively. (Examples are included in kerpy folder)
E.g. kernelX = GaussianKernel(); alternatively, for a kernel with fixed width: kernelY = GaussianKernel(float(1.5))
kernelX_use_median,
kernelY_use_median: "True" or "False" -- if median heuristic should be used to select the kernel bandwidth.
rff: "True" or "False" -- if random Fourier Features should be used.
def parse_arguments():
parser = argparse.ArgumentParser()
parser.add_argument("num_samples", type=int,\
help="total # of samples")
parser.add_argument("--num_rfx", type=int,\
help="number of random features of the data X",
default=30)
parser.add_argument("--num_rfy", type=int,\
help="number of random features of the data Y",
default=30)
parser.add_argument("--num_inducex", type=int,\
help="number of inducing variables of the data X",
default=30)
parser.add_argument("--num_inducey", type=int,\
help="number of inducing variables of the data Y",
default=30)
parser.add_argument("--num_shuffles", type=int,\
help="number of shuffles",
default=800)
parser.add_argument("--blocksize", type=int,\
help="# of samples per block (includes X and Y) when using a block-based test",
default=20)
parser.add_argument("--dimX", type=int,\
help="dimensionality of the data X",
default=3)
parser.add_argument("--dimZ", type=int,\
help="dimensionality of the data Z (i.e. the conditioning variable)",
default=7)
parser.add_argument("--kernelX", const = LinearKernel(), default = GaussianKernel(1.), \
action='store_const', \
help="Linear kernel (Default GaussianKernel(1.))?")
parser.add_argument("--kernelY", const = LinearKernel(), default = GaussianKernel(1.), \
action='store_const', \
help="Linear kernel (Default GaussianKernel(1.))?")
parser.add_argument("--kernelX_use_median", action="store_true",\
help="should median heuristic be used for X?",
default=False)
parser.add_argument("--kernelY_use_median", action="store_true",\
help="should median heuristic be used for Y?",
default=False)
parser.add_argument("--kernelRxz", const = GaussianKernel(1.), default = LinearKernel(), \
action='store_const', \
help="Gaussian kernel(1.) (Default LinearKernel)?")
parser.add_argument("--kernelRyz", const = GaussianKernel(1.), default = LinearKernel(), \
action='store_const', \
help="Linear kernel (Default GaussianKernel(1.))?")
parser.add_argument("--kernelRxz_use_median", action="store_true",\
help="should median heuristic be used for residuals Rxz?",
default=False)
parser.add_argument("--kernelRyz_use_median", action="store_true",\
help="should median heuristic be used for residuals Ryz?",
default=False)
parser.add_argument("--RESIT_type", action="store_true",\
help="Conditional Testing using RESIT?",\
default=False)
parser.add_argument("--optimise_lambda_only", action="store_false",\
help="Optimise lambdas only?",\
default=True)
parser.add_argument("--grid_search", action="store_false",\
help="Optimise hyperparameters through grid search?",\
default=True)
parser.add_argument("--GD_optimise", action="store_true",\
help="Optimise hyperparameters through gradient descent?",\
default=False)
parser.add_argument("--results_filename",type=str,\
help = "name of the file to save results?",\
default = "testing")
parser.add_argument("--figure_filename",type=str,\
help = "name of the file to save the causal graph?",\
default = "testing")
parser.add_argument("--data_filename",type=str,\
help = "name of the file to load data from?",\
default = "testing")
#parser.add_argument("--dimY", type=int,\
# help="dimensionality of the data Y",
# default=3)
parser.add_argument("--hypothesis", type=str,\
help="is null or alternative true in this experiment? [null, alter]",\
default="alter")
parser.add_argument("--nullvarmethod", type=str,\
help="how to estimate asymptotic variance under null? [direct, permutation, across]?",\
default="direct")
parser.add_argument("--streaming", action="store_true",\
help="should data be streamed (rather than all loaded into memory)?",\
default=False)
parser.add_argument("--rff", action="store_true",\
help="should random features be used?",\
default=False)
parser.add_argument("--induce_set", action="store_true",\
help="should inducing variables be used?",\
default=False)
args = parser.parse_args()
return args
for ii in np.arange(l):
pois = np.random.normal(m0,sd[ii],n)
en = 0.5 * np.log(2* np.pi * np.e * (sd[ii] ** 2))
sample.append(pois)
entro.append(en)
return sample, entro
sam1d_tr, entro1d_tr = sam1d_gen(5,10)
print sam1d_tr
#print entro1d_tr
sam1d_tt, entro1d_tt = sam1d_gen(2,5)
##########################################################
# conduct the ridge regression
data_gamma = 1.0
bag_gamma = 1.0
data_kernel = GaussianKernel(data_gamma)
print data_kernel.kernel(sam1d_tr)
bag_kernel = GaussianBagKernel(data_kernel,bag_gamma)
#standard distribution regression - computes full kernel matrices
#coeff,ypred=bag_kernel.ridge_regress(sam1d_tr,entro1d_tr,lmbda=0.01,Xtst=sam1d_tt)
#or distribution regression with random features
#bag_kernel.rff_generate(50,60,dim=dim) #50 random features for bag_kernel, 60 for data_kernel
#coeff,ypred=bag_kernel.ridge_regress_rff(baglistX,y,Xtst=baglistXtst)
data_generating_function = SimDataGen.LargeScale
data_generating_function_null = SimDataGen.turn_into_null(SimDataGen.LargeScale)
args = ProcessingObject.parse_arguments()
'''unpack the arguments needed:'''
num_samples=args.num_samples
hypothesis=args.hypothesis
dimX = args.dimX
kernelX_use_median = args.kernelX_use_median
kernelY_use_median = args.kernelY_use_median
blocksize = args.blocksize
#currently, we are using the same blocksize for both X and Y
# A temporary set up for the kernels:
kernelX = GaussianKernel(1.)
kernelY = GaussianKernel(1.)
if hypothesis=="alter":
data_generator=lambda num_samples: data_generating_function(num_samples,dimension=dimX)
elif hypothesis=="null":
data_generator=lambda num_samples: data_generating_function_null(num_samples,dimension=dimX)
else:
raise NotImplementedError()
test_object=HSICBlockTestObject(num_samples, data_generator, kernelX, kernelY,
kernelX_use_median=kernelX_use_median,kernelY_use_median=kernelY_use_median,
nullvarmethod='permutation',
blocksize=blocksize)
pvals_RESIT = np.reshape(np.zeros(num_trials), (num_trials, 1))
# computing Type I error (Null model is true)
for jj in xrange(num_trials):
#print "number of trial:", jj
data_x = np.reshape(np.zeros(num_samples), (num_samples, 1))
noise_x = np.reshape(normal(0, 1,
np.shape(data_z)[0]), (np.shape(data_z)[0], 1))
coin_flip_x = np.random.choice([0, 1], replace=True, size=num_samples)
data_x[coin_flip_x == 0] = (data_z[coin_flip_x == 0] - 10)**2
data_x[coin_flip_x == 1] = -(data_z[coin_flip_x == 1] - 10)**2 + 35
data_x = data_x + noise_x
# KRESIT:
kernelX = GaussianKernel(1.)
kernelY = GaussianKernel(1.)
kernelZ = GaussianKernel(1.)
mytestobject = TwoStepCondTestObject(num_samples,
None,
kernelX,
kernelY,
kernelZ,
kernelX_use_median=True,
kernelY_use_median=True,
kernelZ_use_median=True,
kernelRxz=LinearKernel(),
kernelRyz=LinearKernel(),
kernelRxz_use_median=False,
kernelRyz_use_median=False,
RESIT_type=False,
def err_pre(xs,ys,xt,yt,sgma = 1.0,lamda = 0.1):
kernel = GaussianKernel(float(sgma))
aa,y_pre,err_pre0 = kernel.ridge_regress(xs,ys,lamda,Xtst=xt,ytst=yt)
return y_pre,err_pre0
def err_rff(xs,ys,xt,yt,sgma = 1.0,lamda = 0.1,D = 50):
kernel = GaussianKernel(float(sgma))
kernel.rff_generate(D)
bb,y_rff,err_rff0 = kernel.ridge_regress_rff(xs,ys,lamda,Xtst=xt,ytst=yt)
return y_rff,err_rff0
kernelRxz_use_median = args.kernelRxz_use_median #Default: False
kernelRyz_use_median = args.kernelRyz_use_median #Default: False
RESIT_type = args.RESIT_type #Default: False
optimise_lambda_only = args.optimise_lambda_only #Default: True
grid_search = args.grid_search #Default: True
GD_optimise = args.GD_optimise #Default: False
data_generator = lambda num_samples: data_generating_function(num_samples,
dimension=dimZ)
num_lambdaval = 30
lambda_val = 10**np.linspace(-6, -1, num=num_lambdaval)
#num_bandwidth = 20
#z_bandwidth = 10**np.linspace(-5,1,num = num_bandwidth)
z_bandwidth = None
kernelZ = GaussianKernel(1.)
test_object = TwoStepCondTestObject(num_samples,
data_generator,
kernelX,
kernelY,
kernelZ,
kernelX_use_median=kernelX_use_median,
kernelY_use_median=kernelY_use_median,
kernelZ_use_median=True,
kernelRxz=kernelRxz,
kernelRyz=kernelRyz,
kernelRxz_use_median=kernelRxz_use_median,
kernelRyz_use_median=kernelRyz_use_median,
RESIT_type=RESIT_type,
num_shuffles=800,
