def maximum_likelihood_estimate_sgd(
distr_output: DistributionOutput,
samples: mx.ndarray,
init_biases: List[mx.ndarray.NDArray] = None,
num_epochs: PositiveInt = PositiveInt(5),
learning_rate: PositiveFloat = PositiveFloat(1e-2),
hybridize: bool = True,
) -> List[np.ndarray]:
model_ctx = mx.cpu()
arg_proj = distr_output.get_args_proj()
arg_proj.initialize()
if hybridize:
arg_proj.hybridize()
if init_biases is not None:
for param, bias in zip(arg_proj.proj, init_biases):
param.params[param.prefix + "bias"].initialize(
mx.initializer.Constant(bias), force_reinit=True)
trainer = mx.gluon.Trainer(
arg_proj.collect_params(),
"sgd",
{
"learning_rate": learning_rate,
"clip_gradient": 10.0
},
)
# The input data to our model is one-dimensional
dummy_data = mx.nd.array(np.ones((len(samples), 1)))
train_data = mx.gluon.data.DataLoader(
mx.gluon.data.ArrayDataset(dummy_data, samples),
batch_size=BATCH_SIZE,
shuffle=True,
)
for e in range(num_epochs):
cumulative_loss = 0
num_batches = 0
# inner loop
for i, (data, sample_label) in enumerate(train_data):
data = data.as_in_context(model_ctx)
sample_label = sample_label.as_in_context(model_ctx)
with mx.autograd.record():
distr_args = arg_proj(data)
distr = distr_output.distribution(distr_args)
loss = distr.loss(sample_label)
if not hybridize:
assert loss.shape == distr.batch_shape
loss.backward()
trainer.step(BATCH_SIZE)
num_batches += 1
cumulative_loss += mx.nd.mean(loss).asscalar()
assert not np.isnan(cumulative_loss)
print("Epoch %s, loss: %s" % (e, cumulative_loss / num_batches))
if len(distr_args[0].shape) == 1:
return [
param.asnumpy() for param in arg_proj(mx.nd.array(np.ones((1, 1))))
]
# alpha parameter of zero inflated Neg Bin was not returned using param[0]
ls = [[p.asnumpy() for p in param]
for param in arg_proj(mx.nd.array(np.ones((1, 1))))]
return reduce(lambda x, y: x + y, ls)
def test_inflated_beta_likelihood(
alpha: float,
beta: float,
hybridize: bool,
inflated_at: str,
zero_probability: float,
one_probability: float,
) -> None:
"""
Test to check that maximizing the likelihood recovers the parameters
"""
# generate samples
alphas = mx.nd.zeros((NUM_SAMPLES, )) + alpha
betas = mx.nd.zeros((NUM_SAMPLES, )) + beta
zero_probabilities = mx.nd.zeros((NUM_SAMPLES, )) + zero_probability
one_probabilities = mx.nd.zeros((NUM_SAMPLES, )) + one_probability
if inflated_at == "zero":
distr = ZeroInflatedBeta(alphas,
betas,
zero_probability=zero_probabilities)
distr_output = ZeroInflatedBetaOutput()
elif inflated_at == "one":
distr = OneInflatedBeta(alphas,
betas,
one_probability=one_probabilities)
distr_output = OneInflatedBetaOutput()
else:
distr = ZeroAndOneInflatedBeta(
alphas,
betas,
zero_probability=zero_probabilities,
one_probability=one_probabilities,
)
distr_output = ZeroAndOneInflatedBetaOutput()
samples = distr.sample()
init_biases = [
inv_softplus(alpha - START_TOL_MULTIPLE * TOL * alpha),
inv_softplus(beta - START_TOL_MULTIPLE * TOL * beta),
]
parameters = maximum_likelihood_estimate_sgd(
distr_output,
samples,
init_biases=init_biases,
hybridize=hybridize,
learning_rate=PositiveFloat(0.05),
num_epochs=PositiveInt(10),
)
if inflated_at == "zero":
alpha_hat, beta_hat, zero_probability_hat = parameters
assert (
np.abs(zero_probability_hat[0] - zero_probability) <
TOL * zero_probability
), f"zero_probability did not match: zero_probability = {zero_probability}, zero_probability_hat = {zero_probability_hat}"
elif inflated_at == "one":
alpha_hat, beta_hat, one_probability_hat = parameters
assert (
np.abs(one_probability_hat - one_probability) <
TOL * one_probability
), f"one_probability did not match: one_probability = {one_probability}, one_probability_hat = {one_probability_hat}"
else:
(
alpha_hat,
beta_hat,
zero_probability_hat,
one_probability_hat,
) = parameters
assert (
np.abs(zero_probability_hat - zero_probability) <
TOL * zero_probability
), f"zero_probability did not match: zero_probability = {zero_probability}, zero_probability_hat = {zero_probability_hat}"
assert (
np.abs(one_probability_hat - one_probability) <
TOL * one_probability
), f"one_probability did not match: one_probability = {one_probability}, one_probability_hat = {one_probability_hat}"
assert (np.abs(alpha_hat - alpha) < TOL * alpha
), f"alpha did not match: alpha = {alpha}, alpha_hat = {alpha_hat}"
assert (np.abs(beta_hat - beta) < TOL *
beta), f"beta did not match: beta = {beta}, beta_hat = {beta_hat}"
def test_piecewise_linear(
gamma: float,
slopes: np.ndarray,
knot_spacings: np.ndarray,
hybridize: bool,
) -> None:
"""
Test to check that minimizing the CRPS recovers the quantile function
"""
num_samples = 500 # use a few samples for timeout failure
gammas = mx.nd.zeros((num_samples, )) + gamma
slopess = mx.nd.zeros((num_samples, len(slopes))) + mx.nd.array(slopes)
knot_spacingss = mx.nd.zeros(
(num_samples, len(knot_spacings))) + mx.nd.array(knot_spacings)
pwl_sqf = PiecewiseLinear(gammas, slopess, knot_spacingss)
samples = pwl_sqf.sample()
# Parameter initialization
gamma_init = gamma - START_TOL_MULTIPLE * TOL * gamma
slopes_init = slopes - START_TOL_MULTIPLE * TOL * slopes
knot_spacings_init = knot_spacings
# We perturb knot spacings such that even after the perturbation they sum to 1.
mid = len(slopes) // 2
knot_spacings_init[:mid] = (knot_spacings[:mid] -
START_TOL_MULTIPLE * TOL * knot_spacings[:mid])
knot_spacings_init[mid:] = (knot_spacings[mid:] +
START_TOL_MULTIPLE * TOL * knot_spacings[mid:])
init_biases = [gamma_init, slopes_init, knot_spacings_init]
# check if it returns original parameters of mapped
gamma_hat, slopes_hat, knot_spacings_hat = maximum_likelihood_estimate_sgd(
PiecewiseLinearOutput(len(slopes)),
samples,
init_biases=init_biases,
hybridize=hybridize,
learning_rate=PositiveFloat(0.01),
num_epochs=PositiveInt(20),
)
# Since the problem is highly non-convex we may not be able to recover the exact parameters
# Here we check if the estimated parameters yield similar function evaluations at different quantile levels.
quantile_levels = np.arange(0.1, 1.0, 0.1)
# create a LinearSplines instance with the estimated parameters to have access to .quantile
pwl_sqf_hat = PiecewiseLinear(
mx.nd.array(gamma_hat),
mx.nd.array(slopes_hat).expand_dims(axis=0),
mx.nd.array(knot_spacings_hat).expand_dims(axis=0),
)
# Compute quantiles with the estimated parameters
quantiles_hat = np.squeeze(
pwl_sqf_hat.quantile_internal(
mx.nd.array(quantile_levels).expand_dims(axis=0),
axis=1).asnumpy())
# Compute quantiles with the original parameters
# Since params is replicated across samples we take only the first entry
quantiles = np.squeeze(
pwl_sqf.quantile_internal(
mx.nd.array(quantile_levels).expand_dims(axis=0).repeat(
axis=0, repeats=num_samples),
axis=1,
).asnumpy()[0, :])
for ix, (quantile, quantile_hat) in enumerate(zip(quantiles,
quantiles_hat)):
assert np.abs(quantile_hat - quantile) < TOL * quantile, (
f"quantile level {quantile_levels[ix]} didn't match:"
f" "
f"q = {quantile}, q_hat = {quantile_hat}")
class BenchFunctests(Bench):
num_jobs: Op[PositiveInt] = PositiveInt(DEFAULT_NPROC)
from gluonts.model.predictor import Predictor
from gluonts.model.seasonal_naive import SeasonalNaivePredictor
from gluonts.support.pandas import forecast_start
def generate_random_dataset(num_ts: int, start_time: str, freq: str,
min_length: int, max_length: int) -> Dataset:
start_timestamp = pd.Timestamp(start_time, freq=freq)
for _ in range(num_ts):
ts_length = np.random.randint(low=min_length, high=max_length)
target = np.random.uniform(size=(ts_length, ))
data = {"target": target, "start": start_timestamp}
yield data
PREDICTION_LENGTH = PositiveInt(30)
SEASON_LENGTH = PositiveInt(210)
START_TIME = "2018-01-03 14:37:12" # That's a Wednesday
MIN_LENGTH = 300
MAX_LENGTH = 400
NUM_TS = 10
@pytest.mark.parametrize("predictor_cls",
[SeasonalNaivePredictor, Naive2Predictor])
@pytest.mark.parametrize(
"freq", ["1min", "15min", "30min", "1H", "2H", "12H", "7D", "1W", "1M"])
def test_predictor(predictor_cls, freq: str):
predictor = predictor_cls(
freq=freq,
prediction_length=PREDICTION_LENGTH,
class BenchBuild(Bench):
num_jobs: Op[PositiveInt] = PositiveInt(DEFAULT_NPROC)
configure_args: EnvStr = EnvStr("")
class Bench(BaseModel):
enabled: bool = True
run_count: PositiveInt = PositiveInt(1)
def test_box_cox_tranform(
lambdas: Tuple[float, float],
mu_sigma: Tuple[float, float],
hybridize: bool,
):
'''
Test to check that maximizing the likelihood recovers the parameters
'''
# test instance
lam_1, lam_2 = lambdas
mu, sigma = mu_sigma
# generate samples
lamdas_1 = mx.nd.zeros((NUM_SAMPLES,)) + lam_1
lamdas_2 = mx.nd.zeros((NUM_SAMPLES,)) + lam_2
transform = InverseBoxCoxTransform(lamdas_1, lamdas_2)
mus = mx.nd.zeros((NUM_SAMPLES,)) + mu
sigmas = mx.nd.zeros((NUM_SAMPLES,)) + sigma
gausian_distr = Gaussian(mus, sigmas)
# Here the base distribution is Guassian which is transformed to
# non-Gaussian via the inverse Box-Cox transform.
# Sampling from `trans_distr` gives non-Gaussian samples
trans_distr = TransformedDistribution(gausian_distr, transform)
# Given the non-Gaussian samples find the true parameters
# of the Box-Cox transformation as well as the underlying Gaussian distribution.
samples = trans_distr.sample()
init_biases = [
mu - START_TOL_MULTIPLE * TOL * mu,
inv_softplus(sigma - START_TOL_MULTIPLE * TOL * sigma),
lam_1 - START_TOL_MULTIPLE * TOL * lam_1,
inv_softplus(lam_2 - START_TOL_MULTIPLE * TOL * lam_2),
]
mu_hat, sigma_hat, lam_1_hat, lam_2_hat = maximum_likelihood_estimate_sgd(
TransformedDistributionOutput(
GaussianOutput(),
InverseBoxCoxTransformOutput(lb_obs=lam_2, fix_lambda_2=True),
),
samples,
init_biases=init_biases,
hybridize=hybridize,
learning_rate=PositiveFloat(0.01),
num_epochs=PositiveInt(18),
)
assert (
np.abs(lam_1_hat - lam_1) < TOL * lam_1
), f"lam_1 did not match: lam_1 = {lam_1}, lam_1_hat = {lam_1_hat}"
# assert (
# np.abs(lam_2_hat - lam_2) < TOL * lam_2
# ), f"lam_2 did not match: lam_2 = {lam_2}, lam_2_hat = {lam_2_hat}"
assert np.abs(mu_hat - mu) < TOL * np.abs(
mu
), f"mu did not match: mu = {mu}, mu_hat = {mu_hat}"
assert (
np.abs(sigma_hat - sigma) < TOL * sigma
), f"sigma did not match: sigma = {sigma}, sigma_hat = {sigma_hat}"
def test_empirical_distribution(hybridize: bool) -> None:
r"""
This verifies if the loss implemented by `EmpiricalDistribution` is correct.
This is done by recovering parameters of a parametric distribution not by maximizing likelihood but by
optimizing CRPS loss on the Monte Carlo samples drawn from the underlying parametric distribution.
More precisely, given observations `obs` drawn from the true distribution p(x; \theta^*), we solve
\theta_hat = \argmax_{\theta} CRPS(obs, {x}_i)
subject to: x_i ~ p(x; \theta)
and verify if \theta^* and \theta_hat agree.
This test uses Multivariate Gaussian with diagonal covariance. Once multivariate CRPS is implemented in
`EmpiricalDistribution` one could use `LowrankMultivariateGaussian` as well. Any univariate distribution whose
`sample_rep` is differentiable can also be used in this test.
"""
num_obs = 2000
dim = 2
# Multivariate CRPS is not implemented in `EmpiricalDistribution`.
rank = 0
W = None
mu = np.arange(0, dim) / float(dim)
D = np.eye(dim) * (np.arange(dim) / dim + 0.5)
Sigma = D
distr = LowrankMultivariateGaussian(
mu=mx.nd.array([mu]),
D=mx.nd.array([np.diag(D)]),
W=W,
dim=dim,
rank=rank,
)
obs = distr.sample(num_obs).squeeze().asnumpy()
theta_hat = maximum_likelihood_estimate_sgd(
EmpiricalDistributionOutput(
num_samples=200,
distr_output=LowrankMultivariateGaussianOutput(dim=dim,
rank=rank,
sigma_init=0.2,
sigma_minimum=0.0),
),
obs,
learning_rate=PositiveFloat(0.01),
num_epochs=PositiveInt(25),
init_biases=
None, # todo we would need to rework biases a bit to use it in the multivariate case
hybridize=hybridize,
)
mu_hat, D_hat = theta_hat
W_hat = None
distr = LowrankMultivariateGaussian(
dim=dim,
rank=rank,
mu=mx.nd.array([mu_hat]),
D=mx.nd.array([D_hat]),
W=W_hat,
)
Sigma_hat = distr.variance.asnumpy()
print(mu_hat, Sigma_hat)
assert np.allclose(
mu_hat, mu, atol=0.2,
rtol=0.1), f"mu did not match: mu = {mu}, mu_hat = {mu_hat}"
assert np.allclose(
Sigma_hat, Sigma, atol=0.1, rtol=0.1
), f"sigma did not match: sigma = {Sigma}, sigma_hat = {Sigma_hat}"
def test_lowrank_multivariate_gaussian(hybridize: bool, rank: int) -> None:
num_samples = 2000
dim = 2
mu = np.arange(0, dim) / float(dim)
D = np.eye(dim) * (np.arange(dim) / dim + 0.5)
if rank > 0:
W = np.sqrt(np.ones((dim, rank)) * 0.2)
Sigma = D + W.dot(W.transpose())
W = mx.nd.array([W])
else:
Sigma = D
W = None
distr = LowrankMultivariateGaussian(
mu=mx.nd.array([mu]),
D=mx.nd.array([np.diag(D)]),
W=W,
dim=dim,
rank=rank,
)
assert np.allclose(
distr.variance[0].asnumpy(), Sigma, atol=0.1, rtol=0.1
), f"did not match: sigma = {Sigma}, sigma_hat = {distr.variance[0]}"
samples = distr.sample(num_samples).squeeze().asnumpy()
theta_hat = maximum_likelihood_estimate_sgd(
LowrankMultivariateGaussianOutput(dim=dim,
rank=rank,
sigma_init=0.2,
sigma_minimum=0.0),
samples,
learning_rate=PositiveFloat(0.01),
num_epochs=PositiveInt(25),
init_biases=
None, # todo we would need to rework biases a bit to use it in the multivariate case
hybridize=hybridize,
)
if rank > 0:
mu_hat, D_hat, W_hat = theta_hat
W_hat = mx.nd.array([W_hat])
else:
mu_hat, D_hat = theta_hat
W_hat = None
distr = LowrankMultivariateGaussian(
dim=dim,
rank=rank,
mu=mx.nd.array([mu_hat]),
D=mx.nd.array([D_hat]),
W=W_hat,
)
Sigma_hat = distr.variance.asnumpy()
assert np.allclose(
mu_hat, mu, atol=0.2,
rtol=0.1), f"mu did not match: mu = {mu}, mu_hat = {mu_hat}"
assert np.allclose(
Sigma_hat, Sigma, atol=0.1, rtol=0.1
), f"sigma did not match: sigma = {Sigma}, sigma_hat = {Sigma_hat}"
