def test_gaussian_hmm(num_steps):
dim = 4
def model(data):
initialize = pyro.sample("initialize", dist.Dirichlet(torch.ones(dim)))
with pyro.plate("states", dim):
transition = pyro.sample("transition",
dist.Dirichlet(torch.ones(dim, dim)))
emission_loc = pyro.sample(
"emission_loc", dist.Normal(torch.zeros(dim), torch.ones(dim)))
emission_scale = pyro.sample(
"emission_scale",
dist.LogNormal(torch.zeros(dim), torch.ones(dim)))
x = None
with ignore_jit_warnings([("Iterating over a tensor", RuntimeWarning)
]):
for t, y in pyro.markov(enumerate(data)):
x = pyro.sample(
"x_{}".format(t),
dist.Categorical(
initialize if x is None else transition[x]),
infer={"enumerate": "parallel"})
pyro.sample("y_{}".format(t),
dist.Normal(emission_loc[x], emission_scale[x]),
obs=y)
def _get_initial_trace():
guide = AutoDelta(
poutine.block(model,
expose_fn=lambda msg: not msg["name"].startswith("x")
and not msg["name"].startswith("y")))
elbo = TraceEnum_ELBO(max_plate_nesting=1)
svi = SVI(model, guide, optim.Adam({"lr": .01}), elbo)
for _ in range(100):
svi.step(data)
return poutine.trace(guide).get_trace(data)
def _generate_data():
transition_probs = torch.rand(dim, dim)
emissions_loc = torch.arange(dim, dtype=torch.Tensor().dtype)
emissions_scale = 1.
state = torch.tensor(1)
obs = [dist.Normal(emissions_loc[state], emissions_scale).sample()]
for _ in range(num_steps):
state = dist.Categorical(transition_probs[state]).sample()
obs.append(
dist.Normal(emissions_loc[state], emissions_scale).sample())
return torch.stack(obs)
data = _generate_data()
nuts_kernel = NUTS(model,
max_plate_nesting=1,
jit_compile=True,
ignore_jit_warnings=True)
if num_steps == 30:
nuts_kernel.initial_trace = _get_initial_trace()
mcmc = MCMC(nuts_kernel, num_samples=5, warmup_steps=5)
mcmc.run(data)
def test_gaussian_mixture_model(jit):
K, N = 3, 1000
def gmm(data):
mix_proportions = pyro.sample("phi", dist.Dirichlet(torch.ones(K)))
with pyro.plate("num_clusters", K):
cluster_means = pyro.sample(
"cluster_means", dist.Normal(torch.arange(float(K)), 1.))
with pyro.plate("data", data.shape[0]):
assignments = pyro.sample("assignments",
dist.Categorical(mix_proportions))
pyro.sample("obs",
dist.Normal(cluster_means[assignments], 1.),
obs=data)
return cluster_means
true_cluster_means = torch.tensor([1., 5., 10.])
true_mix_proportions = torch.tensor([0.1, 0.3, 0.6])
cluster_assignments = dist.Categorical(true_mix_proportions).sample(
torch.Size((N, )))
data = dist.Normal(true_cluster_means[cluster_assignments], 1.0).sample()
nuts_kernel = NUTS(gmm,
max_plate_nesting=1,
jit_compile=jit,
ignore_jit_warnings=True)
mcmc = MCMC(nuts_kernel, num_samples=300, warmup_steps=100)
mcmc.run(data)
samples = mcmc.get_samples()
assert_equal(samples["phi"].mean(0).sort()[0],
true_mix_proportions,
prec=0.05)
assert_equal(samples["cluster_means"].mean(0).sort()[0],
true_cluster_means,
prec=0.2)
def nuts_sampling(self, x_data, y_data, num_samples, warmup_steps):
nuts_kernel = NUTS(self.model, target_accept_prob=0.99)
mcmc = MCMC(nuts_kernel,
num_samples=num_samples,
warmup_steps=warmup_steps)
mcmc.run(x_data, y_data)
self.posterior_samples = mcmc.get_samples()
def test_beta_binomial(hyperpriors):
def model(data):
with pyro.plate("plate_0", data.shape[-1]):
alpha = pyro.sample(
"alpha", dist.HalfCauchy(1.)) if hyperpriors else torch.tensor(
[1., 1.])
beta = pyro.sample(
"beta", dist.HalfCauchy(1.)) if hyperpriors else torch.tensor(
[1., 1.])
beta_binom = BetaBinomialPair()
with pyro.plate("plate_1", data.shape[-2]):
probs = pyro.sample("probs", beta_binom.latent(alpha, beta))
with pyro.plate("data", data.shape[0]):
pyro.sample("binomial",
beta_binom.conditional(
probs=probs, total_count=total_count),
obs=data)
true_probs = torch.tensor([[0.7, 0.4], [0.6, 0.4]])
total_count = torch.tensor([[1000, 600], [400, 800]])
num_samples = 80
data = dist.Binomial(
total_count=total_count,
probs=true_probs).sample(sample_shape=(torch.Size((10, ))))
hmc_kernel = NUTS(collapse_conjugate(model),
jit_compile=True,
ignore_jit_warnings=True)
mcmc = MCMC(hmc_kernel, num_samples=num_samples, warmup_steps=50)
mcmc.run(data)
samples = mcmc.get_samples()
posterior = posterior_replay(model, samples, data, num_samples=num_samples)
assert_equal(posterior["probs"].mean(0), true_probs, prec=0.05)
def test_gamma_poisson(hyperpriors):
def model(data):
with pyro.plate("latent_dim", data.shape[1]):
alpha = pyro.sample(
"alpha", dist.HalfCauchy(1.)) if hyperpriors else torch.tensor(
[1., 1.])
beta = pyro.sample(
"beta", dist.HalfCauchy(1.)) if hyperpriors else torch.tensor(
[1., 1.])
gamma_poisson = GammaPoissonPair()
rate = pyro.sample("rate", gamma_poisson.latent(alpha, beta))
with pyro.plate("data", data.shape[0]):
pyro.sample("obs", gamma_poisson.conditional(rate), obs=data)
true_rate = torch.tensor([3., 10.])
num_samples = 100
data = dist.Poisson(rate=true_rate).sample(
sample_shape=(torch.Size((100, ))))
hmc_kernel = NUTS(collapse_conjugate(model),
jit_compile=True,
ignore_jit_warnings=True)
mcmc = MCMC(hmc_kernel, num_samples=num_samples, warmup_steps=50)
mcmc.run(data)
samples = mcmc.get_samples()
posterior = posterior_replay(model, samples, data, num_samples=num_samples)
assert_equal(posterior["rate"].mean(0), true_rate, prec=0.3)
def test_nuts_conjugate_gaussian(fixture, num_samples, warmup_steps,
hmc_params, expected_means, expected_precs,
mean_tol, std_tol):
pyro.get_param_store().clear()
nuts_kernel = NUTS(fixture.model, hmc_params['step_size'])
mcmc_run = MCMC(nuts_kernel, num_samples, warmup_steps).run(fixture.data)
for i in range(1, fixture.chain_len + 1):
param_name = 'loc_' + str(i)
marginal = EmpiricalMarginal(mcmc_run, sites=param_name)
latent_loc = marginal.mean
latent_std = marginal.variance.sqrt()
expected_mean = torch.ones(fixture.dim) * expected_means[i - 1]
expected_std = 1 / torch.sqrt(
torch.ones(fixture.dim) * expected_precs[i - 1])
# Actual vs expected posterior means for the latents
logger.info('Posterior mean (actual) - {}'.format(param_name))
logger.info(latent_loc)
logger.info('Posterior mean (expected) - {}'.format(param_name))
logger.info(expected_mean)
assert_equal(rmse(latent_loc, expected_mean).item(),
0.0,
prec=mean_tol)
# Actual vs expected posterior precisions for the latents
logger.info('Posterior std (actual) - {}'.format(param_name))
logger.info(latent_std)
logger.info('Posterior std (expected) - {}'.format(param_name))
logger.info(expected_std)
assert_equal(rmse(latent_std, expected_std).item(), 0.0, prec=std_tol)
def test_nuts_conjugate_gaussian(fixture, num_samples, warmup_steps,
expected_means, expected_precs, mean_tol,
std_tol):
pyro.get_param_store().clear()
nuts_kernel = NUTS(fixture.model)
mcmc = MCMC(nuts_kernel, num_samples, warmup_steps)
mcmc.run(fixture.data)
samples = mcmc.get_samples()
for i in range(1, fixture.chain_len + 1):
param_name = 'loc_' + str(i)
latent = samples[param_name]
latent_loc = latent.mean(0)
latent_std = latent.std(0)
expected_mean = torch.ones(fixture.dim) * expected_means[i - 1]
expected_std = 1 / torch.sqrt(
torch.ones(fixture.dim) * expected_precs[i - 1])
# Actual vs expected posterior means for the latents
logger.debug('Posterior mean (actual) - {}'.format(param_name))
logger.debug(latent_loc)
logger.debug('Posterior mean (expected) - {}'.format(param_name))
logger.debug(expected_mean)
assert_equal(rmse(latent_loc, expected_mean).item(),
0.0,
prec=mean_tol)
# Actual vs expected posterior precisions for the latents
logger.debug('Posterior std (actual) - {}'.format(param_name))
logger.debug(latent_std)
logger.debug('Posterior std (expected) - {}'.format(param_name))
logger.debug(expected_std)
assert_equal(rmse(latent_std, expected_std).item(), 0.0, prec=std_tol)
def run_pyro_nuts(data, pfile, n_samples, params):
# import model, transformed_data functions (if exists) from pyro module
model = import_by_string(pfile + ".model")
assert model is not None, "model couldn't be imported"
transformed_data = import_by_string(pfile + ".transformed_data")
if transformed_data is not None:
transformed_data(data)
nuts_kernel = NUTS(model, step_size=0.0855)
mcmc_run = MCMC(nuts_kernel,
num_samples=n_samples,
warmup_steps=int(n_samples / 2))
posteriors = {k: [] for k in params}
for trace, _ in mcmc_run._traces(data, params):
for k in posteriors:
posteriors[k].append(trace.nodes[k]['value'])
#posteriors["sigma"] = list(map(torch.exp, posteriors["log_sigma"]))
#del posteriors["log_sigma"]
posterior_means = {
k: torch.mean(torch.stack(posteriors[k]), 0)
for k in posteriors
}
bb()
return posterior_means
def test_dirichlet_categorical(jit):
def model(data):
concentration = torch.tensor([1.0, 1.0, 1.0])
p_latent = pyro.sample('p_latent', dist.Dirichlet(concentration))
pyro.sample("obs", dist.Categorical(p_latent), obs=data)
return p_latent
true_probs = torch.tensor([0.1, 0.6, 0.3])
data = dist.Categorical(true_probs).sample(
sample_shape=(torch.Size((2000, ))))
nuts_kernel = NUTS(model, jit_compile=jit, ignore_jit_warnings=True)
mcmc_run = MCMC(nuts_kernel, num_samples=200, warmup_steps=100).run(data)
posterior = mcmc_run.marginal('p_latent').empirical['p_latent']
assert_equal(posterior.mean, true_probs, prec=0.02)
def test_categorical_dirichlet():
def model(data):
concentration = torch.tensor([1.0, 1.0, 1.0])
p_latent = pyro.sample('p_latent', dist.Dirichlet(concentration))
pyro.sample("obs", dist.Categorical(p_latent), obs=data)
return p_latent
true_probs = torch.tensor([0.1, 0.6, 0.3])
data = dist.Categorical(true_probs).sample(
sample_shape=(torch.Size((2000, ))))
nuts_kernel = NUTS(model, adapt_step_size=True)
mcmc_run = MCMC(nuts_kernel, num_samples=200, warmup_steps=100).run(data)
posterior = EmpiricalMarginal(mcmc_run, sites='p_latent')
assert_equal(posterior.mean, true_probs, prec=0.02)
def test_normal_gamma():
def model(data):
rate = torch.tensor([1.0, 1.0])
concentration = torch.tensor([1.0, 1.0])
p_latent = pyro.sample('p_latent', dist.Gamma(rate, concentration))
pyro.sample("obs", dist.Normal(3, p_latent), obs=data)
return p_latent
true_std = torch.tensor([0.5, 2])
data = dist.Normal(3, true_std).sample(sample_shape=(torch.Size((2000, ))))
nuts_kernel = NUTS(model, step_size=0.01)
mcmc_run = MCMC(nuts_kernel, num_samples=200, warmup_steps=100).run(data)
posterior = EmpiricalMarginal(mcmc_run, sites='p_latent')
assert_equal(posterior.mean, true_std, prec=0.05)
def test_bernoulli_beta():
def model(data):
alpha = torch.tensor([1.1, 1.1])
beta = torch.tensor([1.1, 1.1])
p_latent = pyro.sample("p_latent", dist.Beta(alpha, beta))
pyro.sample("obs", dist.Bernoulli(p_latent), obs=data)
return p_latent
true_probs = torch.tensor([0.9, 0.1])
data = dist.Bernoulli(true_probs).sample(
sample_shape=(torch.Size((1000, ))))
nuts_kernel = NUTS(model, step_size=0.02)
mcmc_run = MCMC(nuts_kernel, num_samples=500, warmup_steps=100).run(data)
posterior = EmpiricalMarginal(mcmc_run, sites='p_latent')
assert_equal(posterior.mean, true_probs, prec=0.02)
def test_gamma_beta(jit):
def model(data):
alpha_prior = pyro.sample('alpha', dist.Gamma(concentration=1., rate=1.))
beta_prior = pyro.sample('beta', dist.Gamma(concentration=1., rate=1.))
pyro.sample('x', dist.Beta(concentration1=alpha_prior, concentration0=beta_prior), obs=data)
true_alpha = torch.tensor(5.)
true_beta = torch.tensor(1.)
data = dist.Beta(concentration1=true_alpha, concentration0=true_beta).sample(torch.Size((5000,)))
nuts_kernel = NUTS(model, jit_compile=jit, ignore_jit_warnings=True)
mcmc = MCMC(nuts_kernel, num_samples=500, warmup_steps=200)
mcmc.run(data)
samples = mcmc.get_samples()
assert_equal(samples["alpha"].mean(0), true_alpha, prec=0.08)
assert_equal(samples["beta"].mean(0), true_beta, prec=0.05)
def test_beta_bernoulli(step_size, adapt_step_size, adapt_mass_matrix, full_mass):
def model(data):
alpha = torch.tensor([1.1, 1.1])
beta = torch.tensor([1.1, 1.1])
p_latent = pyro.sample("p_latent", dist.Beta(alpha, beta))
pyro.sample("obs", dist.Bernoulli(p_latent), obs=data)
return p_latent
true_probs = torch.tensor([0.9, 0.1])
data = dist.Bernoulli(true_probs).sample(sample_shape=(torch.Size((1000,))))
nuts_kernel = NUTS(model, step_size=step_size, adapt_step_size=adapt_step_size,
adapt_mass_matrix=adapt_mass_matrix, full_mass=full_mass)
mcmc = MCMC(nuts_kernel, num_samples=400, warmup_steps=200)
mcmc.run(data)
samples = mcmc.get_samples()
assert_equal(samples["p_latent"].mean(0), true_probs, prec=0.02)
def test_gamma_normal(jit, use_multinomial_sampling):
def model(data):
rate = torch.tensor([1.0, 1.0])
concentration = torch.tensor([1.0, 1.0])
p_latent = pyro.sample('p_latent', dist.Gamma(rate, concentration))
pyro.sample("obs", dist.Normal(3, p_latent), obs=data)
return p_latent
true_std = torch.tensor([0.5, 2])
data = dist.Normal(3, true_std).sample(sample_shape=(torch.Size((2000, ))))
nuts_kernel = NUTS(model,
use_multinomial_sampling=use_multinomial_sampling,
jit_compile=jit,
ignore_jit_warnings=True)
mcmc_run = MCMC(nuts_kernel, num_samples=200, warmup_steps=100).run(data)
posterior = mcmc_run.marginal('p_latent').empirical['p_latent']
assert_equal(posterior.mean, true_std, prec=0.05)
def test_logistic_regression():
dim = 3
true_coefs = torch.arange(1, dim + 1)
data = torch.randn(2000, dim)
labels = dist.Bernoulli(logits=(true_coefs * data).sum(-1)).sample()
def model(data):
coefs_mean = torch.zeros(dim)
coefs = pyro.sample('beta', dist.Normal(coefs_mean, torch.ones(dim)))
y = pyro.sample('y',
dist.Bernoulli(logits=(coefs * data).sum(-1)),
obs=labels)
return y
nuts_kernel = NUTS(model, step_size=0.0855)
mcmc_run = MCMC(nuts_kernel, num_samples=500, warmup_steps=100).run(data)
posterior = EmpiricalMarginal(mcmc_run, sites='beta')
assert_equal(rmse(true_coefs, posterior.mean).item(), 0.0, prec=0.1)
def test_bernoulli_latent_model(jit):
@poutine.broadcast
def model(data):
y_prob = pyro.sample("y_prob", dist.Beta(1., 1.))
with pyro.plate("data", data.shape[0]):
y = pyro.sample("y", dist.Bernoulli(y_prob))
z = pyro.sample("z", dist.Bernoulli(0.65 * y + 0.1))
pyro.sample("obs", dist.Normal(2. * z, 1.), obs=data)
N = 2000
y_prob = torch.tensor(0.3)
y = dist.Bernoulli(y_prob).sample(torch.Size((N,)))
z = dist.Bernoulli(0.65 * y + 0.1).sample()
data = dist.Normal(2. * z, 1.0).sample()
nuts_kernel = NUTS(model, max_plate_nesting=1, jit_compile=jit, ignore_jit_warnings=True)
mcmc = MCMC(nuts_kernel, num_samples=600, warmup_steps=200)
mcmc.run(data)
samples = mcmc.get_samples()
assert_equal(samples["y_prob"].mean(0), y_prob, prec=0.05)
def test_gamma_beta(jit):
def model(data):
alpha_prior = pyro.sample('alpha', dist.Gamma(concentration=1.,
rate=1.))
beta_prior = pyro.sample('beta', dist.Gamma(concentration=1., rate=1.))
pyro.sample('x',
dist.Beta(concentration1=alpha_prior,
concentration0=beta_prior),
obs=data)
true_alpha = torch.tensor(5.)
true_beta = torch.tensor(1.)
data = dist.Beta(concentration1=true_alpha,
concentration0=true_beta).sample(torch.Size((5000, )))
nuts_kernel = NUTS(model, jit_compile=jit, ignore_jit_warnings=True)
mcmc_run = MCMC(nuts_kernel, num_samples=500, warmup_steps=200).run(data)
posterior = mcmc_run.marginal(['alpha', 'beta']).empirical
assert_equal(posterior['alpha'].mean, true_alpha, prec=0.06)
assert_equal(posterior['beta'].mean, true_beta, prec=0.05)
def test_logistic_regression(jit, use_multinomial_sampling):
dim = 3
data = torch.randn(2000, dim)
true_coefs = torch.arange(1., dim + 1.)
labels = dist.Bernoulli(logits=(true_coefs * data).sum(-1)).sample()
def model(data):
coefs_mean = torch.zeros(dim)
coefs = pyro.sample('beta', dist.Normal(coefs_mean, torch.ones(dim)))
y = pyro.sample('y', dist.Bernoulli(logits=(coefs * data).sum(-1)), obs=labels)
return y
nuts_kernel = NUTS(model,
use_multinomial_sampling=use_multinomial_sampling,
jit_compile=jit,
ignore_jit_warnings=True)
mcmc = MCMC(nuts_kernel, num_samples=500, warmup_steps=100)
mcmc.run(data)
samples = mcmc.get_samples()
assert_equal(rmse(true_coefs, samples["beta"].mean(0)).item(), 0.0, prec=0.1)