def forward(nu_value: Tensor, sigma_unconstrained_value: Tensor, beta_value: Tensor) -> Tensor:
sigma_constrained_value = sigma_unconstrained_value.exp()
mu = X.mm(beta_value)
# For this model, we need to compute the following three scores:
# We need to compute the first and second gradient of this score with respect
# to nu_value.
nu_score = dist.StudentT(nu_value, mu, sigma_constrained_value).log_prob(Y).sum() \
+ nu.log_prob(nu_value)
# We need to compute the first and second gradient of this score with respect
# to sigma_unconstrained_value.
sigma_score = dist.StudentT(nu_value, mu, sigma_constrained_value).log_prob(Y).sum() \
+ sigma.log_prob(sigma_constrained_value) \
+ sigma_unconstrained_value
# We need to compute the first and second gradient of this score with respect
# to beta_value.
beta_score = dist.StudentT(nu_value, mu, sigma_constrained_value).log_prob(Y).sum() \
+ beta.log_prob(beta_value)
return nu_score.sum() + sigma_score.sum() + beta_score.sum()
def miwae_impute(iota_x, mask, L, d, p_z, encoder, decoder):
batch_size = iota_x.shape[0]
p = iota_x.shape[1]
out_encoder = encoder(iota_x)
q_zgivenxobs = td.Independent(
td.Normal(loc=out_encoder[..., :d],
scale=torch.nn.Softplus()(out_encoder[..., d:(2 * d)])), 1)
zgivenx = q_zgivenxobs.rsample([L])
zgivenx_flat = zgivenx.reshape([L * batch_size, d])
out_decoder = decoder(zgivenx_flat)
all_means_obs_model = out_decoder[..., :p]
all_scales_obs_model = torch.nn.Softplus()(out_decoder[...,
p:(2 * p)]) + 0.001
all_degfreedom_obs_model = torch.nn.Softplus()(
out_decoder[..., (2 * p):(3 * p)]) + 3
data_flat = torch.Tensor.repeat(iota_x, [L, 1]).reshape([-1, 1]).cuda()
tiledmask = torch.Tensor.repeat(mask, [L, 1]).cuda()
all_log_pxgivenz_flat = torch.distributions.StudentT(
loc=all_means_obs_model.reshape([-1, 1]),
scale=all_scales_obs_model.reshape([-1, 1]),
df=all_degfreedom_obs_model.reshape([-1, 1])).log_prob(data_flat)
all_log_pxgivenz = all_log_pxgivenz_flat.reshape([L * batch_size, p])
logpxobsgivenz = torch.sum(all_log_pxgivenz * tiledmask,
1).reshape([L, batch_size])
logpz = p_z.log_prob(zgivenx)
logq = q_zgivenxobs.log_prob(zgivenx)
xgivenz = td.Independent(
td.StudentT(loc=all_means_obs_model,
scale=all_scales_obs_model,
df=all_degfreedom_obs_model), 1)
imp_weights = torch.nn.functional.softmax(
logpxobsgivenz + logpz - logq,
0) # these are w_1,....,w_L for all observations in the batch
xms = xgivenz.sample().reshape([L, batch_size, p])
xm = torch.einsum('ki,kij->ij', imp_weights, xms)
return xm
def kl_grad_shift_plot(
ax: Axes,
model: VariationalRegressor,
training_dataset: Tuple[torch.Tensor],
plot_dataset: Tuple[torch.Tensor] = plot_dataset,
) -> Axes:
# Unpacking
x_plot, y_plot, _ = plot_dataset
x_train, _ = training_dataset
# Plot X OOD
with torch.set_grad_enabled(True):
x_train.requires_grad = True
μ_x, α_x, β_x = model(x_train)
kl_divergence = model.kl(α_x, β_x, model.prior_α, model.prior_β)
x_out = model.ood_x(
x_train,
kl=kl_divergence,
)
x_train, x_out = (
x_train.detach().numpy().flatten(),
x_out.detach().numpy().flatten(),
)
# Reduce clutter by limiting number of points displayed
N_display = 100
if x_out is not None and x_out.size > 0:
ax.scatter(
np.random.choice(x_out, N_display),
np.zeros((N_display, )),
color=colours["primaryRed"],
alpha=0.5,
marker="x",
s=8,
label=r"$\hat{x}_{n}$",
)
ax.scatter(
np.random.choice(x_train, N_display),
np.zeros((N_display, )),
color=colours["navyBlue"],
alpha=0.5,
marker="x",
s=8,
label=r"$x_{n}$",
)
# Plot KL for reference
# Plot box
top_kl_plot = 3.5
plot_x_range = [data_range_plot[0] - 1, data_range_plot[1] + 1]
with torch.set_grad_enabled(False):
# Forward pass
μ_x, α_x, β_x = model(torch.Tensor(x_plot))
kl = model.kl(α_x, β_x, model.prior_α, model.prior_β)
ellk = model.ellk(μ_x, α_x, β_x, torch.Tensor(y_plot))
mllk = D.StudentT(2 * α_x, μ_x, torch.sqrt(β_x / α_x)).log_prob(y_plot)
# TODO likelihood remove once study over
gm = GaussianMixture(n_components=5).fit(x_train.reshape(-1, 1))
llk = np.exp(gm.score_samples(x_plot.reshape(-1, 1))).reshape(-1, 1)
kl_llk = kl - llk
# KL
ax.plot(
x_plot,
kl,
"o",
label=r"KL(q($\lambda\mid$x)$\Vert$p($\lambda$))",
markersize=2,
markerfacecolor=(*colours_rgb["navyBlue"], 0.6),
markeredgewidth=1,
markeredgecolor=(*colours_rgb["navyBlue"], 0.1),
)
# # ELLK
ax.plot(
x_plot,
ellk,
"o",
label=r"ELLK(x,y,$\lambda$)",
markersize=2,
markerfacecolor=(*colours_rgb["orange"], 0.6),
markeredgewidth=1,
markeredgecolor=(*colours_rgb["orange"], 0.1),
)
# # MLLK
# ax.plot(
# x_plot,
# mllk,
# "o",
# label=r"MLLK(x,y)",
# markersize=2,
# markerfacecolor=(*colours_rgb["red"], 0.6),
# markeredgewidth=1,
# markeredgecolor=(*colours_rgb["red"], 0.1),
# )
# # KL penalised by density llk
# ax.plot(
# x_plot,
# kl_llk,
# "o",
# label=r"KL(x)-LLK(x)",
# markersize=2,
# markerfacecolor=(*colours_rgb["brightGreen"], 0.6),
# markeredgewidth=1,
# markeredgecolor=(*colours_rgb["brightGreen"], 0.1),
# )
# # Density likelihood
# ax.plot(
# x_plot,
# llk,
# "o",
# label=r"LLK(x)",
# markersize=2,
# markerfacecolor=(*colours_rgb["purple"], 0.6),
# markeredgewidth=1,
# markeredgecolor=(*colours_rgb["purple"], 0.1),
# )
# Gamma parameters
# ax.plot(
# x_plot,
# α_x,
# "o",
# label=r"$\alpha$(x)",
# markersize=2,
# markerfacecolor=(*colours_rgb["pink"], 0.6),
# markeredgewidth=1,
# markeredgecolor=(*colours_rgb["pink"], 0.1),
# )
# ax.plot(
# x_plot,
# β_x,
# "o",
# label=r"$\beta$(x)",
# markersize=2,
# markerfacecolor=(*colours_rgb["purple"], 0.6),
# markeredgewidth=1,
# markeredgecolor=(*colours_rgb["purple"], 0.1),
# )
# Gamma split aleatoric epistemic
# ax.plot(
# x_plot,
# β_x / α_x,
# "o",
# label=r"$\sigma_{aleatoric}(x) = \frac{\beta(x)}{\alpha(x)}$",
# markersize=2,
# markerfacecolor=(*colours_rgb["pink"], 0.6),
# markeredgewidth=1,
# markeredgecolor=(*colours_rgb["pink"], 0.1),
# )
# ax.plot(
# x_plot,
# α_x / (α_x - 1),
# "o",
# label=r"$\sigma_{epistemic}(x) = \frac{\alpha(x)}{\alpha(x) - 1}$",
# markersize=2,
# markerfacecolor=(*colours_rgb["purple"], 0.6),
# markeredgewidth=1,
# markeredgecolor=(*colours_rgb["purple"], 0.1),
# )
# ax.plot(
# x_plot,
# α_x / β_x,
# "o",
# label=r"$\frac{\alpha(x)}{\beta(x)}$",
# markersize=2,
# markerfacecolor=(*colours_rgb["primaryRed"], 0.6),
# markeredgewidth=1,
# markeredgecolor=(*colours_rgb["primaryRed"], 0.1),
# )
# Misc
ax.grid(True)
ax.set_xlim(plot_x_range)
ax.set_ylim([-top_kl_plot, top_kl_plot])
ax.set_xlabel("x")
ax.legend(bbox_to_anchor=(1.05, 1), loc="upper left", borderaxespad=0.0)
return ax
def log_likelihood_student(x, mu, sigma_square, df=2.0):
sigma = sqrt(sigma_square)
dist = distributions.StudentT(df=df, loc=mu, scale=sigma)
return torch.sum(dist.log_prob(x), dim=1)
def Y(self) -> dist.Distribution:
mu = torch.mv(self.X(), self.beta()) + self.alpha()
return dist.StudentT(self.nu(), mu, self.sigma())
def get_ns_model_source(prob_label):
"""
Given the problem key prob_label, return (ns, p, cs), a tuple of
- ns: a list of sample sizes n's
- p: a kcgof.cdensity.UnnormalizedCondDensity representing the model p
- rx: a callable object that takes n (sample size) and return a torch
tensor of size n x d where d is the appropriate dimension. Represent the
marginal distribuiton of x
- cs: a kcgof.cdata.CondSource. The CondSource generates sample from the
distribution r.
* (p, cs) together specifies a conditional goodness-of-fit testing problem.
"""
slope_h0_d5 = torch.arange(5) + 1.0
# slope_h0_d20 = torch.arange(20) + 1.0
prob2tuples = {
# A case where H0 is true. Gaussian least squares model.
'gaussls_h0_d5': (
[200, 300, 400, 500],
# p
cden.CDGaussianOLS(slope=slope_h0_d5, c=0, variance=1.0),
# rx
cden.RXIsotropicGaussian(dx=5),
# CondSource for r
cdat.CSGaussianOLS(slope=slope_h0_d5, c=0, variance=1.0),
),
# simplest case where H0 is true.
'gaussls_h0_d1': (
[200, 300, 500],
# p
cden.CDGaussianOLS(slope=torch.tensor(1.0), c=1.0, variance=1.0),
# rx
cden.RXIsotropicGaussian(dx=1),
# CondSource for r
cdat.CSGaussianOLS(slope=torch.tensor(1.0), c=1.0, variance=1.0),
),
# an obvious case for Gauss LS problem. H1 true. Very easy
'gaussls_h1_d1_easy': (
[100, 200, 300],
# p
cden.CDGaussianOLS(slope=torch.tensor(1.0), c=1.0, variance=1.0),
# rx
cden.RXIsotropicGaussian(dx=1),
# CondSource for r
cdat.CSGaussianOLS(slope=torch.tensor(2.0), c=-1.0, variance=1.0),
),
# H1 case
# r(y|x) = same model with a slightly different m (slope).
# p(y|x) = Gaussian pdf[y - mx - q*x^2 - c]. Least squares with Gaussian noise.
# r(x) = Gaussian N(0,1)?
'quad_quad_d1': (
[100, 300, 500],
# p
cden.CDAdditiveNoiseRegression(f=lambda X: 1.8 * X + X**2 + 1.0,
noise=dists.Normal(0, 1),
dx=1),
# rx (prior on x)
cden.RXIsotropicGaussian(dx=1),
#Condsource for r
cdat.CSAdditiveNoiseRegression(f=lambda X: 2.0 * X + X**2 + 1.0,
noise=dists.Normal(0, 1),
dx=1)),
# H1 case. dx=dy=1. T(5) noise. Gaussian ordinary LS.
# Or r(y|x) = t(5) noise + mx + c, m = c =1
# p(y|x) = Gaussian pdf[y - (mx + c), same m and c
# r(x) can be any, N(0,1)?
'gauss_t_d1': (
[100, 300, 500],
# p
cden.CDGaussianOLS(slope=torch.ones(1),
c=torch.ones(1),
variance=1.0),
# rx
cden.RXIsotropicGaussian(dx=1),
# CondSource for r
cdat.CSAdditiveNoiseRegression(f=lambda X: 1.0 + X,
noise=dists.StudentT(df=5),
dx=1)),
# H1 case (same as Zheng’s):
# r(y|x) = Gaussian pdf[y - (mx + q*x^2 + c)], m = 1. c =1. q should be low
# p(y|x) = Gaussian pdf[y - (mx + c), m=1. and c=1
# r(x) = U[-3,3] (linearity breaks down from approximately |X| > 2)
'quad_vs_lin_d1': (
[100, 400, 700, 1000],
# p(y|x)
cden.CDGaussianOLS(slope=torch.tensor([1.0]),
c=torch.tensor([1.0]),
variance=1.0),
# rx
lambda n: dists.Uniform(low=-2.0, high=2.0).sample((n, 1)),
# CondSource for r(y|x)
cdat.CSAdditiveNoiseRegression(
f=lambda X: 1.0 * X + 0.1 * X**2 + 1.0,
noise=dists.Normal(0, 1.0),
dx=1)),
} # end of prob2tuples
# add more problems to prob2tuples
prob2tuples['g_het_dx3'] = create_prob_g_het(dx=3)
prob2tuples['g_het_dx4'] = create_prob_g_het(dx=4)
prob2tuples['g_het_dx5'] = create_prob_g_het(dx=5)
prob2tuples['g_het_dx10'] = create_prob_g_het(dx=10)
if prob_label not in prob2tuples:
raise ValueError('Unknown problem label. Need to be one of %s' %
str(list(prob2tuples.keys())))
return prob2tuples[prob_label]
def test_step(self, batch, batch_idx):
x, y = batch
μ_x, α_x, β_x = self(x)
log_likelihood = self.ellk(μ_x, α_x, β_x, y)
kl_divergence = self.kl(α_x, β_x, self.prior_α, self.prior_β)
if self.mse_mode:
loss = F.mse_loss(μ_x, y)
else:
loss = -self.elbo(log_likelihood, kl_divergence, train=False)
y_pred = self.predictive_mean(x)
m_p = D.StudentT(2 * α_x, loc=μ_x, scale=torch.sqrt(β_x / α_x))
# ---------
# Metrics
self.log(TEST_LOSS, loss, on_epoch=True)
self.log(TEST_ELBO, -loss, on_epoch=True)
self.log(TEST_MLLK, torch.sum(m_p.log_prob(y)),
on_epoch=True) # i.i.d assumption
# Mean fit
self.log(TEST_MEAN_FIT_MAE, F.l1_loss(y_pred, y), on_epoch=True)
self.log(TEST_MEAN_FIT_RMSE,
torch.sqrt(F.mse_loss(y_pred, y)),
on_epoch=True)
# Variance fit
pred_var = self.predictive_std(x)**2
empirical_var = (y_pred - y)**2
self.log(TEST_VARIANCE_FIT_MAE,
F.l1_loss(pred_var, empirical_var),
on_epoch=True)
self.log(
TEST_VARIANCE_FIT_RMSE,
torch.sqrt(F.mse_loss(pred_var, empirical_var)),
on_epoch=True,
)
# Sample fit
ancestral = False
if ancestral:
lbds = D.Gamma(α_x, β_x).sample((1, ))
samples_y = (D.Normal(μ_x, 1 / torch.sqrt(lbds)).sample(
(1, )).reshape(y.shape))
else:
samples_y = m_p.sample((1, )).reshape(y.shape)
self.log(TEST_SAMPLE_FIT_MAE, F.l1_loss(samples_y, y), on_epoch=True)
self.log(TEST_SAMPLE_FIT_RMSE,
torch.sqrt(F.mse_loss(samples_y, y)),
on_epoch=True)
# Model expected log likelihood
self.log(TEST_ELLK, torch.mean(log_likelihood), on_epoch=True)
# Model KL
self.log(TEST_KL, torch.mean(kl_divergence), on_epoch=True)
# Noise
x_noisy = generate_noise_for_model_test(x)
μ_x, α_x, β_x = self(x_noisy)
sigma = self.predictive_std(x_noisy)
kl_divergence = self.kl(α_x, β_x, self.prior_α, self.prior_β)
# Noise likelihood
self.log(NOISE_UNCERTAINTY, torch.mean(sigma), on_epoch=True)
# Noise KL
self.log(NOISE_KL, torch.mean(kl_divergence), on_epoch=True)
return loss
def beta_baseline(self) -> dist.Distribution:
return dist.StudentT(self.dof_baseline, 0.0, self.scale_baseline)
n_samples = 500 cols = 2 rows = 2 fig = plt.figure(figsize=(7 + cols, 2 + rows), facecolor='white', dpi=150) x = np.linspace(-8, 8, 200) x = torch.from_numpy(x).float() # print (m.log_prob(x)) m = d.Cauchy(torch.tensor([0.0]), torch.tensor([1.])) probs = torch.exp(m.log_prob(x)) m = d.Normal(torch.tensor([0.0]), torch.tensor([1.])) probs2 = torch.exp(m.log_prob(x)) m = d.StudentT(torch.tensor([2.0])) probs3 = torch.exp(m.log_prob(x)) ax = plt.subplot2grid((rows, cols), (0, 0), frameon=False) ax.plot(numpy(x), numpy(probs), label='Cauchy') ax.plot(numpy(x), numpy(probs2), label='Normal') ax.plot(numpy(x), numpy(probs3), label='StudentT') ax.legend() m = d.Cauchy(torch.tensor([0.0]), torch.tensor([1.])) samps = m.sample([n_samples]) m = d.Normal(torch.tensor([0.0]), torch.tensor([1.])) samps2 = m.sample([n_samples])
def variance(self):
return dists.StudentT(self.df, self.loc, self.scale).variance
def expectation(self):
return dists.StudentT(self.df, self.loc, self.scale).mean
def entropy(self):
return dists.StudentT(self.df, self.loc, self.scale).entropy()
def sample(self, batch_size):
model = dists.StudentT(self.df, self.loc, self.scale)
return model.rsample((batch_size, ))
def log_prob(self, value):
model = dists.StudentT(self.df, self.loc, self.scale)
return model.log_prob(value).sum(-1)
