def random(self, *phi, plates=None):
"""
Draw a random sample from the distribution.
"""
# Convert natural parameters to transition probabilities
p0 = np.exp(phi[0] - misc.logsumexp(phi[0], axis=-1, keepdims=True))
P = np.exp(phi[1] - misc.logsumexp(phi[1], axis=-1, keepdims=True))
# Explicit broadcasting
P = P * np.ones(plates)[..., None, None, None]
# Allocate memory
Z = np.zeros(plates + (self.N, ), dtype=np.int)
# Draw initial state
Z[..., 0] = random.categorical(p0, size=plates)
# Create [0,1,2,...,len(plate_axis)] indices for each plate axis and
# make them broadcast properly
nplates = len(plates)
plates_ind = [
np.arange(plate)[(Ellipsis, ) + (nplates - i - 1) * (None, )]
for (i, plate) in enumerate(plates)
]
plates_ind = tuple(plates_ind)
# Draw next states iteratively
for n in range(self.N - 1):
# Select the transition probabilities for the current state but take
# into account the plates. This leads to complex NumPy
# indexing.. :)
time_ind = min(n, np.shape(P)[-3] - 1)
ind = plates_ind + (time_ind, Z[..., n], Ellipsis)
p = P[ind]
# Draw next state
z = random.categorical(P[ind])
Z[..., n + 1] = z
return Z
def random(self, *phi, plates=None):
"""
Draw a random sample from the distribution.
"""
# Convert natural parameters to transition probabilities
p0 = np.exp(phi[0] - misc.logsumexp(phi[0], axis=-1, keepdims=True))
P = np.exp(phi[1] - misc.logsumexp(phi[1], axis=-1, keepdims=True))
# Explicit broadcasting
P = P * np.ones(plates)[..., None, None, None]
# Allocate memory
Z = np.zeros(plates + (self.N,), dtype=np.int)
# Draw initial state
Z[..., 0] = random.categorical(p0, size=plates)
# Create [0,1,2,...,len(plate_axis)] indices for each plate axis and
# make them broadcast properly
nplates = len(plates)
plates_ind = [np.arange(plate)[(Ellipsis,) + (nplates - i - 1) * (None,)] for (i, plate) in enumerate(plates)]
plates_ind = tuple(plates_ind)
# Draw next states iteratively
for n in range(self.N - 1):
# Select the transition probabilities for the current state but take
# into account the plates. This leads to complex NumPy
# indexing.. :)
time_ind = min(n, np.shape(P)[-3] - 1)
ind = plates_ind + (time_ind, Z[..., n], Ellipsis)
p = P[ind]
# Draw next state
z = random.categorical(P[ind])
Z[..., n + 1] = z
return Z
def _setup_bernoulli_mixture():
"""
Setup code for the hinton tests.
This code is from http://www.bayespy.org/examples/bmm.html
"""
np.random.seed(1)
p0 = [0.1, 0.9, 0.1, 0.9, 0.1, 0.9, 0.1, 0.9, 0.1, 0.9]
p1 = [0.1, 0.1, 0.1, 0.1, 0.1, 0.9, 0.9, 0.9, 0.9, 0.9]
p2 = [0.9, 0.9, 0.9, 0.9, 0.9, 0.1, 0.1, 0.1, 0.1, 0.1]
p = np.array([p0, p1, p2])
z = random.categorical([1 / 3, 1 / 3, 1 / 3], size=100)
x = random.bernoulli(p[z])
N = 100
D = 10
K = 10
R = Dirichlet(K * [1e-5], name='R')
Z = Categorical(R, plates=(N, 1), name='Z')
P = Beta([0.5, 0.5], plates=(D, K), name='P')
X = Mixture(Z, Bernoulli, P)
Q = VB(Z, R, X, P)
P.initialize_from_random()
X.observe(x)
Q.update(repeat=1000)
return (R, P, Z)
def random(self, *phi, plates=None):
"""
Draw a random sample from the distribution.
"""
logp = phi[0]
logp -= np.amax(logp, axis=-1, keepdims=True)
p = np.exp(logp)
return random.categorical(p, size=plates)
def random(self):
"""
Draw a random sample from the distribution.
"""
logp = self.phi[0]
logp -= np.amax(logp, axis=-1, keepdims=True)
p = np.exp(logp)
return random.categorical(p, size=self.plates)
def mixture_of_gaussians():
"""Collapsed Riemannian conjugate gradient demo
This is similar although not exactly identical to an experiment in
(Hensman et al 2012).
"""
np.random.seed(41)
# Number of samples
N = 1000
# Number of clusters in the model (five in the data)
K = 10
# Overlap parameter of clusters
R = 2
# Construct the model
Q = mog.gaussianmix_model(N, K, 2, covariance='diagonal')
# Generate data from five Gaussian clusters
mu = np.array([[0, 0],
[R, R],
[-R, R],
[R, -R],
[-R, -R]])
Z = random.categorical(np.ones(5), size=N)
data = np.empty((N, 2))
for n in range(N):
data[n,:] = mu[Z[n]] + np.random.randn(2)
Q['Y'].observe(data)
# Take one update step (so phi is ok)
Q.update(repeat=1)
Q.save()
# Run standard VB-EM
Q.update(repeat=1000, tol=0)
bpplt.pyplot.plot(np.cumsum(Q.cputime), Q.L, 'k-')
# Restore the initial state
Q.load()
# Run Riemannian conjugate gradient
Q.optimize('alpha', 'X', 'Lambda', collapsed=['z'], maxiter=300, tol=0)
bpplt.pyplot.plot(np.cumsum(Q.cputime), Q.L, 'r:')
bpplt.pyplot.xlabel('CPU time (in seconds)')
bpplt.pyplot.ylabel('VB lower bound')
bpplt.pyplot.legend(['VB-EM', 'Collapsed Riemannian CG'], loc='lower right')
## bpplt.pyplot.figure()
## bpplt.pyplot.plot(data[:,0], data[:,1], 'rx')
## bpplt.pyplot.title('Data')
bpplt.pyplot.show()
def _setup_bernoulli_mixture():
"""
Setup code for the hinton tests.
This code is from http://www.bayespy.org/examples/bmm.html
"""
np.random.seed(1)
p0 = [0.1, 0.9, 0.1, 0.9, 0.1, 0.9, 0.1, 0.9, 0.1, 0.9]
p1 = [0.1, 0.1, 0.1, 0.1, 0.1, 0.9, 0.9, 0.9, 0.9, 0.9]
p2 = [0.9, 0.9, 0.9, 0.9, 0.9, 0.1, 0.1, 0.1, 0.1, 0.1]
p = np.array([p0, p1, p2])
z = random.categorical([1/3, 1/3, 1/3], size=100)
x = random.bernoulli(p[z])
N = 100
D = 10
K = 10
R = Dirichlet(K*[1e-5],
name='R')
Z = Categorical(R,
plates=(N,1),
name='Z')
P = Beta([0.5, 0.5],
plates=(D,K),
name='P')
X = Mixture(Z, Bernoulli, P)
Q = VB(Z, R, X, P)
P.initialize_from_random()
X.observe(x)
Q.update(repeat=1000)
return (R,P,Z)
import numpy numpy.random.seed(1) p0 = [0.1, 0.9, 0.1, 0.9, 0.1, 0.9, 0.1, 0.9, 0.1, 0.9] p1 = [0.1, 0.1, 0.1, 0.1, 0.1, 0.9, 0.9, 0.9, 0.9, 0.9] p2 = [0.9, 0.9, 0.9, 0.9, 0.9, 0.1, 0.1, 0.1, 0.1, 0.1] import numpy as np p = np.array([p0, p1, p2]) from bayespy.utils import random z = random.categorical([1 / 3, 1 / 3, 1 / 3], size=100) x = random.bernoulli(p[z]) N = 100 D = 10 K = 10 from bayespy.nodes import Categorical, Dirichlet R = Dirichlet(K * [1e-5], name='R') Z = Categorical(R, plates=(N, 1), name='Z') from bayespy.nodes import Beta P = Beta([0.5, 0.5], plates=(D, K), name='P') from bayespy.nodes import Mixture, Bernoulli X = Mixture(Z, Bernoulli, P) from bayespy.inference import VB Q = VB(Z, R, X, P) P.initialize_from_random() X.observe(x) Q.update(repeat=1000) import bayespy.plot as bpplt bpplt.hinton(P) bpplt.pyplot.show()
bpplt.pyplot.subplot(2, 1, 1) bpplt.pdf(mu, np.linspace(-10, 20, num=100), color='k', name=r'\mu') bpplt.pyplot.subplot(2, 1, 2) bpplt.pdf(tau, np.linspace(1e-6, 0.08, num=100), color='k', name=r'\tau') bpplt.pyplot.tight_layout() bpplt.pyplot.show() ''' p0 = [0.1, 0.1, 0.1, 0.9, 0.9, 0.9, 0.1, 0.1, 0.1, 0.1] p1 = [0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.9, 0.9, 0.9, 0.9] p2 = [0.9, 0.9, 0.9, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1] p = np.array([p0, p1, p2]) z = random.categorical([1/3, 1/3, 1/3], size=100) x = random.bernoulli(p[z]) N = 100 D = 10 K = 3 R = Dirichlet(K*[1e-5],name='R') Z = Categorical(R,plates=(N,1),name='Z') P = Beta([0.5, 0.5],plates=(D,K),name='P') X = Mixture(Z, Bernoulli, P) Q = VB(Z, R, X, P) P.initialize_from_random() X.observe(x)
def random(self):
logp = self.phi[0]
logp -= np.amax(logp, axis=-1, keepdims=True)
p = np.exp(logp)
return random.categorical(p, size=self.plates)
def run(N=100000, N_batch=50, seed=42, maxiter=100, plot=True):
"""
Run deterministic annealing demo for 1-D Gaussian mixture.
"""
if seed is not None:
np.random.seed(seed)
# Number of clusters in the model
K = 20
# Dimensionality of the data
D = 5
# Generate data
K_true = 10
spread = 5
means = spread * np.random.randn(K_true, D)
z = random.categorical(np.ones(K_true), size=N)
data = np.empty((N, D))
for n in range(N):
data[n] = means[z[n]] + np.random.randn(D)
#
# Standard VB-EM algorithm
#
# Full model
mu = Gaussian(np.zeros(D), np.identity(D), plates=(K, ), name='means')
alpha = Dirichlet(np.ones(K), name='class probabilities')
Z = Categorical(alpha, plates=(N, ), name='classes')
Y = Mixture(Z, Gaussian, mu, np.identity(D), name='observations')
# Break symmetry with random initialization of the means
mu.initialize_from_random()
# Put the data in
Y.observe(data)
# Run inference
Q = VB(Y, Z, mu, alpha)
Q.save(mu)
Q.update(repeat=maxiter)
if plot:
bpplt.pyplot.plot(np.cumsum(Q.cputime), Q.L, 'k-')
max_cputime = np.sum(Q.cputime[~np.isnan(Q.cputime)])
#
# Stochastic variational inference
#
# Construct smaller model (size of the mini-batch)
mu = Gaussian(np.zeros(D), np.identity(D), plates=(K, ), name='means')
alpha = Dirichlet(np.ones(K), name='class probabilities')
Z = Categorical(alpha,
plates=(N_batch, ),
plates_multiplier=(N / N_batch, ),
name='classes')
Y = Mixture(Z, Gaussian, mu, np.identity(D), name='observations')
# Break symmetry with random initialization of the means
mu.initialize_from_random()
# Inference engine
Q = VB(Y, Z, mu, alpha, autosave_filename=Q.autosave_filename)
Q.load(mu)
# Because using mini-batches, messages need to be multiplied appropriately
print("Stochastic variational inference...")
Q.ignore_bound_checks = True
maxiter *= int(N / N_batch)
delay = 1
forgetting_rate = 0.7
for n in range(maxiter):
# Observe a mini-batch
subset = np.random.choice(N, N_batch)
Y.observe(data[subset, :])
# Learn intermediate variables
Q.update(Z)
# Set step length
step = (n + delay)**(-forgetting_rate)
# Stochastic gradient for the global variables
Q.gradient_step(mu, alpha, scale=step)
if np.sum(Q.cputime[:n]) > max_cputime:
break
if plot:
bpplt.pyplot.plot(np.cumsum(Q.cputime), Q.L, 'r:')
bpplt.pyplot.xlabel('CPU time (in seconds)')
bpplt.pyplot.ylabel('VB lower bound')
bpplt.pyplot.legend(['VB-EM', 'Stochastic inference'],
loc='lower right')
bpplt.pyplot.title('VB for Gaussian mixture model')
return
def run(N=100000, N_batch=50, seed=42, maxiter=100, plot=True):
"""
Run deterministic annealing demo for 1-D Gaussian mixture.
"""
if seed is not None:
np.random.seed(seed)
# Number of clusters in the model
K = 20
# Dimensionality of the data
D = 5
# Generate data
K_true = 10
spread = 5
means = spread * np.random.randn(K_true, D)
z = random.categorical(np.ones(K_true), size=N)
data = np.empty((N,D))
for n in range(N):
data[n] = means[z[n]] + np.random.randn(D)
#
# Standard VB-EM algorithm
#
# Full model
mu = Gaussian(np.zeros(D), np.identity(D),
plates=(K,),
name='means')
alpha = Dirichlet(np.ones(K),
name='class probabilities')
Z = Categorical(alpha,
plates=(N,),
name='classes')
Y = Mixture(Z, Gaussian, mu, np.identity(D),
name='observations')
# Break symmetry with random initialization of the means
mu.initialize_from_random()
# Put the data in
Y.observe(data)
# Run inference
Q = VB(Y, Z, mu, alpha)
Q.save(mu)
Q.update(repeat=maxiter)
if plot:
bpplt.pyplot.plot(np.cumsum(Q.cputime), Q.L, 'k-')
max_cputime = np.sum(Q.cputime[~np.isnan(Q.cputime)])
#
# Stochastic variational inference
#
# Construct smaller model (size of the mini-batch)
mu = Gaussian(np.zeros(D), np.identity(D),
plates=(K,),
name='means')
alpha = Dirichlet(np.ones(K),
name='class probabilities')
Z = Categorical(alpha,
plates=(N_batch,),
plates_multiplier=(N/N_batch,),
name='classes')
Y = Mixture(Z, Gaussian, mu, np.identity(D),
name='observations')
# Break symmetry with random initialization of the means
mu.initialize_from_random()
# Inference engine
Q = VB(Y, Z, mu, alpha, autosave_filename=Q.autosave_filename)
Q.load(mu)
# Because using mini-batches, messages need to be multiplied appropriately
print("Stochastic variational inference...")
Q.ignore_bound_checks = True
maxiter *= int(N/N_batch)
delay = 1
forgetting_rate = 0.7
for n in range(maxiter):
# Observe a mini-batch
subset = np.random.choice(N, N_batch)
Y.observe(data[subset,:])
# Learn intermediate variables
Q.update(Z)
# Set step length
step = (n + delay) ** (-forgetting_rate)
# Stochastic gradient for the global variables
Q.gradient_step(mu, alpha, scale=step)
if np.sum(Q.cputime[:n]) > max_cputime:
break
if plot:
bpplt.pyplot.plot(np.cumsum(Q.cputime), Q.L, 'r:')
bpplt.pyplot.xlabel('CPU time (in seconds)')
bpplt.pyplot.ylabel('VB lower bound')
bpplt.pyplot.legend(['VB-EM', 'Stochastic inference'], loc='lower right')
bpplt.pyplot.title('VB for Gaussian mixture model')
return
def random(self):
logp = self.phi[0]
logp -= np.amax(logp, axis=-1, keepdims=True)
p = np.exp(logp)
return random.categorical(p, size=self.plates)
