def get_normalization_uniform_prior(
posterior: DirectPosterior,
prior: Distribution,
true_observation: Tensor,
) -> Tuple[Tensor, Tensor, Tensor]:
"""
Return the unnormalized posterior likelihood, the normalized posterior likelihood,
and the estimated acceptance probability.
Args:
posterior: estimated posterior
prior: prior distribution
true_observation: observation where we evaluate the posterior
"""
# Test normalization.
prior_sample = prior.sample()
# Compute unnormalized density, i.e. just the output of the density estimator.
posterior_likelihood_unnorm = torch.exp(
posterior.log_prob(prior_sample, norm_posterior=False))
# Compute the normalized density, scale up output of the density
# estimator by the ratio of posterior samples within the prior bounds.
posterior_likelihood_norm = torch.exp(
posterior.log_prob(prior_sample, norm_posterior=True))
# Estimate acceptance ratio through rejection sampling.
acceptance_prob = posterior.leakage_correction(x=true_observation)
return posterior_likelihood_unnorm, posterior_likelihood_norm, acceptance_prob
def eval_posterior(
posterior: DirectPosterior,
data_real: to.Tensor,
num_samples: int,
calculate_log_probs: bool = True,
normalize_posterior: bool = True,
subrtn_sbi_sampling_hparam: Optional[dict] = None,
) -> Tuple[to.Tensor, Optional[to.Tensor]]:
r"""
Evaluates the posterior by computing parameter samples given observed data, its log probability
and the simulated trajectory.
:param posterior: posterior to evaluate, e.g. a normalizing flow, that samples domain parameters conditioned on
the provided data
:param data_real: data from the real-world rollouts a.k.a. set of $x_o$ of shape
[num_iter, num_rollouts_per_iter * dim_feat]
:param num_samples: number of samples to draw from the posterior
:param calculate_log_probs: if `True`, the log-probabilities are computed, else `None` is returned
:param normalize_posterior: if `True`, the normalization of the posterior density is enforced by sbi
:param subrtn_sbi_sampling_hparam: keyword arguments forwarded to sbi's `DirectPosterior.sample()` function
:return: domain parameters sampled form the posterior of shape [batch_size, num_samples, dim_domain_param], as
well as the log-probabilities of these domain parameters
"""
if not isinstance(data_real, to.Tensor) or data_real.ndim != 2:
raise pyrado.ShapeErr(
msg=
f"The data must be a 2-dim PyTorch tensor, but is of shape {data_real.shape}!"
)
batch_size, _ = data_real.shape
# Sample domain parameters for all batches and stack them
default_sampling_hparam = dict(
mcmc_method="slice_np_vectorized",
mcmc_parameters=dict(warmup_steps=50,
num_chains=100,
init_strategy="sir"), # default: slice_np, 20
)
if subrtn_sbi_sampling_hparam is None:
subrtn_sbi_sampling_hparam = dict()
elif isinstance(subrtn_sbi_sampling_hparam, dict):
subrtn_sbi_sampling_hparam = merge_dicts(
[default_sampling_hparam, subrtn_sbi_sampling_hparam])
else:
raise pyrado.TypeErr(given=subrtn_sbi_sampling_hparam,
expected_type=dict)
# Sample domain parameters from the posterior
domain_params = to.stack(
[
posterior.sample(
(num_samples, ), x=x_o, **subrtn_sbi_sampling_hparam)
for x_o in data_real
],
dim=0,
)
# Check shape
if not domain_params.ndim == 3 or domain_params.shape[:2] != (
batch_size, num_samples):
raise pyrado.ShapeErr(
msg=
f"The sampled domain parameters must be a 3-dim tensor where the 1st dimension is {batch_size} and "
f"the 2nd dimension is {num_samples}, but it is of shape {domain_params.shape}!"
)
# Compute the log probability if desired
if calculate_log_probs:
# Batch-wise computation and stacking
with completion_context("Evaluating posterior", color="w"):
log_probs = to.stack(
[
posterior.log_prob(
dp, x=x_o, norm_posterior=normalize_posterior)
for dp, x_o in zip(domain_params, data_real)
],
dim=0,
)
# Check shape
if log_probs.shape != (batch_size, num_samples):
raise pyrado.ShapeErr(given=log_probs,
expected_match=(batch_size, num_samples))
else:
log_probs = None
return domain_params, log_probs