def _svd_sym_koopman(K, C00_train, Ctt_train):
""" Computes the SVD of the symmetrized Koopman operator in the empirical distribution.
"""
# reweight operator to empirical distribution
C0t_re = mdot(C00_train, K)
# symmetrized operator and SVD
K_sym = mdot(spd_inv_sqrt(C00_train), C0t_re, spd_inv_sqrt(Ctt_train))
U, S, Vt = np.linalg.svd(K_sym, compute_uv=True, full_matrices=False)
# projects back to singular functions of K
U = mdot(spd_inv_sqrt(C00_train), U)
Vt = mdot(Vt, spd_inv_sqrt(Ctt_train))
return U, S, Vt.T
def pcca(P, m):
"""PCCA+ spectral clustering method with optimized memberships [1]_
Clusters the first m eigenvectors of a transition matrix in order to cluster the states.
This function does not assume that the transition matrix is fully connected. Disconnected sets
will automatically define the first metastable states, with perfect membership assignments.
Parameters
----------
P : ndarray (n,n)
Transition matrix.
m : int
Number of clusters to group to.
References
----------
[1] S. Roeblitz and M. Weber, Fuzzy spectral clustering by PCCA+:
application to Markov state models and data classification.
Adv Data Anal Classif 7, 147-179 (2013).
"""
assert 0 < m <= P.shape[0]
from scipy.sparse import issparse
if issparse(P):
warnings.warn(
'PCCA is only implemented for dense matrices, '
'converting sparse transition matrix to dense ndarray.',
stacklevel=2)
P = P.toarray()
# memberships
# TODO: can be improved. pcca computes stationary distribution internally, we don't need to compute it twice.
from msmtools.analysis.dense.pcca import pcca as _algorithm_impl
M = _algorithm_impl(P, m)
# stationary distribution
# TODO: in msmtools we recomputed this from P, we actually want to use pi from the msm obj, but this caused #1208
from msmtools.analysis import stationary_distribution
pi = stationary_distribution(P)
# coarse-grained stationary distribution
pi_coarse = np.dot(M.T, pi)
# HMM output matrix
B = mdot(np.diag(1.0 / pi_coarse), M.T, np.diag(pi))
# renormalize B to make it row-stochastic
B /= B.sum(axis=1)[:, None]
# coarse-grained transition matrix
W = np.linalg.inv(np.dot(M.T, M))
A = np.dot(np.dot(M.T, P), M)
P_coarse = np.dot(W, A)
# symmetrize and renormalize to eliminate numerical errors
X = np.dot(np.diag(pi_coarse), P_coarse)
P_coarse = X / X.sum(axis=1)[:, None]
return PCCAModel(P_coarse, pi_coarse, M, B)
def propagate(self, p0, k):
r""" Propagates the initial distribution p0 k times
Computes the product
.. math::
p_k = p_0^T P^k
If the lag time of transition matrix :math:`P` is :math:`\tau`, this
will provide the probability distribution at time :math:`k \tau`.
Parameters
----------
p0 : ndarray(n)
Initial distribution. Vector of size of the active set.
k : int
Number of time steps
Returns
----------
pk : ndarray(n)
Distribution after k steps. Vector of size of the active set.
"""
# p0 = types.ensure_ndarray(p0, ndim=1, kind='numeric')
# assert types.is_int(k) and k >= 0, 'k must be a non-negative integer'
if k == 0: # simply return p0 normalized
return p0 / p0.sum()
micro = False
# are we on microstates space?
if len(p0) == self.n_states_obs:
micro = True
# project to hidden and compute
p0 = np.dot(self.observation_probabilities, p0)
self._ensure_eigendecomposition(self.n_states)
# TODO: eigenvectors_right() and so forth call ensure_eigendecomp again with self.neig instead of self.n_states
pk = mdot(p0.T, self.eigenvectors_right(),
np.diag(np.power(self.eigenvalues(), k)),
self.eigenvectors_left())
if micro:
pk = np.dot(pk, self.observation_probabilities
) # convert back to microstate space
# normalize to 1.0 and return
return pk / pk.sum()
def propagate(self, p0, k):
r""" Propagates the initial distribution p0 defined on observable space k times.
Therefore computes the product
.. math::
p_k = p_0^T P^k
If the lag time of transition matrix :math:`P` is :math:`\tau`, this
will provide the probability distribution at time :math:`k \tau`.
Parameters
----------
p0 : ndarray(n)
Initial distribution. Vector of size of the active set.
k : int
Number of time steps
Returns
----------
pk : ndarray(n)
Distribution after k steps
"""
if k == 0: # simply return p0 normalized
return p0 / p0.sum()
p0 = self._project_to_hidden(p0)
ev_right = self.transition_model.eigenvectors_right(
self.n_hidden_states)
ev_left = self.transition_model.eigenvectors_left(self.n_hidden_states)
pk = mdot(p0.T, ev_right,
np.diag(np.power(self.transition_model.eigenvalues(), k)),
ev_left)
pk = np.dot(
pk, self.output_probabilities) # convert back to microstate space
# normalize to 1.0 and return
return pk / pk.sum()
def vamp_2_score(K,
C00_train,
C0t_train,
Ctt_train,
C00_test,
C0t_test,
Ctt_test,
k=None):
r""" Computes the VAMP-2 score of a kinetic model.
Ranks the kinetic model described by the estimation of covariances C00, C0t and Ctt,
defined by:
:math:`C_{0t}^{train} = E_t[x_t x_{t+\tau}^T]`
:math:`C_{tt}^{train} = E_t[x_{t+\tau} x_{t+\tau}^T]`
These model covariances might have been subject to symmetrization or reweighting,
depending on the type of model used.
The covariances C00, C0t and Ctt of the test data are direct empirical estimates.
singular vectors U and V using the test data
with covariances C00, C0t, Ctt. U and V should come from the SVD of the symmetrized
transition matrix or Koopman matrix:
:math:`(C00^{train})^{-(1/2)} C0t^{train} (Ctt^{train})^{-(1/2)} = U S V.T`
Parameters:
-----------
K : ndarray(n, k)
left singular vectors of the symmetrized transition matrix or Koopman matrix
C00_train : ndarray(n, n)
covariance matrix of the training data, defined by
:math:`C_{00}^{train} = (T-\tau)^{-1} \sum_{t=0}^{T-\tau} x_t x_t^T`
C0t_train : ndarray(n, n)
time-lagged covariance matrix of the training data, defined by
:math:`C_{0t}^{train} = (T-\tau)^{-1} \sum_{t=0}^{T-\tau} x_t x_{t+\tau}^T`
Ctt_train : ndarray(n, n)
covariance matrix of the training data, defined by
:math:`C_{tt}^{train} = (T-\tau)^{-1} \sum_{t=0}^{T-\tau} x_{t+\tau} x_{t+\tau}^T`
C00_test : ndarray(n, n)
covariance matrix of the test data, defined by
:math:`C_{00}^{test} = (T-\tau)^{-1} \sum_{t=0}^{T-\tau} x_t x_t^T`
C0t_test : ndarray(n, n)
time-lagged covariance matrix of the test data, defined by
:math:`C_{0t}^{test} = (T-\tau)^{-1} \sum_{t=0}^{T-\tau} x_t x_{t+\tau}^T`
Ctt_test : ndarray(n, n)
covariance matrix of the test data, defined by
:math:`C_{tt}^{test} = (T-\tau)^{-1} \sum_{t=0}^{T-\tau} x_{t+\tau} x_{t+\tau}^T`
k : int
number of slow processes to consider in the score
Returns:
--------
vamp2 : float
VAMP-2 score
"""
# SVD of symmetrized operator in empirical distribution
U, _, V = _svd_sym_koopman(K, C00_train, Ctt_train)
if k is not None:
U = U[:, :k]
V = V[:, :k]
A = spd_inv_sqrt(mdot(U.T, C00_test, U))
B = mdot(U.T, C0t_test, V)
C = spd_inv_sqrt(mdot(V.T, Ctt_test, V))
# compute square frobenius, equal to the sum of squares of singular values
score = np.linalg.norm(mdot(A, B, C), ord='fro')**2
return score
def vamp_e_score(K,
C00_train,
C0t_train,
Ctt_train,
C00_test,
C0t_test,
Ctt_test,
k=None):
r""" Computes the VAMP-E score of a kinetic model.
Ranks the kinetic model described by the estimation of covariances C00, C0t and Ctt,
defined by:
:math:`C_{0t}^{train} = E_t[x_t x_{t+\tau}^T]`
:math:`C_{tt}^{train} = E_t[x_{t+\tau} x_{t+\tau}^T]`
These model covariances might have been subject to symmetrization or reweighting,
depending on the type of model used.
The covariances C00, C0t and Ctt of the test data are direct empirical estimates.
singular vectors U and V using the test data
with covariances C00, C0t, Ctt. U and V should come from the SVD of the symmetrized
transition matrix or Koopman matrix:
:math:`(C00^{train})^{-(1/2)} C0t^{train} (Ctt^{train})^{-(1/2)} = U S V.T`
Parameters:
-----------
K : ndarray(n, k)
left singular vectors of the symmetrized transition matrix or Koopman matrix
C00_train : ndarray(n, n)
covariance matrix of the training data, defined by
:math:`C_{00}^{train} = (T-\tau)^{-1} \sum_{t=0}^{T-\tau} x_t x_t^T`
C0t_train : ndarray(n, n)
time-lagged covariance matrix of the training data, defined by
:math:`C_{0t}^{train} = (T-\tau)^{-1} \sum_{t=0}^{T-\tau} x_t x_{t+\tau}^T`
Ctt_train : ndarray(n, n)
covariance matrix of the training data, defined by
:math:`C_{tt}^{train} = (T-\tau)^{-1} \sum_{t=0}^{T-\tau} x_{t+\tau} x_{t+\tau}^T`
C00_test : ndarray(n, n)
covariance matrix of the test data, defined by
:math:`C_{00}^{test} = (T-\tau)^{-1} \sum_{t=0}^{T-\tau} x_t x_t^T`
C0t_test : ndarray(n, n)
time-lagged covariance matrix of the test data, defined by
:math:`C_{0t}^{test} = (T-\tau)^{-1} \sum_{t=0}^{T-\tau} x_t x_{t+\tau}^T`
Ctt_test : ndarray(n, n)
covariance matrix of the test data, defined by
:math:`C_{tt}^{test} = (T-\tau)^{-1} \sum_{t=0}^{T-\tau} x_{t+\tau} x_{t+\tau}^T`
k : int
number of slow processes to consider in the score
Returns:
--------
vampE : float
VAMP-E score
"""
# SVD of symmetrized operator in empirical distribution
U, s, V = _svd_sym_koopman(K, C00_train, Ctt_train)
if k is not None:
U = U[:, :k]
S = np.diag(s[:k])
V = V[:, :k]
score = np.trace(2.0 * mdot(V, S, U.T, C0t_test) -
mdot(V, S, U.T, C00_test, U, S, V.T, Ctt_test))
return score
def pcca(P, m, stationary_distribution=None):
"""PCCA+ spectral clustering method with optimized memberships.
Implementation according to [1]_.
Clusters the first m eigenvectors of a transition matrix in order to cluster the states.
This function does not assume that the transition matrix is fully connected. Disconnected sets
will automatically define the first metastable states, with perfect membership assignments.
Parameters
----------
P : ndarray (n,n)
Transition matrix.
m : int
Number of clusters to group to.
stationary_distribution : ndarray(n,), optional, default=None
Stationary distribution over the full state space, can be given if already computed.
References
----------
.. [1] S. Roeblitz and M. Weber, Fuzzy spectral clustering by PCCA+:
application to Markov state models and data classification.
Adv Data Anal Classif 7, 147-179 (2013).
"""
if m <= 0 or m > P.shape[0]:
raise ValueError(
"Number of metastable sets must be larger than 0 and can be at most as large as the number "
"of states.")
assert 0 < m <= P.shape[0]
from scipy.sparse import issparse
if issparse(P):
warnings.warn(
'PCCA is only implemented for dense matrices, '
'converting sparse transition matrix to dense ndarray.',
stacklevel=2)
P = P.toarray()
# stationary distribution
if stationary_distribution is None:
from msmtools.analysis import stationary_distribution as statdist
pi = statdist(P)
else:
pi = stationary_distribution
# memberships
# TODO: can be improved. pcca computes stationary distribution internally, we don't need to compute it twice.
from msmtools.analysis.dense.pcca import pcca as _algorithm_impl
M = _algorithm_impl(P, m)
# coarse-grained stationary distribution
pi_coarse = np.dot(M.T, pi)
# HMM output matrix
B = mdot(np.diag(1.0 / pi_coarse), M.T, np.diag(pi))
# renormalize B to make it row-stochastic
B /= B.sum(axis=1)[:, None]
# coarse-grained transition matrix
W = np.linalg.inv(np.dot(M.T, M))
A = np.dot(np.dot(M.T, P), M)
P_coarse = np.dot(W, A)
# symmetrize and renormalize to eliminate numerical errors
X = np.dot(np.diag(pi_coarse), P_coarse)
# and normalize
P_coarse = X / X.sum(axis=1)[:, None]
return PCCAModel(P_coarse, pi_coarse, M, B)
def score(self, test_model=None, score_method='VAMP2'):
"""Compute the VAMP score for this model or the cross-validation score between self and a second model.
Parameters
----------
test_model : VAMPModel, optional, default=None
If `test_model` is not None, this method computes the cross-validation score
between self and `test_model`. It is assumed that self was estimated from
the "training" data and `test_model` was estimated from the "test" data. The
score is computed for one realization of self and `test_model`. Estimation
of the average cross-validation score and partitioning of data into test and
training part is not performed by this method.
If `test_model` is None, this method computes the VAMP score for the model
contained in self.
score_method : str, optional, default='VAMP2'
Available scores are based on the variational approach for Markov processes [1]_:
* 'VAMP1' Sum of singular values of the half-weighted Koopman matrix [1]_ .
If the model is reversible, this is equal to the sum of
Koopman matrix eigenvalues, also called Rayleigh quotient [1]_.
* 'VAMP2' Sum of squared singular values of the half-weighted Koopman matrix [1]_ .
If the model is reversible, this is equal to the kinetic variance [2]_ .
* 'VAMPE' Approximation error of the estimated Koopman operator with respect to
the true Koopman operator up to an additive constant [1]_ .
Returns
-------
score : float
If `test_model` is not None, returns the cross-validation VAMP score between
self and `test_model`. Otherwise return the selected VAMP-score of self.
References
----------
.. [1] Wu, H. and Noe, F. 2017. Variational approach for learning Markov processes from time series data.
arXiv:1707.04659v1
.. [2] Noe, F. and Clementi, C. 2015. Kinetic distance and kinetic maps from molecular dynamics simulation.
J. Chem. Theory. Comput. doi:10.1021/acs.jctc.5b00553
"""
# TODO: implement for TICA too
if test_model is None:
test_model = self
Uk = self.singular_vectors_left[:, 0:self.dimension()]
Vk = self.singular_vectors_right[:, 0:self.dimension()]
res = None
if score_method == 'VAMP1' or score_method == 'VAMP2':
A = spd_inv_sqrt(Uk.T.dot(test_model.cov_00).dot(Uk))
B = Uk.T.dot(test_model.cov_0t).dot(Vk)
C = spd_inv_sqrt(Vk.T.dot(test_model.cov_tt).dot(Vk))
ABC = mdot(A, B, C)
if score_method == 'VAMP1':
res = np.linalg.norm(ABC, ord='nuc')
elif score_method == 'VAMP2':
res = np.linalg.norm(ABC, ord='fro')**2
elif score_method == 'VAMPE':
Sk = np.diag(self.singular_values[0:self.dimension()])
res = np.trace(2.0 * mdot(Vk, Sk, Uk.T, test_model.cov_0t) -
mdot(Vk, Sk, Uk.T, test_model.cov_00, Uk, Sk, Vk.T,
test_model.cov_tt))
else:
raise ValueError('"score" should be one of VAMP1, VAMP2 or VAMPE')
# add the contribution (+1) of the constant singular functions to the result
assert res
return res + 1
