def ramping_dataset(K, T, *args):
warnings.simplefilter('ignore')
def dist(a, b):
return cdist(np.atleast_2d(a), np.atleast_2d(b), 'correlation')
a = tc.mat2vec(random_corrmat(K))
b = tc.mat2vec(random_corrmat(K))
max_dist = dist(a, b)
max_iter = 100
for i in np.arange(max_iter):
next_b = tc.mat2vec(random_corrmat(K))
next_dist = dist(a, next_b)
if next_dist > max_dist:
b = next_b
max_dist = next_dist
mu = np.linspace(1, 0, T)
corrs = np.zeros([T, int((K**2 - K) / 2 + K)])
Y = np.zeros([T, K])
for t in np.arange(T):
corrs[t, :] = mu[t] * a + (1 - mu[t]) * b
Y[t, :] = np.random.multivariate_normal(mean=np.zeros([K]) + .1,
cov=tc.vec2mat(corrs[t, :]))
return Y, corrs
def generate_templates_refactor(order=1, cov_list=None, **kwargs):
kwargs['return_corrs'] = True
T = kwargs['T']
templates = []
for n in range(order):
print(n)
if cov_list:
kwargs['datagen'] = cov_list[n]
_, next_template = tc.simulate_data(**kwargs)
if n >= 1:
expanded_corrmats_last = tc.vec2mat(templates[n - 1])
expanded_corrmats_next = tc.vec2mat(next_template)
K2 = expanded_corrmats_last.shape[0]**2
next_template = np.zeros([K2, K2, T])
for t in range(T):
x_last = expanded_corrmats_last[:, :, t]
x_next = expanded_corrmats_next[:, :, t]
next_template[:, :, t] = np.kron(x_last, x_next)
next_template = tc.mat2vec(next_template)
templates.append(next_template)
return templates
def generate_data(templates):
order = len(templates) + 1
adjusted_templates = [templates[-1]
] # generate adjusted templates in reverse order
next_corrmats = adjusted_templates[-1]
for n in range(order - 1, 1, -1):
print(n)
corrmats = tc.vec2mat(next_corrmats)
K = corrmats.shape[0]
sK = int(np.sqrt(K))
T = corrmats.shape[2]
draws = np.zeros([sK, sK, T])
means = tc.vec2mat(templates[n - 2])
for t in range(T):
draws[:, :, t] = np.reshape(
np.random.multivariate_normal(means[:, :, t].ravel(),
corrmats[:, :, t]), [sK, sK])
next_corrmats = tc.mat2vec(draws)
adjusted_templates.append(next_corrmats)
corrmats = tc.vec2mat(next_corrmats)
K = int(corrmats.shape[0])
T = corrmats.shape[2]
data = np.zeros([T, K])
for t in range(T):
data[t, :] = np.random.multivariate_normal(np.zeros([K]),
corrmats[:, :, t])
adjusted_templates.reverse()
return data, adjusted_templates
def constant_dataset(K, T, *args):
warnings.simplefilter('ignore')
C = random_corrmat(K)
corrs = np.tile(tc.mat2vec(C), [T, 1])
Y = np.random.multivariate_normal(mean=np.zeros([K]) + .1, cov=C, size=T)
return Y, corrs
def random_dataset(K, T, *args):
warnings.simplefilter('ignore')
corrs = np.zeros([T, int((K**2 - K) / 2 + K)])
Y = np.zeros([T, K])
for t in np.arange(T):
corrs[t, :] = tc.mat2vec(random_corrmat(K))
Y[t, :] = np.random.multivariate_normal(mean=np.zeros([K]),
cov=tc.vec2mat(corrs[t, :]))
return Y, corrs
def block_dataset(K, T, B=5):
warnings.simplefilter('ignore')
block_len = np.ceil(T / B)
corrs = np.zeros([B, int((K**2 - K) / 2 + K)])
Y = np.zeros([T, K])
for b in np.arange(B):
corrs[b, :] = tc.mat2vec(random_corrmat(K))
corrs = np.repeat(corrs, block_len, axis=0)
corrs = corrs[:T, :]
for t in np.arange(T):
Y[t, :] = np.random.multivariate_normal(mean=np.zeros([K]) + .1,
cov=tc.vec2mat(corrs[t, :]))
return Y, corrs
def generate_templates(order=1, **kwargs):
kwargs['return_corrs'] = True
_, next_template = tc.simulate_data(**kwargs)
T = kwargs['T']
templates = []
for n in range(order - 1):
templates.append(next_template)
expanded_corrmats = tc.vec2mat(next_template)
K2 = expanded_corrmats.shape[0]**2
next_template = np.zeros([K2, K2, T])
for t in range(T):
x = np.atleast_2d(expanded_corrmats[:, :, t].ravel())
next_template[:, :, t] = x * x.T
next_template = tc.mat2vec(next_template)
templates.append(next_template)
return templates
def generate_data(templates):
order = len(templates) + 1
adjusted_templates = [templates[-1]
] # generate adjusted templates in reverse order
next_corrmats = adjusted_templates[-1]
for n in range(order - 1, 1, -1):
print(n)
corrmats = tc.vec2mat(next_corrmats)
K = corrmats.shape[0]
sK = int(np.sqrt(K))
T = corrmats.shape[2]
draws = np.zeros([sK, sK, T])
means = tc.vec2mat(templates[n - 2])
for t in range(T):
draws[:, :, t] = np.reshape(
np.random.multivariate_normal(means[:, :, t].ravel(),
corrmats[:, :, t]), [sK, sK])
next_corrmats = tc.mat2vec(draws)
adjusted_templates.append(next_corrmats)
# try_it = np.random.multivariate_normal(np.zeros([sK * sK]), np.eye(sK * sK), size=T)
# for t in range(T):
#
# #x_hat = np.random.multivariate_normal(means[:, :, t].ravel(), corrmats[:, :, t]).reshape(sK, sK, order='A')
# #x_hat = np.random.multivariate_normal(np.zeros([sK * sK]), corrmats[:, :, t]).reshape(sK, sK, order='A')
# #x_hat = np.random.multivariate_normal(np.zeros([sK * sK]), np.eye(sK * sK))
#
# try_c = corrmats[:, :, t]
# #try_c = nearPSD(try_c)
# #sns.heatmap(try_c)
# np.fill_diagonal(try_c, 10)
# c = np.linalg.cholesky(try_c)
#
# # #sns.heatmap(c)
# # np.fill_diagonal(c, 0)
# # c /= np.max(np.abs(c))
# #
# # ## this increases the recovery performance by A LOT
# # np.fill_diagonal(c, 1)
# c = tc.helpers.norm_mat(c)
#
# #sns.heatmap(c)
# x_hat = np.dot(try_it[t], c)
# #sns.heatmap(x_hat)
# x_hat = np.reshape(x_hat, [sK, sK])
# x_t = x_hat * x_hat.T
# x_t /= np.max(np.abs(x_t))
# #sns.heatmap(x_t)
# np.fill_diagonal(x_t, 1)
# draws[:, :, t] = x_t
#
# # draws[:, :, t] = np.reshape(np.random.multivariate_normal(means[:, :, t].ravel(), corrmats[:, :, t]),
# # [sK, sK])
#
# next_corrmats = tc.mat2vec(draws)
# adjusted_templates.append(next_corrmats)
corrmats = tc.vec2mat(next_corrmats)
K = int(corrmats.shape[0])
T = corrmats.shape[2]
data = np.zeros([T, K])
for t in range(T):
data[t, :] = np.random.multivariate_normal(np.zeros([K]),
corrmats[:, :, t])
adjusted_templates.reverse()
return data, adjusted_templates
