def entropy(X, k=1):
'''
Returns the entropy of X,
given as array X = array(n,dx)
where
n = number of samples
dx = number of dimensions
Optionally:
k = number of nearest neighbors for density estimation
'''
# Distance to kth nearest neighbor
r = nearest_distances(X, k) # squared distances
n, d = X.shape
volume_unit_ball = (pi ** (.5 * d)) / gamma(.5 * d + 1)
'''
F. Perez-Cruz, (2008). Estimation of Information Theoretic Measures
for Continuous Random Variables. Advances in Neural Information
Processing Systems 21 (NIPS). Vancouver (Canada), December.
return .5*d*mean(log(r))+log(volume_unit_ball)+log(n-1)-log(k)
'''
'''
Kozachenko, L. F. & Leonenko, N. N. 1987 Sample estimate of entropy
of a random vector. Probl. Inf. Transm. 23, 95-101.
See also: Evans, D. 2008 A computationally efficient estimator for
mutual information, Proc. R. Soc. A 464 (2093), 1203-1215.
and:
Kraskov A, Stogbauer H, Grassberger P. (2004). Estimating mutual
information. Phys Rev E 69(6 Pt 2):066138.
'''
return .5 * d * mean(log(r)) + log(volume_unit_ball) + psi(n) - psi(k)
def compute_elbo(self, doc_ids, doc_cnt, doc_links):
""" compute evidence lower bound for trained model
"""
elbo = 0
e_log_theta = psi(self.gamma) - psi(np.sum(self.gamma, 1))[:, np.newaxis] # D x K
log_beta = np.log(self.beta + eps)
for di in xrange(self.n_doc):
words = doc_ids[di]
cnt = doc_cnt[di]
elbo += np.sum(cnt * (self.phi[di] * log_beta[:, words])) # E_q[log p(w_{d,n}|\beta,z_{d,n})]
elbo += np.sum((self.alpha - 1.0) * e_log_theta[di, :]) # E_q[log p(\theta_d | alpha)]
elbo += np.sum(self.phi[di].T * e_log_theta[di, :]) # E_q[log p(z_{d,n}|\theta_d)]
elbo += (
-gammaln(np.sum(self.gamma[di, :]))
+ np.sum(gammaln(self.gamma[di, :]))
- np.sum((self.gamma[di, :] - 1.0) * (e_log_theta[di, :]))
) # - E_q[log q(theta|gamma)]
elbo += -np.sum(cnt * self.phi[di] * np.log(self.phi[di])) # - E_q[log q(z|phi)]
for adi in doc_links[di]:
elbo += (
np.dot(self.eta, self.pi[di] * self.pi[adi]) + self.nu
) # E_q[log p(y_{d1,d2}|z_{d1},z_{d2},\eta,\nu)]
return elbo
def estimate_alpha_from_counts(D, K, initial_alpha, counts, n_iter=1000):
"""
Estimate posterior alpha of a Dirichlet multinomial from samples of the multinomial counts.
This implements the fixed point update as described in Minka, T. P. (2003). Estimating a Dirichlet distribution.
Annals of Physics, 2000(8), 1-13. http://doi.org/10.1007/s00256-007-0299-1
"""
counts = counts.astype(float)
sdata = np.sum(counts, axis=1)
# initialise old and new alphas before iteration
alpha_old = np.ones(K) * initial_alpha
for i in range(n_iter):
sa = np.sum(alpha_old)
temp = np.tile(alpha_old, (D, 1))
g = np.sum(psi(counts + temp), axis=0) - D*psi(alpha_old)
h = np.sum(psi(sdata + sa)) - D*psi(sa)
alpha_new = alpha_old * (g/h)
if np.max(np.abs(alpha_new-alpha_old)) < 1e-6:
break
if np.isnan(np.min(alpha_new)): # prevent NaN from propagating
return alpha_old
# set alpha_new to alpha_old for the next iteration update
alpha_old = alpha_new
return alpha_new
def loglik(self,obs=None):
dim=self.__dim__
if obs is None:
obs=numpy.arange(dim)
else:
assert numpy.ndim(obs)==1
pi=self.__param__.pi
alpha=self.__param__.alpha
if numpy.isfinite(alpha):
val=numpy.zeros(numpy.size(obs))
val[:]=-numpy.inf
ind,=numpy.where(pi[obs]>0.0)
# Evaluate the expected log-likelihood.
val[ind]=special.psi(alpha*pi[obs[ind]])-special.psi(alpha)
return val
else:
return numpy.log(pi[obs])
def compute_moments_and_cgf(self, phi, mask=True):
r"""
Compute the moments and :math:`g(\phi)`.
.. math::
\overline{\mathbf{u}} (\boldsymbol{\phi})
&=
\begin{bmatrix}
\psi(\phi_1) - \psi(\sum_d \phi_{1,d})
\end{bmatrix}
\\
g_{\boldsymbol{\phi}} (\boldsymbol{\phi})
&=
TODO
"""
if np.any(np.asanyarray(phi) <= 0):
raise ValueError("Natural parameters should be positive")
sum_gammaln = np.sum(special.gammaln(phi[0]), axis=-1)
gammaln_sum = special.gammaln(np.sum(phi[0], axis=-1))
psi_sum = special.psi(np.sum(phi[0], axis=-1, keepdims=True))
# Moments <log x>
u0 = special.psi(phi[0]) - psi_sum
u = [u0]
# G
g = gammaln_sum - sum_gammaln
return (u, g)
def localVB(doc, alpha, k, expElogBeta):
# Global Variables
VAR_MAX_ITER = 10
VAR_CONVERGED = 0.01
isConverged = 0
# Initialization
ids = [id for id,_ in doc]
cts = np.array([cnt for _,cnt in doc])
gamma = np.asarray([1.0 / k for i in xrange(k)]) # 1*k
expElogTheta = np.exp(psi(gamma)) # 1*k
expElogBetaD = expElogBeta_k_by_d(expElogBeta,k,ids) # k*d
phinorm = np.dot(expElogTheta,expElogBetaD) + 1e-100 # 1 * d
for round in xrange(VAR_MAX_ITER):
lastgamma = gamma
gamma = alpha + expElogTheta * np.dot(cts/phinorm, expElogBetaD.T)
expElogTheta = np.exp(psi(gamma))
phinorm = np.dot(expElogTheta,expElogBetaD) + 1e-100 # 1 * d
# isConverged ?
meanchange = np.mean(abs(gamma - lastgamma))
if (meanchange < VAR_CONVERGED):
isConverged = 1
break
# calculate phi
phi_cts = np.dot( np.dot( np.diag(expElogTheta), expElogBetaD), np.diag(cts/phinorm))
return phi_cts,ids,gamma,isConverged
def Mstep(max_iter):
global alpha,beta,Gamma,Phi,doc,doc_cnt;
#update beta
for i in range(K):
for v in range(voca_size):
beta[i][v] = 0;
for d in range(doc_size):
for n in range(len(doc[d])):
beta[i][doc[d][n]] += doc_cnt[d][n] * Phi[d][n][i];
beta_sum = sum_matrix(beta, 0);
for k in range(K):
for i in range(voca_size):
beta[k][i] = beta[k][i]/beta_sum[k];
#update alpha
last = 0;
iter_num = 0;
const = 0;
for d in range(doc_size):
gamma_sum = sum_vector(Gamma[d]);
for i in range(K):
const += (sp.psi(Gamma[d][i]) - sp.psi(gamma_sum));
now = -compute_alpha_mle(alpha);
origin = now;
while (abs(last - now) > 1e-9 and iter_num < max_iter):
da = K * (doc_size * (sp.psi(alpha * K) - sp.psi(alpha))) + const;
dda = K * (doc_size * (K * sp.polygamma(1, alpha * K) - sp.polygamma(1, alpha)));
dx = -da/dda;
alpha = backtrack(alpha,dx,da,0.01,0.5);
last = now;
now = -compute_alpha_mle(alpha);
iter_num += 1;
if (now < origin):
print('error alpha');
def expected_log_m(self):
"""
Compute the expected log probability of each block
:return:
"""
E_log_m = psi(self.mf_pi) - psi(self.mf_pi.sum())
return E_log_m
def run_e_step(self): """ compute variational expectations """ ll = 0. for p in xrange(self.N): for q in xrange(self.N): new_phi = np.zeros(self.K) for g in xrange(self.K): new_phi[g] = np.exp(psi(self.gamma[p,g])-psi(np.sum(self.gamma[p,:]))) * np.prod(( (self.B[g,:]**self.Y[p,q]) * ((1.-self.B[g,:])**(1.-self.Y[p,q])) ) ** self.phi[q,p,:] ) self.phi[p,q,:] = new_phi/np.sum(new_phi) new_phi = np.zeros(self.K) for h in xrange(self.K): new_phi[h] = np.exp(psi(self.gamma[q,h])-psi(np.sum(self.gamma[q,:]))) * np.prod(( (self.B[:,h]**self.Y[p,q]) * ((1.-self.B[:,h])**(1.-self.Y[p,q])) ) ** self.phi[p,q,:] ) self.phi[q,p,:] = new_phi/np.sum(new_phi) for k in xrange(self.K): self.gamma[p,k] = self.alpha[k] + np.sum(self.phi[p,:,k]) + np.sum(self.phi[:,p,k]) self.gamma[q,k] = self.alpha[k] + np.sum(self.phi[q,:,k]) + np.sum(self.phi[:,q,k]) return ll
def maximization(self):
sNo = self.p.sNo
for i in range(sNo):
self.p.avgPi[i] = (self.p.uPiArr[i] + self.p.gmMat[0][i]) / (self.p.sumUPi + 1.0)
self.p.avgLnPi[i] = spsp.psi(self.p.uPiArr[i] + self.p.gmMat[0][i])
self.p.avgLnPi[i] -= spsp.psi(self.p.sumUPi + 1.0)
for j in range(sNo):
self.p.avgA[i][j] = (self.p.uAMat[i][j] + self.p.Nij[i][j]) / (self.p.sumUAArr[i] + self.p.Nii[i])
self.p.avgLnA[i][j] = spsp.psi(self.p.uAMat[i][j] + self.p.Nij[i][j])
self.p.avgLnA[i][j] -= spsp.psi(self.p.sumUAArr[i] + self.p.Nii[i])
self.p.btMu[i] = self.p.uBtArr[i] + self.p.Ni[i]
self.p.mu0[i] = (self.p.uBtArr[i] * self.p.uMuArr[i] + self.p.Ni[i] * self.p.barX[i]) / self.p.btMu[i]
self.p.aLm[i] = self.p.uAArr[i] + self.p.Ni[i] / 2.0
self.p.bLm[i] = self.p.uBArr[i] + (self.p.NiSi[i] / 2.0)
self.p.bLm[i] += (
self.p.uBtArr[i]
* self.p.Ni[i]
* (self.p.barX[i] - self.p.uMuArr[i]) ** 2.0
/ 2.0
/ (self.p.uBtArr[i] + self.p.Ni[i])
)
self.p.avgMu[i] = self.p.mu0[i]
self.p.avgLm[i] = self.p.aLm[i] / self.p.bLm[i]
self.p.avgLnLm[i] = spsp.psi(self.p.aLm[i]) - math.log(self.p.bLm[i])
def update_V(self, corpus):
lb = 0
sumLnZ = np.sum(psi(corpus.A) - np.log(corpus.B), 0) # K dim
tmp = np.dot(corpus.R, corpus.w) # M x K
sum_r_w = np.sum(tmp, 0)
assert len(sum_r_w) == self.K
for i in xrange(self.c_a_max_step):
one_V = 1-self.V
stickLeft = self.getStickLeft(self.V) # prod(1-V_(dim-1))
p = self.V * stickLeft
psiV = psi(self.beta * p)
vVec = - self.beta*stickLeft*sum_r_w + self.beta*stickLeft*sumLnZ - corpus.M*self.beta*stickLeft*psiV;
for k in xrange(self.K):
tmp1 = self.beta*sum(sum_r_w[k+1:]*p[k+1:]/one_V[k]);
tmp2 = self.beta*sum(sumLnZ[k+1:]*p[k+1:]/one_V[k]);
tmp3 = corpus.M*self.beta*sum(psiV[k+1:]*p[k+1:]/one_V[k]);
vVec[k] = vVec[k] + tmp1 - tmp2;
vVec[k] = vVec[k] + tmp3;
vVec[k] = vVec[k]
vVec[:self.K-2] -= (self.alpha-1)/one_V[:self.K-2];
vVec[self.K-1] = 0;
step_stick = self.getstepSTICK(self.V,vVec,sum_r_w,sumLnZ,self.beta,self.alpha,corpus.M);
self.V = self.V + step_stick*vVec;
self.p = self.getP(self.V)
lb += self.K*gammaln(self.alpha+1) - self.K*gammaln(self.alpha) + np.sum((self.alpha-1)*np.log(1-self.V[:self.K-1]))
if self.is_verbose:
print 'p(V)-q(V) %f' % lb
return lb
def update_alpha(self, gammat, rho):
"""
Update parameters for the Dirichlet prior on the per-document
topic weights `alpha` given the last `gammat`.
Uses Newton's method, described in **Huang: Maximum Likelihood Estimation of Dirichlet Distribution Parameters.** (http://www.stanford.edu/~jhuang11/research/dirichlet/dirichlet.pdf)
"""
N = float(len(gammat))
logphat = sum(dirichlet_expectation(gamma) for gamma in gammat) / N
dalpha = numpy.copy(self.alpha)
gradf = N * (psi(numpy.sum(self.alpha)) - psi(self.alpha) + logphat)
c = N * polygamma(1, numpy.sum(self.alpha))
q = -N * polygamma(1, self.alpha)
b = numpy.sum(gradf / q) / ( 1 / c + numpy.sum(1 / q))
dalpha = -(gradf - b) / q
if all(rho() * dalpha + self.alpha > 0):
self.alpha += rho() * dalpha
else:
logger.warning("updated alpha not positive")
logger.info("optimized alpha %s" % list(self.alpha))
return self.alpha
def variation_update(self):
#update phi, gamma
e_log_theta = psi(self.gamma) - psi(np.sum(self.gamma, 1))[:,np.newaxis]
new_beta = np.zeros([self.K, self.V])
for di in xrange(self.D):
words = self.doc_ids[di]
cnt = self.doc_cnt[di]
doc_len = np.sum(cnt)
new_phi = np.log(self.beta[:,words]+eps) + e_log_theta[di,:][:,np.newaxis]
gradient = np.zeros(self.K)
for adi in self.doc_links[di]:
gradient += self.eta * self.pi[adi,:] / doc_len
new_phi += gradient[:,np.newaxis]
new_phi = np.exp(new_phi)
new_phi = new_phi/np.sum(new_phi,0)
self.phi[di] = new_phi
self.pi[di,:] = np.sum(cnt * self.phi[di],1)/np.sum(cnt * self.phi[di])
self.gamma[di,:] = np.sum(cnt * self.phi[di], 1) + self.alpha
new_beta[:, words] += (cnt * self.phi[di])
self.beta = new_beta / np.sum(new_beta, 1)[:,np.newaxis]
def _fit_s(D, a0, logp, tol=1e-7, maxiter=1000):
'''Assuming a fixed mean for Dirichlet distribution, maximize likelihood
for preicision a.k.a. s'''
N, K = D.shape
s1 = a0.sum()
m = a0 / s1
mlogp = (m*logp).sum()
for i in xrange(maxiter):
s0 = s1
g = psi(s1) - (m*psi(s1*m)).sum() + mlogp
h = _trigamma(s1) - ((m**2)*_trigamma(s1*m)).sum()
if g + s1 * h < 0:
s1 = 1/(1/s0 + g/h/(s0**2))
if s1 <= 0:
s1 = s0 * exp(-g/(s0*h + g)) # Newton on log s
if s1 <= 0:
s1 = 1/(1/s0 + g/((s0**2)*h + 2*s0*g)) # Newton on 1/s
if s1 <= 0:
s1 = s0 - g/h # Newton
if s1 <= 0:
raise Exception('Unable to update s from {}'.format(s0))
a = s1 * m
if abs(s1 - s0) < tol:
return a
raise Exception('Failed to converge after {} iterations, s is {}'
.format(maxiter, s1))
def rice_homomorf_est(image, SNR = 0, LPF = 4.8, mode = 2, config = build_default()):
window_size = config['ex_window_size']
(M2, Sigma_n) = em_ml_rice2D(image, config['ex_iterations'], [window_size, window_size])
Sigma_n2 = lpf(Sigma_n, config['lpf_f_SNR'])
M1 = filter2B(image, numpy.ones((5, 5)) / 25)
if (SNR.shape[0] == 1) and SNR == 0:
SNR = M2 / Sigma_n
Rn = abs(image - M1)
lRn = numpy.log(Rn * (Rn != 0) + 0.001 * (Rn == 0))
LPF2 = lpf(lRn, LPF)
Mapa2 = numpy.exp(LPF2)
MapaG = Mapa2 * 2 / numpy.sqrt(2) * numpy.exp(-special.psi(1)/2.)
LocalMean = 0
if mode == 1:
LocalMean = M1
elif mode == 2:
LocalMean = M2
Rn = numpy.abs(image - LocalMean)
lRn = numpy.log(Rn * (Rn != 0) + 0.001 * (Rn == 0))
LPF2 = lpf(lRn, LPF)
Fc1 = correct_rice_gauss(SNR)
LPF1 = LPF2 - Fc1
LPF1 = lpf(LPF1, config['lpf_f_Rice'], 2.0)
Mapa1 = exp(LPF1)
MapaR = Mapa1*2/numpy.sqrt(2)*numpy.exp(-special.psi(1)/2.)
return MapaR, MapaG
def chaowangjost(counts):
"""Entropy calculation using Chao, Wang, Jost correction.
doi: 10.1111/2041-210X.12108
Parameters
----------
counts : list
bin counts
Returns
-------
entropy : float
"""
n_samples = npsum(counts)
bcbc = bincount(counts.astype(int))
if len(bcbc) < 3:
return grassberger(counts)
if bcbc[2] == 0:
if bcbc[1] == 0:
A = 1.
else:
A = 2. / ((n_samples - 1.) * (bcbc[1] - 1.) + 2.)
else:
A = 2. * bcbc[2] / ((n_samples - 1.) * (bcbc[1] - 1.) +
2. * bcbc[2])
pr = arange(1, int(n_samples))
pr = 1. / pr * (1. - A) ** pr
entropy = npsum(counts / n_samples * (psi(n_samples) -
nan_to_num(psi(counts))))
if bcbc[1] > 0 and A != 1.:
entropy += nan_to_num(bcbc[1] / n_samples *
(1 - A) ** (1 - n_samples *
(-log(A) - npsum(pr))))
return entropy
def entropy(X, k=1):
''' Returns the entropy of the X.
Parameters
===========
X : array-like, shape (n_samples, n_features)
The data the entropy of which is computed
k : int, optional
number of nearest neighbors for density estimation
Notes
======
Kozachenko, L. F. & Leonenko, N. N. 1987 Sample estimate of entropy
of a random vector. Probl. Inf. Transm. 23, 95-101.
See also: Evans, D. 2008 A computationally efficient estimator for
mutual information, Proc. R. Soc. A 464 (2093), 1203-1215.
and:
Kraskov A, Stogbauer H, Grassberger P. (2004). Estimating mutual
information. Phys Rev E 69(6 Pt 2):066138.
'''
# Distance to kth nearest neighbor
r = nearest_distances(X, k) # squared distances
n, d = X.shape
volume_unit_ball = (pi**(.5*d)) / gamma(.5*d + 1)
'''
F. Perez-Cruz, (2008). Estimation of Information Theoretic Measures
for Continuous Random Variables. Advances in Neural Information
Processing Systems 21 (NIPS). Vancouver (Canada), December.
return d*mean(log(r))+log(volume_unit_ball)+log(n-1)-log(k)
'''
return (d*np.mean(np.log(r + np.finfo(X.dtype).eps))
+ np.log(volume_unit_ball) + psi(n) - psi(k))
def knn_mutinf(x, y, k=None, boxsize=None):
"""Entropy calculation
Parameters
----------
x : array_like, shape = (n_samples, n_dim)
Independent variable
y : array_like, shape = (n_samples, n_dim)
Independent variable
k : int
Number of bins.
boxsize : float (or None)
Wrap space between [0., boxsize)
Returns
-------
mi : float
"""
data = hstack((x, y))
k = k if k else max(3, int(data.shape[0] * 0.01))
# Find nearest neighbors in joint space, p=inf means max-norm
dvec = nearest_distances(data, k=k)
a, b, c, d = (
avgdigamma(atleast_2d(x).reshape(data.shape[0], -1), dvec),
avgdigamma(atleast_2d(y).reshape(data.shape[0], -1), dvec),
psi(k),
psi(data.shape[0]),
)
return -a - b + c + d
def _e_log_beta(c0,d0,c,d):
''' Calculates expectation of log pdf of beta distributed parameter'''
log_C = gammaln(c0 + d0) - gammaln(c0) - gammaln(d0)
psi_cd = psi(c+d)
log_mu = (c0 - 1) * ( psi(c) - psi_cd )
log_i_mu = (d0 - 1) * ( psi(d) - psi_cd )
return np.sum(log_C + log_mu + log_i_mu)
def _update_resps(self, X, alphaK, *args):
'''
Updates distribution of latent variable with Dirichlet prior
'''
e_log_weights = psi(alphaK) - psi(np.sum(alphaK))
return self._update_resps_parametric(X,e_log_weights,self.n_components,
*args)
def compute_mle(d): global alpha,beta,Gamma,Phi,doc,timer,doc_cnt; res = 0; res += sp.gammaln(K * alpha); res -= K * sp.gammaln(alpha); gamma_sum = sum_vector(Gamma[d]); length = len(doc[d]); psi = []; for i in range(K): psi.append(sp.psi(Gamma[d][i]) - sp.psi(gamma_sum)); for i in range(K): res += (alpha - 1) * psi[i]; res += sp.gammaln(Gamma[d][i]); res -= (Gamma[d][i] - 1) * psi[i]; now = time.time(); for n in range(length): for i in range(K): res += doc_cnt[d][n] * Phi[d][n][i] * psi[i]; # res -= doc_cnt[d][n] * Phi[d][n][i] * math.log(Phi[d][n][i]); res += doc_cnt[d][n] * Phi[d][n][i] * math.log(beta[i][doc[d][n]]/Phi[d][n][i]); timer += time.time() - now; res -= sp.gammaln(gamma_sum); return res;
def update_Z(self, corpus, iter):
lb = 0
bp = self.beta * self.p
corpus.A = bp + corpus.phi_doc
# taylor approximation on E[\sum lnZ]
xi = np.sum(corpus.A / corpus.B, 1)
E_inv_w = np.zeros([corpus.M, corpus.K])
ln_E_w = np.zeros([corpus.M, corpus.K])
for mi in xrange(corpus.M):
E_inv_w[mi, :] = np.prod((corpus.w_A / corpus.w_B)[corpus.R[mi, :] == 1, :], 0)
ln_E_w[mi, :] = np.sum((np.log(corpus.w_B) - psi(corpus.w_A)) * corpus.R[mi, :][:, np.newaxis], 0)
if iter < self.hdp_init_step:
corpus.B = 1.0 + (corpus.Nm / xi)[:, np.newaxis]
else:
corpus.B = E_inv_w + (corpus.Nm / xi)[:, np.newaxis]
# expectation of p(Z)
lb += np.sum(
-bp * ln_E_w + (bp - 1) * (psi(corpus.A) - np.log(corpus.B)) - E_inv_w * (corpus.A / corpus.B) - gammaln(bp)
)
# entropy of q(Z)
lb -= np.sum(
corpus.A * np.log(corpus.B)
+ (corpus.A - 1) * (psi(corpus.A) - np.log(corpus.B))
- corpus.A
- gammaln(corpus.A)
)
if self.is_verbose:
print "p(z)-q(z) %f" % lb
return lb
def knn_entropy(*args, k=None, boxsize=None):
"""Entropy calculation
Parameters
----------
args : numpy.ndarray, shape = (n_samples, ) or (n_samples, n_dims)
Data of which to calculate entropy. Each array must have the same
number of samples.
k : int
Number of bins.
boxsize : float (or None)
Wrap space between [0., boxsize)
Returns
-------
entropy : float
"""
data = vstack((args)).T
n_samples = data.shape[0]
k = k if k else max(3, int(data.shape[0] * 0.01))
n_dims = data.shape[1]
nneighbor = nearest_distances(data, k=k)
const = psi(n_samples) - psi(k) + n_dims * log(2)
return (const + n_dims * log(nneighbor).mean())
def update_beta(self, corpus):
ElogW = np.log(corpus.w_B) - psi(corpus.w_A)
lnZ = psi(corpus.A) - np.log(corpus.B)
first = np.zeros([corpus.M, self.K])
for mi in xrange(corpus.M):
first[mi, :] = -self.p * np.sum(ElogW[corpus.R[mi, :] == 1, :], 0)
# first_sum = np.sum(first)
# second = np.sum(lnZ * self.p)
# for i in xrange(1):
# last = - corpus.M * np.sum(self.p*psi(self.beta * self.p))
# gradient = first_sum + second + last
# gradient /= corpus.M * np.sum(self.p * self.p * psi(self.beta*self.p))
# step = self.getstepBeta(gradient, self.beta, first, lnZ, self.p, corpus)
# self.beta += step*gradient
# since beta does not change a lot, this way is more efficient
candidate = np.linspace(-1, 1, 31)
f = np.zeros(len(candidate))
for i in xrange(len(candidate)):
step = candidate[i]
new_beta = self.beta + self.beta * step
if new_beta < 0:
f[i] = -np.inf
else:
bp = new_beta * self.p
f[i] = np.sum(new_beta * first) + np.sum(bp * lnZ) - np.sum(corpus.M * gammaln(bp))
best_idx = f.argsort()[-1]
maxstep = candidate[best_idx]
self.beta += self.beta * maxstep
if self.is_verbose:
print "new beta = %.2f, %.2f" % (self.beta, candidate[best_idx])
def e_step_one_iter(alpha, beta, docs, phi, ips):
M, K = docs.size, alpha.size
for m in xrange(M):
N_m = docs[m].size
psi_sum_ips = psi(ips[m, :].sum())
for n in xrange(N_m):
for i in xrange(K):
E_q = psi(ips[m, i]) - psi_sum_ips
phi[m][n, i] = (beta[i, docs[m][n]] *
np.exp(E_q))
phi[m] /= phi[m].sum(axis=1)[:, None] # normalize phi
ips[m] = alpha + phi[m].sum(axis=0)
# gradient computation
grad_ips = np.zeros(ips.shape, dtype=np.float64)
for m in xrange(M):
for i in xrange(K):
grad_ips[m, i]\
= (polygamma(1, ips[m, i]) * (alpha[i] + phi[m][:, i].sum() - ips[m, i]) -
polygamma(1, ips[m, :].sum()) * (alpha.sum() + phi[m].sum() - ips[m, :].sum()))
return (phi, ips, grad_ips)
def dkl_wishart(a1,B1,a2,B2):
"""
returns the KL divergence bteween two Wishart distribution of
parameters (a1,B1) and (a2,B2),
where a1 and a2 are degrees of freedom
B1 and B2 are scale matrices
"""
from scipy.special import psi,gammaln
from numpy.linalg import det,pinv
tiny = 1.e-15
# fixme: check size
dim = B1.shape[0]
d1 = max(det(B1),tiny)
d2 = max(det(B2),tiny)
lgc = dim*(dim-1)*np.log(np.pi)/4
lg1 = lgc
lg2 = lgc
lw1 = -np.log(d1) + dim*np.log(2)
lw2 = -np.log(d2) + dim*np.log(2)
for i in range(dim):
lg1 += gammaln((a1-i)/2)
lg2 += gammaln((a2-i)/2)
lw1 += psi((a1-i)/2)
lw2 += psi((a2-i)/2)
lz1 = 0.5*a1*dim*np.log(2)-0.5*a1*np.log(d1)+lg1
lz2 = 0.5*a2*dim*np.log(2)-0.5*a2*np.log(d2)+lg2
dkl = (a1-dim-1)*lw1-(a2-dim-1)*lw2-a1*dim
dkl += a1*np.trace(np.dot(B2,pinv(B1)))
dkl /=2
dkl += (lz2-lz1)
return dkl
def get_vlb(self):
vlb = 0
# Get the VLB of the expected class assignments
E_ln_m = self.mf_expected_log_m()
for n in xrange(self.N):
# Add the cross entropy of p(c | m)
vlb += Discrete().negentropy(E_x=self.mf_m[n,:], E_ln_p=E_ln_m)
# Subtract the negative entropy of q(c)
vlb -= Discrete(self.mf_m[n,:]).negentropy()
# Get the VLB of the connection probability matrix
# Add the cross entropy of p(p | tau1, tau0)
vlb += Beta(self.tau1, self.tau0).\
negentropy(E_ln_p=(psi(self.mf_tau1) - psi(self.mf_tau0 + self.mf_tau1)),
E_ln_notp=(psi(self.mf_tau0) - psi(self.mf_tau0 + self.mf_tau1))).sum()
# Subtract the negative entropy of q(p)
vlb -= Beta(self.mf_tau1, self.mf_tau0).negentropy().sum()
# Get the VLB of the block probability vector, m
# Add the cross entropy of p(m | pi)
vlb += Dirichlet(self.pi).negentropy(E_ln_g=self.mf_expected_log_m())
# Subtract the negative entropy of q(m)
vlb -= Dirichlet(self.mf_pi).negentropy()
for c1 in xrange(self.C):
for c2 in xrange(self.C):
vlb += self.weight_models[c1][c2].get_vlb()
return vlb
def compute_moments_and_cgf(self, phi, mask=True):
r"""
Compute the moments and :math:`g(\phi)`.
.. math::
\overline{\mathbf{u}} (\boldsymbol{\phi})
&=
\begin{bmatrix}
\psi(\phi_1) - \psi(\sum_d \phi_{1,d})
\end{bmatrix}
\\
g_{\boldsymbol{\phi}} (\boldsymbol{\phi})
&=
TODO
"""
sum_gammaln = np.sum(special.gammaln(phi[0]), axis=-1)
gammaln_sum = special.gammaln(np.sum(phi[0], axis=-1))
psi_sum = special.psi(np.sum(phi[0], axis=-1, keepdims=True))
# Moments <log x>
u0 = special.psi(phi[0]) - psi_sum
u = [u0]
# G
g = gammaln_sum - sum_gammaln
return (u, g)
def estimate_abundances(self):
"""
Compute expectations and variances of the log relative abundances (log rho)
of each target. Use these to compute 95% confidence intervals of the relative
abundances themselves.
"""
log_theta = np.zeros(self.ntargs)
sd_log_theta = np.zeros(self.ntargs)
for t in xrange(self.ntargs):
log_theta[t] = psi(self.alpha[t]) - psi(self.alpha[t]+self.beta[t])
var_log_theta = polygamma(1,self.alpha[t]) - polygamma(1,
self.alpha[t]+self.beta[t])
for j in xrange(t):
log_theta[t] += psi(self.beta[j]) - psi(self.alpha[j]+self.beta[j])
var_log_theta += polygamma(1,self.beta[j]) - polygamma(1,
self.alpha[j]+self.beta[j])
sd_log_theta[t] = sqrt(var_log_theta)
self.log_theta = log_theta
self.sd_log_theta = sd_log_theta
theta_ci_low = np.zeros(self.ntargs)
theta_ci_hi = np.zeros(self.ntargs)
for t in xrange(self.ntargs):
self.targ_samp_prob[t] = exp(log_theta[t])
theta_ci_low[t] = exp(log_theta[t] - ci95sd * sd_log_theta[t])
theta_ci_hi[t] = exp(log_theta[t] + ci95sd * sd_log_theta[t])
# Compute relative abundances and confidence limits
w = self.targ_samp_prob / self.eff_len
self.rho = w / sum(w)
w_low = theta_ci_low / self.eff_len
self.rho_ci_low = w_low / sum(w_low)
w_hi = theta_ci_hi / self.eff_len
self.rho_ci_hi = w_hi / sum(w_hi)
def dirichlet_expectation(alpha):
"""
For a vector theta ~ Dir(alpha), computes E[log(theta)] given alpha.
"""
if (len(alpha.shape) == 1):
return(psi(alpha) - psi(n.sum(alpha)))
return(psi(alpha) - psi(n.sum(alpha, 1))[:, n.newaxis])
def update_alpha_fp(alpha, theta, sentence_subj, tol=1e-12):
# Fixed point method in [Minka00]
K = np.size(alpha, 0)
M, S = np.shape(theta)
for k in xrange(K):
theta_k = theta[sentence_subj == k, :]
log_p = 1.0 / M * np.sum(np.log(theta_k), 0)
print log_p
while True:
oldnorm = np.linalg.norm(alpha[k])
alpha[k] = inversepsi(psi(np.sum(alpha[k])) + log_p)
if abs(np.linalg.norm(alpha[k]) - oldnorm) < tol:
break
return alpha
def findAlphaBeta(self):
# ADJUST ALPHA AND BETA BY USING MINKA'S FIXED-POINT ITERATION
numerator = 0
denominator = 0
for d in range(self.DOCS):
numerator += psi(self.cntDT[d] + self.alpha) - psi(self.alpha)
denominator += psi(np.sum(self.cntDT[d] + self.alpha)) - psi(
np.sum(self.alpha))
self.alpha *= numerator / denominator # UPDATE ALPHA
numerator = 0
denominator = 0
for z in range(self.TOPICS):
numerator += np.sum(
psi(self.cntTW[z] + self.beta) - psi(self.beta))
denominator += psi(np.sum(self.cntTW[z] + self.beta)) - psi(
self.VOCABS * self.beta)
self.beta = (self.beta * numerator) / (self.VOCABS * denominator
) # UPDATE BETA
def _expec_s(self):
if not self.use_svi:
return super(GPClassifierSVI, self)._expec_s()
self.old_s = self.s
invK_mm_expecFF = self.invK_mm.dot(
self.uS + self.um_minus_mu0.dot(self.um_minus_mu0.T))
self.rate_s = self.rate_s0 + 0.5 * np.trace(invK_mm_expecFF)
# Update expectation of s. See approximations for Binary Gaussian Process Classification, Hannes Nickisch
self.s = self.shape_s / self.rate_s
self.Elns = psi(self.shape_s) - np.log(self.rate_s)
if self.verbose:
logging.debug("Updated inverse output scale: " + str(self.s))
self.Ks_mm = self.K_mm / self.s
self.invKs_mm = self.invK_mm * self.s
self.Ks_nm = self.K_nm / self.s
def _init_component(self, m, dim):
assert self.mode_dims[m] == dim
K = self.n_components
s = self.smoothness
if not self.debug:
gamma_DK = s * rn.gamma(s, 1. / s, size=(dim, K))
delta_DK = s * rn.gamma(s, 1. / s, size=(dim, K))
else:
gamma_DK = s * np.ones((dim, K))
delta_DK = s * np.ones((dim, K))
self.gamma_DK_M[m] = gamma_DK
self.delta_DK_M[m] = delta_DK
self.E_DK_M[m] = gamma_DK / delta_DK
self.sumE_MK[m, :] = self.E_DK_M[m].sum(axis=0)
self.G_DK_M[m] = np.exp(sp.psi(gamma_DK) - np.log(delta_DK))
if m == 0 or not self.debug:
self.beta_M[m] = 1. / self.E_DK_M[m].mean()
def update(self, X):
Y = np.zeros(self.K)
XY = np.zeros((self.K, self.N))
for x in X:
L = np.array([
psi(self.phi[k]) - self.tau[k]**(-1) -
((x - self.mu[k])**2).sum() / 2 for k in range(self.K)
])
y = np.exp(L) / np.exp(L).sum()
Y += y
XY += np.array([x * y[k] for k in range(self.K)])
self.phi = self.phi + Y
self.mu = np.array([
(self.tau[k] * self.mu[k] + XY[k]) / (self.tau[k] + Y[k])
for k in range(self.K)
])
self.tau = self.tau + Y
def compute_likelihood(self, u, gamma, digamma_gamma, gammaSum, phiO, phiD,
phiT, betaO, betaD, betaT, docs, idx_corpus_o,
idx_corpus_d, idx_corpus_t):
J = self.J
K = self.K
L = self.L
alpha = self.alpha
likelihood = 0
digsum = psi(gammaSum)
likelihood = loggamma(
alpha * J * K * L) - J * K * L * loggamma(alpha) - (
loggamma(gammaSum)) # 1.1， 1.2， 1.3
for j in range(J):
for k in range(K):
for l in range(L):
likelihood += (alpha - 1) * (
digamma_gamma[j, k, l] - digsum) + loggamma(
gamma[u, j, k, l]) - (gamma[u, j, k, l] - 1) * (
digamma_gamma[j, k, l] - digsum
) # 2.1， 2.2， 2.3
for w in range(len(idx_corpus_o[u])
): # int(docs.iloc[u]['wordcount'])
if phiO[w, j] > 0 and phiD[w, k] > 0 and phiT[w,
l] > 0:
likelihood += phiO[w,
j] * phiD[w, k] * phiT[w, l] * (
digamma_gamma[j, k, l] -
digsum) # 3.1
for j in range(self.J):
for wo in range(len(idx_corpus_o[u])):
if phiO[wo, j] > 0:
likelihood += -phiO[wo, j] * math.log(phiO[wo, j]) + phiO[
wo, j] * betaO[j, idx_corpus_o[u][wo]] # 3.2 O; 3.3 O
for k in range(self.K):
for wd in range(len(idx_corpus_d[u])):
if phiD[wd, k] > 0:
likelihood += -phiD[wd, k] * math.log(phiD[wd, k]) + phiD[
wd, k] * betaD[k, idx_corpus_d[u][wd]] # 3.2 D; 3.3 D
for l in range(self.L):
for wt in range(len(idx_corpus_t[u])):
if phiT[wt, l] > 0:
likelihood += -phiT[wt, l] * math.log(phiT[wt, l]) + phiT[
wt, l] * betaT[l, idx_corpus_t[u][wt]] # 3.2 T; 3.3 T
return likelihood
def wishpart(self, k):
part1 = sum(
[psi((self.Vr[k] + 1 - d) / 2) for d in range(1, self.D + 1)])
part1 += self.D * np.log(2) + np.log(np.linalg.det(self.VW[k]))
part1 *= (self.r - self.Vr[k]) / 2
part2 = np.linalg.inv(self.VW[k]) - np.linalg.inv(self.W)
part2 = np.dot(part2, self.Vr[k] * self.VW[k])
part2 = 0.5 * np.trace(part2)
part3 = -(self.r / 2) * np.log(np.linalg.det(self.W))
part4 = (self.Vr[k] / 2) * np.log(np.linalg.det(self.VW[k]))
part5 = (self.Vr[k] - self.r) * (self.D / 2) * np.log(2)
part6 = sum(
[loggamma((self.Vr[k] + 1 - d) / 2) for d in range(1, self.D + 1)])
part6 -= sum(
[loggamma((self.r + 1 - d) / 2) for d in range(1, self.D + 1)])
res = part1 + part2 + part3 + part4 + part5 + part6
return res
def _fixedpoint(D, tol=1e-7, maxiter=None):
'''Simple fixed point iteration method for MLE of Dirichlet distribution'''
N, K = D.shape
logp = log(D).mean(axis=0)
a0 = _init_a(D)
# Start updating
if maxiter is None:
maxiter = sys.maxint
for i in xrange(maxiter):
a1 = _ipsi(psi(a0.sum()) + logp)
# if norm(a1-a0) < tol:
if abs(loglikelihood(D, a1)-loglikelihood(D, a0)) < tol: # much faster
return a1
a0 = a1
raise Exception('Failed to converge after {} iterations, values are {}.'
.format(maxiter, a1))
def predictFactor(self):
"""Predict expected factor values from prior parameters"""
for conditioner in self.conditionerRanges:
nu=self.pseudoCounts[conditioner]
fsum=0.0
ccond=tuple()
if conditioner != (None,):
ccond=conditioner
for condrv in self.conditionedRanges:
self.factor[condrv+ccond]=np.exp(spf.psi(nu*self.naturalParams[(condrv,conditioner)])-spf.psi(nu))
fsum+=self.factor[condrv+ccond]
for condrv in self.conditionedRanges:
self.factor[condrv+ccond]/=fsum
def invpsi(x):
r"""
Inverse digamma (psi) function.
The digamma function is the derivative of the log gamma function.
This calculates the value Y > 0 for a value X such that digamma(Y) = X.
See: http://www4.ncsu.edu/~pfackler/
"""
L = 1.0
y = np.exp(x)
while (L > 1e-10):
y += L * np.sign(x - special.psi(y))
L /= 2
# Ad hoc by Jaakko
y[x < -10] = -1 / x[x < -10]
return y
def update_alpha_beta(self):
# Update Beta
x = 0
y = 0
for z in range(self.TOPICS):
x += np.sum(psi(self.cntTW[z] + self.beta) - psi(self.beta))
y += psi(np.sum(self.cntTW[z] + self.beta)) - psi(
self.VOCABS * self.beta)
self.beta = (self.beta * x) / (self.VOCABS * y) # UPDATE BETA
# Update Alpha
x = 0
y = 0
for d in range(self.DOCS):
y += psi(np.sum(self.cntDT[d] + self.alpha)) - psi(
np.sum(self.alpha))
x += psi(self.cntDT[d] + self.alpha) - psi(self.alpha)
self.alpha *= x / y # UPDATE ALPHA
def _expec_lnPi(self, posterior=True):
self.expec_responsibilities()
self.expec_weights()
# check if E_t has been initialised. Only update alpha if it has. Otherwise E[lnPi] is given by the prior
if np.any(self.E_t) and posterior:
self._post_Alpha()
sumAlpha = np.sum(self.alpha, 1)
psiSumAlpha = psi(sumAlpha)
for j in range(self.nclasses):
for s in range(self.nscores):
self.lnPi[:,
s, :] = (psi(self.alpha[:, s, :]) -
psiSumAlpha)[np.newaxis, :] #.dot(self.r)
# need to update the cluster pseudo-count distributions first to get new expected eta and beta
#translate \eta and \beta to \alpha.
worker_counts = self.alpha - self.alpha_tr #the counts for each worker
self.a = np.zeros((self.nclasses, self.nscores, self.nclusters))
self.b = np.zeros((self.nclasses, self.nscores, self.nclusters))
for j in range(self.nclasses):
# v_j^(k) ~ Beta( \beta_j^{q_k} ), where q_k is the cluster ID of worker k
logv_j = psi(self.beta[j, :, :].dot(self.r.T)) - psi(
self.beta[j, :, :].dot(self.r.T) +
np.sum(worker_counts[j, :, :], axis=0)[np.newaxis, :])
# s^(k)_{j, l} ~ Antoniak( n^(k)_{j, l}, \beta_j^{q_k} \eta_{j, l}^{q_k} )
#The exact computation of the expected number of tables is given in:
# A Note on the Implementation of Hierarchical Dirichlet Processes, Phil Blunsom et al.
#The antoniak distribution is explained in: Distributed Algorithms for Topic Models, David Newman et al.
s_j = np.zeros((self.nscores, self.nclusters))
for l in range(self.nscores):
counts = worker_counts[j, l, :][:, np.newaxis]
conc = (self.beta[j, 0, :] * self.eta[j, l, :])[np.newaxis, :]
# For the updates to eta and beta, we take an expectation of ln p(s^(k)_{j, l}) over cluster membership of k by
# computing s^(k) using a weighted sum with weights p(q_k = m)
# -- this follows from the equations in Moreno and Teh
s_jl = conc * (psi(conc + counts) - psi(conc)) # nclusters x K
s_j[l, :] = np.sum(s_jl * self.r, axis=0)
# \eta_j^(m) ~ Dir( sum_{ k where q_k=m } s^(k)_{j, .} + \phi_j \gamma_j )
# We need to determine expectation of \eta
self.phigamma[
j, :, :] = s_j + self.phi0[j, :, :] * self.gamma0[j, :, :]
self.eta[j, :, :] = self.phigamma[j, :, :] / np.sum(
self.phigamma[j, :, :], axis=0)[np.newaxis, :]
# \beta_j^(k) ~ Gamma( sum_{k where q_k=m} sum_{l} s_{j, l}^(k) + a_j, b_j - sum_{k where q_k=m} log(v_{j}^(k) ) )
# we need expectation of beta
self.a[j, :, :] = np.sum(s_j, axis=0) + self.a0[j]
self.b[j, :, :] = self.b0[j] - logv_j.dot(self.r)
self.beta = self.a / self.b
def partialLogL_alt(self, problem, allpars, fitIndex):
"""
Return the partial derivative of log( likelihood ) to the parameters.
Parameters
----------
problem : Problem
to be solved
allpars : array_like
parameters of the problem
fitIndex : array_like
indices of parameters to be fitted
"""
self.ncalls += 1
scale = allpars[-2]
power = allpars[-1]
res = problem.residuals(allpars[:-2])
ars = numpy.abs(res / scale)
rsp = numpy.power(ars, power)
if problem.weights is not None:
rsp = rsp * problem.weights
dLdm = power * rsp / res
dM = problem.partial(allpars[:-2])
dL = numpy.zeros(len(fitIndex), dtype=float)
i = 0
for k in fitIndex:
if k >= 0:
dL[i] = numpy.sum(dLdm * dM[:, k])
i += 1
elif k == -2:
dL[-2] = -problem.sumweight / scale + power * numpy.sum(
rsp) / scale
else:
# special.psi( x ) is the same as special.polygamma( 1, x )
dldp = problem.sumweight * (power + special.psi(1.0 / power))
dldp /= (power * power)
dldp -= (numpy.sum(rsp * numpy.log(ars)))
dL[-1] = dldp
return dL
def nextPartialData(self, problem, allpars, fitIndex, mockdata=None):
"""
Return the partial derivative of all elements of the log( likelihood )
to the parameters.
Parameters
----------
problem : Problem
to be solved
allpars : array_like
parameters of the problem
fitIndex : array_like
indices of parameters to be fitted
mockdata : array_like
as calculated by the model
"""
param = allpars[:-2]
res = problem.residuals(param, mockdata=mockdata)
scale = allpars[-2]
power = allpars[-1]
ars = numpy.abs(res / scale)
rsp = numpy.power(ars, power)
if problem.weights is not None:
rsp = rsp * problem.weights
wgt = problem.weights
else:
wgt = 1.0
dLdm = power * rsp / res
dM = problem.partial(param)
## TBD import mockdata into partial
# dM = problem.partial( param, mockdata=mockdata )
# special.psi( x ) is the same as special.polygamma( 1, x )
dlp = wgt * (power + special.psi(1.0 / power)) / (power * power)
for k in fitIndex:
if k >= 0:
yield (dLdm * dM[:, k])
elif k == -2:
yield (power * rsp - wgt) / scale
else:
yield dlp - rsp * numpy.log(ars)
def _update_em_full(X, L, F, a, fix):
fix_l, fix_f, fix_a = fix
e = sys.float_info.min
## update a
if not fix_a:
LFt = L @ F.T
start = time.time()
# res = minimize(_obj_a, 1, method='nelder-mead',args = (X,LFt, a),
# options={'xtol': 1e-5, 'disp': False, 'maxiter':10})
I, J = X.shape
C1 = np.sum(psi(X + a.reshape(1, -1)) - log(LFt + a.reshape(1, -1)),
axis=0)
C2 = np.sum((X + a.reshape(1, -1)) / (LFt + a.reshape(1, -1)), axis=0)
params = [I, J, C1, C2]
res = minimize(_obj_a,
a,
method='nelder-mead',
args=(params),
options={
'xtol': 1e-5,
'disp': False,
'maxiter': 50
})
# res = minimize(_obj_a, 1, method='Newton-CG', jac=_obj_a_der,args = (params),
# options={'xtol': 1e-5, 'disp': False, 'maxiter':10})
runtime = time.time() - start
a = res.x
## update L
if not fix_l:
#LFt = L @ F.T
M1 = (X / LFt) @ F
M2 = ((X + a.reshape(1, -1)) / (LFt + a.reshape(1, -1))) @ F
L = L * (M1 / M2)
L = np.clip(L, a_min=e, a_max=None)
## update F
if not fix_f:
LFt = L @ F.T
N1 = (X / LFt).T @ L
N2 = ((X + a.reshape(1, -1)) / (LFt + a.reshape(1, -1))).T @ L
F = F * (N1 / N2)
F = np.clip(F, a_min=e, a_max=None)
return L, F, a
def predict_features(self, features):
# get the expected log word likelihoods of each token
self.features = np.array(features)
# compute ERho
ElnRho = []
for j in range(self.L):
ElnL = np.sum(psi(
(self.nu[j] + 1 + np.arange(1, self.D + 1)) /
2)) + self.D * np.log(2.) + np.log(np.linalg.det(self.W[j]))
Ecov = self.D / self.beta[j] + self.nu[j] * (
self.features - self.m[j][None, :]) @ self.W[j] @ (
self.features - self.m[j][None, :]).T
ElnRho.append(ElnL - self.D / 2.0 * np.log(2 * np.pi) - 0.5 * Ecov)
lnptext_given_t = np.array(ElnRho).T
lnptext_given_t -= logsumexp(lnptext_given_t, axis=1)[:, None]
self.ElnRho = lnptext_given_t
return lnptext_given_t # N x nclasses where N is number of tokens/data points
def uniform_divergence(x, tx, m=2):
x = normalize(x, tx)
cx = Counter(x)
xk = np.array(cx.keys(), dtype=float)
xk.sort()
delta = np.zeros(len(xk))
if len(xk) > 1:
delta[0] = xk[1] - xk[0]
delta[1:-1] = (xk[m:] - xk[:-m]) / m
delta[-1] = xk[-1] - xk[-2]
else:
delta = np.array(np.sqrt(12))
counter = np.array([cx[i] for i in xk], dtype=float)
delta = delta / np.sum(delta)
hx = np.sum(counter * np.log(counter / delta)) / len(x)
hx -= np.log(len(x))
hx += (psi(m) - np.log(m))
return hx
def estimation(self, y):
""" Estimate Shannon entropy.
Parameters
----------
y : (number of samples, dimension)-ndarray
One row of y corresponds to one sample.
Returns
-------
h : float
Estimated Shannon entropy.
References
----------
M. N. Goria, Nikolai N. Leonenko, V. V. Mergel, and P. L. Novi
Inverardi. A new class of random vector entropy estimators and its
applications in testing statistical hypotheses. Journal of
Nonparametric Statistics, 17: 277-297, 2005. (S={k})
Harshinder Singh, Neeraj Misra, Vladimir Hnizdo, Adam Fedorowicz
and Eugene Demchuk. Nearest neighbor estimates of entropy.
American Journal of Mathematical and Management Sciences, 23,
301-321, 2003. (S={k})
L. F. Kozachenko and Nikolai N. Leonenko. A statistical estimate
for the entropy of a random vector. Problems of Information
Transmission, 23:9-16, 1987. (S={1})
Examples
--------
h = co.estimation(y)
"""
num_of_samples, dim = y.shape
distances_yy = knn_distances(y, y, True, self.knn_method, self.k,
self.eps, 2)[0]
v = volume_of_the_unit_ball(dim)
distances_yy[:, self.k - 1][distances_yy[:, self.k - 1] == 0] = 1e-6
h = log(num_of_samples - 1) - psi(self.k) + log(v) + \
dim * sum(log(distances_yy[:, self.k-1])) / num_of_samples
return h
def partialLogL(self, model, parlist, fitIndex):
"""
Return the partial derivative of log( likelihood ) to the parameters.
Parameters
----------
model : Model
model to calculate mock data
parlist : array_like
parameters of the problem
fitIndex : array_like
indices of the parameters to be fitted
"""
self.ncalls += 1
np = model.npchain
scale = parlist[np]
power = parlist[np + 1]
res = self.getResiduals(model, parlist[:np])
ars = numpy.abs(res / scale)
rsp = numpy.power(ars, power)
if self.weights is not None:
rsp = rsp * self.weights
dLdm = power * rsp / res
dM = model.partial(self.xdata, parlist[:np])
dL = numpy.zeros(len(fitIndex), dtype=float)
i = 0
for k in fitIndex:
if k < np:
dL[i] = numpy.sum(dLdm * dM[:, k])
elif k == np:
dL[i] = -self.sumweight / scale + power * numpy.sum(
rsp) / scale
else:
# special.psi( x ) is the same as special.polygamma( 1, x )
dL[i] = self.sumweight * (power + special.psi(1.0 / power))
dL[i] /= (power * power)
dL[i] -= (numpy.sum(rsp * numpy.log(ars)))
i += 1
return dL
def klgamma(self, pa, pb, qa, qb):
## The KL distance for the gamma distribution. It is not used, but ported from the MATLAB code.
n = max([pb.shape[1], pa.shape[1]])
if pa.shape[1] == 1:
pa = pa * np.ones((1, n))
if pb.shape[1] == 1:
pb = pb * np.ones((1, n))
qa = qa * np.ones((1, n))
qb = qb * np.ones((1, n))
kl = sum(pa * np.log(pb) - gammaln(pa) - qa * np.log(qb) +
gammaln(qa) + (pa - qa) * (psi(pa) - np.log(pb)) -
(pb - qb) * pa / pb)
return kl
def update_resp(self, Xf):
"""Updates the responsibilities matrix, based on the current
goodness-of-fit of the classifiers, and the current gating weight
vectors. Xf is the gateing feature matrix.
"""
R, cls = self.R, self.cls
Dy = float(cls[0].W.shape[0])
# fill R with goodness-of-fit data from classifiers
for k in xrange(R.shape[1]):
cl = cls[k]
tau_ak, tau_bk = cl.tau_ak, cl.tau_bk
# k'th column is exp( Dy/2 E[ln Tk] - 1/2 (E[Tk] res + Dy var) )
R[:, k] = exp(0.5 * (Dy * (psi(tau_ak) - log(tau_bk)) -
(tau_ak / tau_bk) * cl.res + Dy * cl.var))
# multiply with current gating
R *= self.gating_matrix(Xf)
# normalise row vectors
R /= sum(R, 1).reshape(R.shape[0], 1)
def _estimate_alpha_beta(self):
# ADJUST ALPHA AND BETA BY USING MINKA'S FIXED-POINT ITERATION
numerator = 0
denominator = 0
previous_min = np.min(self.alpha)
for r in range(self.nb_records):
numerator += psi(self.cnt_rk[r] + self.alpha) - psi(self.alpha)
denominator += psi(np.sum(self.cnt_rk[r] + self.alpha)) - psi(
np.sum(self.alpha))
self.alpha = self.alpha * (numerator / denominator) # UPDATE ALPHA
if 0 in self.alpha: #THIS CASE IS VERY RARE AND HAPPENS WHERE A HIDDEN CLASS K HAS RECEIVED 0 ASSIGNMENTS
print(
"|----WARNING: alpha = 0 encountered"
) #FORCE THE 0 ALPHAS TO THE MINIMUM BETWEEN (THE SMALLEST NON NULL APLHA, 1/NB_RECORDS,
self.alpha[self.alpha == 0] = min(
previous_min, np.min(self.alpha[self.alpha > 0]),
1.0 / self.nb_records) #AND THE SMALLEST APLHA BEFORE UPDATE
for f in range(self.nb_features):
numerator = 0
denominator = 0
previous_min = np.min(self.beta[f])
for k in range(self.nb_hclass):
numerator += psi(self.cnt_kv[f][k] + self.beta[f]) - psi(
self.beta[f])
denominator += psi(
np.sum(self.cnt_kv[f][k] + self.beta[f])) - psi(
np.sum(self.beta[f]))
self.beta[f] = self.beta[f] * (numerator / denominator
) # UPDATE BETA
if 0 in self.beta[
f]: #THIS CASE IS VERY RARE AND HAPPENS WHERE A VALUE DO NOT HAVE ANY OCCURENCE IN THE CORPUS
print(
"|----WARNING: beta = 0 encountered"
) #FORCE THE 0 BETAS TO THE MINIMUM BETWEEN (THE SMALLEST NON NULL APLHA, 1/NB_VALUES,
self.beta[f][self.beta[f] == 0] = min(
previous_min, np.min(self.beta[f][self.beta[f] > 0]), 1.0 /
self.vocab_size[f]) #AND THE SMALLEST APLHA BEFORE UPDATE