def test_emulator_setup_loglik(self):
# set up regular model
d = SepiaData(x_sim=self.x_sim,
y_sim=self.y_sim,
y_ind_sim=np.array([0, 1]))
d.create_K_basis(K=np.eye(2))
d.transform_xt(x_notrans=True)
d.standardize_y(scale='columnwise')
print(d)
mod = SepiaModel(d)
print('Emulator model LL=%f \n' % compute_log_lik(mod))
# set up kron model
kd = SepiaData(xt_sim_sep=self.x_sim_kron,
y_sim=self.y_sim,
y_ind_sim=self.y_ind_sim)
kd.create_K_basis(K=np.eye(2))
kd.transform_xt(x_notrans=True)
kd.standardize_y(scale='columnwise')
print(kd)
kmod = SepiaModel(kd)
print('Emulator Sep model LL=%f \n' % compute_log_lik(kmod))
self.assertAlmostEqual(compute_log_lik(mod),
compute_log_lik(kmod),
places=5)
pass
def test_sim_only_x_and_t(self):
m = 20
x = np.random.uniform(-1, 3, (m, 3))
t = np.random.uniform(-1, 3, (m, 2))
y = np.random.normal(size=(m, 1))
data = SepiaData(x_sim=x, t_sim=t, y_sim=y)
call_data_methods(data)
model = SepiaModel(data)
call_model_methods(model)
call_plot_functions(model)
samples = model.get_samples()
pred = SepiaEmulatorPrediction(x_pred=x,
t_pred=t,
samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
pred.get_w()
pred.get_y()
pred.get_y(std=True)
pred.get_mu_sigma()
xpred = SepiaXvalEmulatorPrediction(samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
xpred.get_w()
xpred.get_y()
xpred.get_y(std=True)
xpred.get_mu_sigma()
def test_multivariate_sim_only_setup(self):
"""
Tests setup for multivariate sim only model
"""
d = SepiaData(t_sim=self.data_dict['t_sim'], y_sim=self.data_dict['y_sim'], y_ind_sim=self.data_dict['y_ind_sim'])
print('Testing multivariate sim-only SepiaModelSetup...', flush=True)
print(d, flush=True)
# Try it without doing standardization/transform to be sure it doesn't break
model_notrans = SepiaModel(copy.deepcopy(d))
# Do explicit transformation
d.transform_xt()
d.standardize_y()
model = SepiaModel(d)
# Check that either way gives same transformation
self.assertTrue(np.allclose(model_notrans.data.sim_data.orig_y_mean, model.data.sim_data.orig_y_mean))
self.assertTrue(np.allclose(model_notrans.data.sim_data.orig_y_sd, model.data.sim_data.orig_y_sd))
self.assertTrue(np.allclose(model_notrans.data.sim_data.y_std, model.data.sim_data.y_std))
self.assertTrue(np.allclose(model_notrans.data.sim_data.t_trans, model.data.sim_data.t_trans))
# Check model components are set up as expected
self.assertTrue(not model.num.scalar_out)
self.assertTrue(model.num.sim_only)
self.assertTrue(model.num.m == 100)
self.assertTrue(model.num.n == 0)
self.assertTrue(model.num.p == 1)
self.assertTrue(model.num.q == 3)
self.assertTrue(model.num.pu == 5)
self.assertTrue(model.num.pv == 0)
#self.assertTrue(np.allclose(model.num.w, model.data.sim_data.y_std)) # TODO compute projection
# Check parameter setup -- betaU
betaU = model.params.betaU
self.assertTrue(betaU.val_shape == (model.num.q + model.num.p, model.num.pu))
self.assertTrue(betaU.prior.dist == 'Beta')
self.assertTrue(betaU.mcmc.stepType == 'BetaRho')
# Check parameter setup -- lamUz
lamUz = model.params.lamUz
self.assertTrue(lamUz.val_shape == (1, model.num.pu))
self.assertTrue(lamUz.prior.dist == 'Gamma')
self.assertTrue(lamUz.mcmc.stepType == 'PropMH')
# Check parameter setup -- lamWOs
lamWOs = model.params.lamWOs
self.assertTrue(lamWOs.val_shape == (1, 1))
self.assertTrue(lamWOs.prior.dist == 'Gamma')
self.assertTrue(lamWOs.mcmc.stepType == 'PropMH')
# Check parameter setup -- lamWs
lamWs = model.params.lamWs
self.assertTrue(lamWs.val_shape == (1, model.num.pu))
self.assertTrue(lamWs.prior.dist == 'Gamma')
self.assertTrue(lamWs.mcmc.stepType == 'PropMH')
mcmc_list_names = [p.name for p in model.params.mcmcList]
self.assertTrue(set(mcmc_list_names) == set(['betaU', 'lamUz', 'lamWOs', 'lamWs']))
def test_sim_only_x_only(self):
m = 20
x = np.random.uniform(-1, 3, (m, 3))
y = np.random.normal(size=(m, 50))
y_ind = np.linspace(0, 1, 50)
data = SepiaData(x_sim=x, y_sim=y, y_ind_sim=y_ind)
call_data_methods(data, discrep=False)
model = SepiaModel(data)
call_model_methods(model)
call_plot_functions(model)
samples = model.get_samples()
pred = SepiaEmulatorPrediction(x_pred=x,
samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
pred.get_w()
pred.get_y()
pred.get_y(std=True)
pred.get_mu_sigma()
xpred = SepiaXvalEmulatorPrediction(samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
xpred.get_w()
xpred.get_y()
pred.get_y(std=True)
xpred.get_mu_sigma()
def setUp(self, m=100, n=1, nt_sim=50, nt_obs=20, n_theta=3, n_basis=5, sig_n=0.1, seed=42):
n_hier = 3
self.hier_idx = np.array([[0, 0, 0]])
#self.hier_idx = np.array([[1, 1, 1], [2, -1, 2]]) # TODO this fails for multivariate; cant use for univariate now
multi_data_list = []
univ_data_list = []
for si in range(n_hier):
multi_data_dict = generate_data.generate_multi_sim_and_obs(m=m, n=n, nt_sim=nt_sim, nt_obs=nt_obs,
n_theta=n_theta, n_basis=n_basis,
sig_n=sig_n, seed=seed)
univ_data_dict = generate_data.generate_univ_sim_and_obs(m=m, n=n, sig_n=sig_n, seed=seed)
d = SepiaData(t_sim=univ_data_dict['t_sim'], y_sim=univ_data_dict['y_sim'], y_obs=univ_data_dict['y_obs'])
d.transform_xt()
d.standardize_y()
univ_data_list.append(d)
d = SepiaData(t_sim=multi_data_dict['t_sim'], y_sim=multi_data_dict['y_sim'],
y_ind_sim=multi_data_dict['y_ind_sim'], y_obs=multi_data_dict['y_obs'],
y_ind_obs=multi_data_dict['y_ind_obs'])
d.transform_xt()
d.standardize_y()
d.create_K_basis(5)
d.create_D_basis('constant')
multi_data_list.append(d)
self.univ_model_list = [SepiaModel(d) for d in univ_data_list]
self.multi_model_list = [SepiaModel(d) for d in multi_data_list]
def test_sim_and_obs_noD_t_only_cat(self):
m = 20
n = 10
t = np.concatenate([
np.random.uniform(-1, 3,
(m, 3)), 1 + np.random.choice(3, size=(m, 1))
],
axis=1)
y = np.random.normal(size=(m, 50))
y_ind = np.linspace(0, 1, 50)
y2 = np.random.normal(size=(n, 20))
y_ind2 = np.linspace(0, 1, 20)
cat_inds = [0, 0, 0, 3]
data = SepiaData(t_sim=t,
y_sim=y,
y_ind_sim=y_ind,
y_obs=y2,
y_ind_obs=y_ind2,
t_cat_ind=cat_inds)
call_data_methods(data, discrep=False)
model = SepiaModel(data)
call_model_methods(model)
call_plot_functions(model)
samples = model.get_samples()
pred = SepiaEmulatorPrediction(t_pred=t,
samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
pred.get_w()
pred.get_y()
pred.get_y(std=True)
pred.get_mu_sigma()
xpred = SepiaXvalEmulatorPrediction(samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
xpred.get_w()
xpred.get_y()
pred.get_y(std=True)
xpred.get_mu_sigma()
pred = SepiaFullPrediction(t_pred=t,
samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
pred.get_u_v()
pred.get_mu_sigma()
pred.get_ysim()
pred.get_ysim(as_obs=True)
pred.get_ysim(as_obs=True, std=True)
pred.get_yobs()
pred.get_yobs(as_obs=True)
pred.get_yobs(as_obs=True, std=True)
def test_sim_and_obs_noD_x_and_t(self):
m = 20
n = 10
x = np.random.uniform(-1, 3, (m, 3))
x2 = np.random.uniform(-1, 3, (n, 3))
t = np.random.uniform(-1, 3, (m, 2))
y = np.random.normal(size=(m, 50))
y_ind = np.linspace(0, 1, 50)
y2 = np.random.normal(size=(n, 20))
y_ind2 = np.linspace(0, 1, 20)
data = SepiaData(x_sim=x,
t_sim=t,
y_sim=y,
y_ind_sim=y_ind,
x_obs=x2,
y_obs=y2,
y_ind_obs=y_ind2)
call_data_methods(data, discrep=False)
model = SepiaModel(data)
call_model_methods(model)
call_plot_functions(model)
samples = model.get_samples()
pred = SepiaEmulatorPrediction(x_pred=x,
t_pred=t,
samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
pred.get_w()
pred.get_y()
pred.get_y(std=True)
pred.get_mu_sigma()
xpred = SepiaXvalEmulatorPrediction(samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
xpred.get_w()
xpred.get_y()
xpred.get_y(std=True)
xpred.get_mu_sigma()
pred = SepiaFullPrediction(x_pred=x,
t_pred=t,
samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
pred.get_u_v()
pred.get_mu_sigma()
pred.get_ysim()
pred.get_ysim(as_obs=True)
pred.get_ysim(as_obs=True, std=True)
pred.get_yobs()
pred.get_yobs(as_obs=True)
pred.get_yobs(as_obs=True, std=True)
def setUp(self,
m=20,
n=1,
nt_sim=30,
nt_obs=20,
n_theta=3,
n_basis=5,
sig_n=0.1,
seed=42):
multi_data_dict = generate_data.generate_multi_sim_and_obs(
m=m,
n=n,
nt_sim=nt_sim,
nt_obs=nt_obs,
n_theta=n_theta,
n_basis=n_basis,
sig_n=sig_n,
seed=seed)
univ_data_dict = generate_data.generate_univ_sim_and_obs(m=m,
n=n,
sig_n=sig_n,
seed=seed)
d = SepiaData(t_sim=univ_data_dict['t_sim'],
y_sim=univ_data_dict['y_sim'])
d.transform_xt()
d.standardize_y()
self.univ_sim_only_model = SepiaModel(d)
d = SepiaData(t_sim=univ_data_dict['t_sim'],
y_sim=univ_data_dict['y_sim'],
y_obs=univ_data_dict['y_obs'])
d.transform_xt()
d.standardize_y()
self.univ_sim_and_obs_model = SepiaModel(d)
d = SepiaData(t_sim=multi_data_dict['t_sim'],
y_sim=multi_data_dict['y_sim'],
y_ind_sim=multi_data_dict['y_ind_sim'])
d.transform_xt()
d.standardize_y()
d.create_K_basis(5)
self.multi_sim_only_model = SepiaModel(d)
t = np.concatenate([
multi_data_dict['t_sim'],
np.random.choice(range(1, 5), (m, 1), replace=True)
],
axis=1)
d = SepiaData(t_sim=t,
y_sim=multi_data_dict['y_sim'],
y_ind_sim=multi_data_dict['y_ind_sim'],
t_cat_ind=[0, 0, 0, 4])
d.transform_xt()
d.standardize_y()
d.create_K_basis(5)
self.multi_sim_only_catind_model = SepiaModel(d)
def test_sim_only_x_and_t_cat(self):
m = 20
x = np.concatenate([
np.random.uniform(-1, 3,
(m, 3)), 1 + np.random.choice(3, size=(m, 1))
],
axis=1)
t = np.concatenate([
np.random.uniform(-1, 3,
(m, 2)), 1 + np.random.choice(4, size=(m, 1))
],
axis=1)
x_cat_ind = [0, 0, 0, 3]
t_cat_ind = [0, 0, 4]
y = np.random.normal(size=(m, 50))
y_ind = np.linspace(0, 1, 50)
data = SepiaData(x_sim=x,
t_sim=t,
x_cat_ind=x_cat_ind,
t_cat_ind=t_cat_ind,
y_sim=y,
y_ind_sim=y_ind)
call_data_methods(data, discrep=False)
model = SepiaModel(data)
call_model_methods(model)
call_plot_functions(model)
samples = model.get_samples()
pred = SepiaEmulatorPrediction(x_pred=x,
t_pred=t,
samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
pred.get_w()
pred.get_y()
pred.get_y(std=True)
pred.get_mu_sigma()
xpred = SepiaXvalEmulatorPrediction(samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
xpred.get_w()
xpred.get_y()
xpred.get_y(std=True)
xpred.get_mu_sigma()
def setup_univ_sim_only(m=300,
seed=42.,
n_lik=0,
n_mcmc=0,
n_pred=0,
n_lev=0,
n_burn=0,
sens=0):
try:
eng = matlab.engine.start_matlab()
eng.cd(root_path)
eng.addpath('matlab/', nargout=0)
res = eng.setup_univ_sim_only(m,
seed,
n_lik,
n_mcmc,
n_pred,
n_lev,
n_burn,
sens,
nargout=1)
eng.quit()
except Exception as e:
print(e)
print(
'Matlab error; make sure matlab.engine installed, check Matlab code for errors.'
)
y = np.array(res['y'], dtype=float)
xt = np.array(res['xt'], dtype=float)
data = SepiaData(x_sim=xt[:, 0][:, None], t_sim=xt[:, 1][:, None], y_sim=y)
print(data)
data.standardize_y()
data.transform_xt()
model = SepiaModel(data)
return model, res
def setup_multi_sim_and_obs_sharedtheta(m=100,
n=10,
nt_sim=20,
nt_obs=15,
noise_sd=0.1,
nx=5,
n_pc=10,
seed=42.,
n_lik=0,
n_mcmc=0,
n_pred=0,
n_shared=2,
clist=[],
fix_K=False):
try:
eng = matlab.engine.start_matlab()
eng.cd(root_path)
eng.addpath('matlab/', nargout=0)
res = eng.setup_multi_sim_and_obs_sharedtheta(m,
n,
nt_sim,
nt_obs,
noise_sd,
nx,
n_pc,
seed,
n_lik,
n_mcmc,
n_pred,
n_shared,
matlab.double(clist),
nargout=1)
eng.quit()
except Exception as e:
print(e)
print(
'Matlab error; make sure matlab.engine installed, check Matlab code for errors.'
)
y = np.array(res['y'], dtype=float) # (m, nt_sim, n_shared)
y_ind = np.array(res['y_ind'], dtype=float).squeeze() # (nt_sim, n_shared)
xt = np.array(res['xt'], dtype=float) # (m, nx, n_shared)
y_obs = np.array(res['y_obs'], dtype=float) # (n, nt_sim, n_shared)
y_ind_obs = np.array(res['y_ind_obs'],
dtype=float).squeeze() # (nt_obs, n_shared)
x_obs = np.array(res['x_obs'], dtype=float) # (n, 1, n_shared)
model_list = []
for i in range(n_shared):
data = SepiaData(x_sim=xt[:, 0, i][:, None],
t_sim=xt[:, 1:, i],
y_sim=y[:, :, i],
y_ind_sim=y_ind[:, i],
x_obs=x_obs[:, :, i],
y_obs=y_obs[:, :, i],
y_ind_obs=y_ind_obs[:, i])
data.standardize_y()
data.transform_xt()
data.create_K_basis(n_pc)
model = SepiaModel(data)
model_list.append(model)
return model_list, res
def setup_univ_sim_and_obs(m=100, n=50, seed=42., n_lik=0, n_mcmc=0, n_pred=0):
try:
eng = matlab.engine.start_matlab()
eng.cd(root_path)
eng.addpath('matlab/', nargout=0)
res = eng.setup_univ_sim_and_obs(m,
n,
seed,
n_lik,
n_mcmc,
n_pred,
nargout=1)
eng.quit()
except Exception as e:
print(e)
print(
'Matlab error; make sure matlab.engine installed, check Matlab code for errors.'
)
y = np.array(res['y'], dtype=float)
xt = np.array(res['xt'], dtype=float)
y_obs = np.array(res['y_obs'], dtype=float)
x_obs = np.array(res['x_obs'], dtype=float).reshape((n, 1))
data = SepiaData(x_sim=xt[:, 0][:, None],
t_sim=xt[:, 1][:, None],
y_sim=y,
x_obs=x_obs,
y_obs=y_obs)
data.standardize_y()
data.transform_xt()
print(data)
model = SepiaModel(data)
return model, res
def test_sim_and_obs_t_only(self):
m = 20
n = 10
t = np.random.uniform(-1, 3, (m, 3))
y = np.random.normal(size=(m, 1))
y2 = np.random.normal(size=(n, 1))
data = SepiaData(t_sim=t, y_sim=y, y_obs=y2)
call_data_methods(data)
model = SepiaModel(data)
call_model_methods(model)
call_plot_functions(model)
samples = model.get_samples()
pred = SepiaEmulatorPrediction(t_pred=t,
samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
pred.get_w()
pred.get_y()
pred.get_y(std=True)
pred.get_mu_sigma()
xpred = SepiaXvalEmulatorPrediction(samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
xpred.get_w()
xpred.get_y()
xpred.get_y(std=True)
xpred.get_mu_sigma()
pred = SepiaFullPrediction(t_pred=t,
samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
pred.get_u_v()
pred.get_mu_sigma()
pred.get_ysim()
pred.get_ysim(as_obs=True)
pred.get_ysim(as_obs=True, std=True)
pred.get_yobs()
pred.get_yobs(as_obs=True)
pred.get_yobs(as_obs=True, std=True)
def setup_multi_sim_and_obs(m=100,
n=10,
nt_sim=20,
nt_obs=15,
noise_sd=0.1,
nx=5,
n_pc=10,
seed=42.,
n_lik=0,
n_mcmc=0,
n_pred=0,
fix_K=False):
try:
eng = matlab.engine.start_matlab()
eng.cd(root_path)
eng.addpath('matlab/', nargout=0)
res = eng.setup_multi_sim_and_obs(m,
n,
nt_sim,
nt_obs,
noise_sd,
nx,
n_pc,
seed,
n_lik,
n_mcmc,
n_pred,
nargout=1)
eng.quit()
except Exception as e:
print(e)
print(
'Matlab error; make sure matlab.engine installed, check Matlab code for errors.'
)
y = np.array(res['y'], dtype=float)
y_ind = np.array(res['y_ind'], dtype=float).squeeze()
xt = np.array(res['xt'], dtype=float)
y_obs = np.array(res['y_obs'], dtype=float)
y_ind_obs = np.array(res['y_ind_obs'], dtype=float).squeeze()
x_obs = np.array(res['x_obs'], dtype=float)
data = SepiaData(x_sim=xt[:, 0][:, None],
t_sim=xt[:, 1:],
y_sim=y,
y_ind_sim=y_ind,
x_obs=x_obs,
y_obs=y_obs,
y_ind_obs=y_ind_obs)
data.standardize_y()
data.transform_xt()
if fix_K: # means use the K from matlab - avoid issues with positive/negative component ambiguity
data.create_K_basis(n_pc, K=np.array(res['K']).T)
else:
data.create_K_basis(n_pc)
data.create_D_basis('constant')
print(data)
model = SepiaModel(data)
return model, res
def setUp(self, m=100, n=1, nt_sim=50, nt_obs=20, n_theta=3, n_basis=5, sig_n=0.1, seed=42):
multi_data_dict = generate_data.generate_multi_sim_and_obs(m=m, n=n, nt_sim=nt_sim, nt_obs=nt_obs,
n_theta=n_theta, n_basis=n_basis,
sig_n=sig_n, seed=seed)
univ_data_dict = generate_data.generate_univ_sim_and_obs(m=m, n=n, sig_n=sig_n, seed=seed)
d = SepiaData(x_sim=univ_data_dict['t_sim'], y_sim=univ_data_dict['y_sim'])
d.transform_xt()
d.standardize_y()
self.univ_sim_only_model = SepiaModel(d)
d = SepiaData(t_sim=univ_data_dict['t_sim'], y_sim=univ_data_dict['y_sim'], y_obs=univ_data_dict['y_obs'])
d.transform_xt()
d.standardize_y()
self.univ_sim_and_obs_model = SepiaModel(d)
d = SepiaData(x_sim=multi_data_dict['t_sim'], y_sim=multi_data_dict['y_sim'],
y_ind_sim=multi_data_dict['y_ind_sim'])
d.transform_xt()
d.standardize_y()
d.create_K_basis(5)
self.multi_sim_only_model = SepiaModel(d)
d = SepiaData(t_sim=multi_data_dict['t_sim'], y_sim=multi_data_dict['y_sim'],
y_ind_sim=multi_data_dict['y_ind_sim'], y_obs=multi_data_dict['y_obs'],
y_ind_obs=multi_data_dict['y_ind_obs'])
d.transform_xt()
d.standardize_y()
d.create_K_basis(5)
self.multi_sim_and_obs_noD_model = SepiaModel(d)
d = SepiaData(t_sim=multi_data_dict['t_sim'], y_sim=multi_data_dict['y_sim'],
y_ind_sim=multi_data_dict['y_ind_sim'], y_obs=multi_data_dict['y_obs'],
y_ind_obs=multi_data_dict['y_ind_obs'])
d.transform_xt()
d.standardize_y()
d.create_K_basis(5)
d.create_D_basis('linear')
self.multi_sim_and_obs_model = SepiaModel(d)
def test_multivariate_sim_and_obs_ragged_setup(self):
m = 700 # number of simulated observations
p = 3 # dimension of x (simulation inputs)
ell_sim = 1000 # dimension of y output sim
pu = 3 # number of PCs
q = 2 # dimension of t (extra sim inputs)
n = 5 # number of observed observations
ell_obs = np.random.randint(100, 600, n)
y_ind_sim = np.linspace(0, 100, ell_sim)
K_true_sim = np.vstack([
0.5 * (np.sin(y_ind_sim) + 1),
np.square(-y_ind_sim + 50) / 2500, y_ind_sim / 100
])
y_sim = np.transpose(
np.log(1 + y_ind_sim)[:, None] + np.dot(
K_true_sim.T, 2 * np.array([1, 0.5, 0.2])[:, None] *
np.random.normal(0, 1, (pu, m))))
x_sim = 0.5 * np.random.uniform(-1, 3, (m, p))
t = np.random.uniform(-10, 10, (m, q))
y_ind_obs = [
np.linspace(0, 100, ell_obs[i]) +
np.random.uniform(-3, 3, ell_obs[i]) for i in range(len(ell_obs))
]
for yi in y_ind_obs:
yi[yi < 0] = 0
K_true_obs = [
np.vstack(
[0.5 * (np.sin(yi) + 1),
np.square(-yi + 50) / 2500, yi / 100]) for yi in y_ind_obs
]
y_obs = [
10 + np.squeeze(
np.log(1 + y_ind_obs[i])[:, None] + np.dot(
K_true_obs[i].T, 2 * np.array([1, 0.5, 0.2])[:, None] *
np.random.normal(0, 1, (pu, 1))))
for i in range(len(y_ind_obs))
]
x_obs = 0.5 * np.random.uniform(-1, 3, (n, p))
d = SepiaData(x_sim=x_sim,
y_sim=y_sim,
t_sim=t,
y_ind_sim=y_ind_sim,
x_obs=x_obs,
y_obs=y_obs,
y_ind_obs=y_ind_obs)
model = SepiaModel(d)
def setup_multi_sim_and_obs_noD(m=100,
n=10,
nt_sim=20,
nt_obs=15,
noise_sd=0.1,
nx=5,
n_pc=10,
seed=42.,
n_lik=0,
n_mcmc=0):
try:
eng = matlab.engine.start_matlab()
eng.cd(root_path)
eng.addpath('matlab/', nargout=0)
res = eng.setup_multi_sim_and_obs_noD(m,
n,
nt_sim,
nt_obs,
noise_sd,
nx,
n_pc,
seed,
n_lik,
n_mcmc,
nargout=1)
eng.quit()
except Exception as e:
print(e)
print(
'Matlab error; make sure matlab.engine installed, check Matlab code for errors.'
)
y = np.array(res['y'], dtype=float)
y_ind = np.array(res['y_ind'], dtype=float).squeeze()
xt = np.array(res['xt'], dtype=float)
y_obs = np.array(res['y_obs'], dtype=float)
y_ind_obs = np.array(res['y_ind_obs'], dtype=float).squeeze()
x_obs = np.array(res['x_obs'], dtype=float)
data = SepiaData(x_sim=xt[:, 0][:, None],
t_sim=xt[:, 1:],
y_sim=y,
y_ind_sim=y_ind,
x_obs=x_obs,
y_obs=y_obs,
y_ind_obs=y_ind_obs)
data.standardize_y()
data.transform_xt()
data.create_K_basis(n_pc)
print(data)
model = SepiaModel(data)
return model, res
def test_sim_only_x_only_cat(self):
m = 20
x = np.concatenate([
np.random.uniform(-1, 3,
(m, 3)), 1 + np.random.choice(3, size=(m, 1))
],
axis=1)
y = np.random.normal(size=(m, 1))
cat_inds = [0, 0, 0, 3]
data = SepiaData(x_sim=x, y_sim=y, x_cat_ind=cat_inds)
call_data_methods(data)
model = SepiaModel(data)
call_model_methods(model)
call_plot_functions(model)
samples = model.get_samples()
pred = SepiaEmulatorPrediction(x_pred=x,
samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
pred.get_w()
pred.get_y()
pred.get_y(std=True)
pred.get_mu_sigma()
xpred = SepiaXvalEmulatorPrediction(samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
xpred.get_w()
xpred.get_y()
xpred.get_y(std=True)
xpred.get_mu_sigma()
def setup_multi_sim_only(m=300,
nt=20,
nx=5,
n_pc=10,
seed=42.,
n_lik=0,
n_mcmc=0,
n_pred=0,
fix_K=False,
sens=0):
try:
eng = matlab.engine.start_matlab()
eng.cd(root_path)
eng.addpath('matlab/', nargout=0)
res = eng.setup_multi_sim_only(m,
nt,
nx,
n_pc,
seed,
n_lik,
n_mcmc,
n_pred,
sens,
nargout=1)
eng.quit()
except Exception as e:
print(e)
print(
'Matlab error; make sure matlab.engine installed, check Matlab code for errors.'
)
y = np.array(res['y'], dtype=float)
y_ind = np.array(res['y_ind'], dtype=float).squeeze()
xt = np.array(res['xt'], dtype=float)
data = SepiaData(x_sim=xt[:, 0][:, None],
t_sim=xt[:, 1:],
y_sim=y,
y_ind_sim=y_ind)
data.standardize_y()
data.transform_xt()
data.create_K_basis(n_pc)
if fix_K:
data.sim_data.K = np.array(res['K']).T
print(data)
model = SepiaModel(data)
return model, res
def setup_neddermeyer(seed=42., n_mcmc=100, sens=1, n_burn=0, n_lev=0):
try:
eng = matlab.engine.start_matlab()
eng.cd(root_path)
eng.addpath('matlab/', nargout=0)
#dataStruct = eng.neddeg(0, nargout=1)
res = eng.setup_neddermeyer(seed, n_mcmc, sens, n_burn, n_lev)
eng.quit()
except Exception as e:
print(e)
print(
'Matlab error; make sure matlab.engine installed, check Matlab code for errors.'
)
# get python model
import pickle
data_dict = pickle.load(
open('../../examples/Neddermeyer/pkls/nedderDataDict.pkl', 'rb'))
data = SepiaData(x_sim=data_dict['x_sim'],t_sim=data_dict['t_sim'],y_sim=data_dict['y_sim'],\
y_ind_sim=data_dict['y_ind_sim'],x_obs=data_dict['x_obs'],y_obs=data_dict['y_obs'],\
y_ind_obs=data_dict['y_ind_obs'])
data.transform_xt()
# set orig sim vals and Ksim
data.sim_data.orig_y_mean = data_dict['sim_orig_y_mean']
data.sim_data.orig_y_sd = data_dict['sim_orig_y_sd']
data.sim_data.y_std = data_dict['sim_y_std']
data.sim_data.K = data_dict['Ksim']
# set orig obs vals and Kobs
data.obs_data.orig_y_mean = data_dict['obs_orig_y_mean']
data.obs_data.orig_y_sd = data_dict['obs_orig_y_sd']
data.obs_data.y_std = data_dict['obs_orig_y_std']
data.obs_data.K = data_dict['Kobs']
# call create_D_basis
data.create_D_basis(D_obs=data_dict['Dobs'], D_sim=data_dict['Dsim'])
model = SepiaModel(data)
return model, res
def test_multivariate_sim_and_obs_mcmc_thetacon(self):
"""
Tests mcmc for multivariate sim and obs model with theta constraint function
"""
print(
'Testing multivariate sim and obs SepiaMCMC w theta constraint...',
flush=True)
data = self.multi_sim_and_obs_data
def fcon(x):
return (x[:, 0] + x[:, 1]) < 0.8
theta_init = np.array([[0.2, 0.3, 0.5]])
model = SepiaModel(data, theta_init=theta_init, theta_fcon=fcon)
model.tune_step_sizes(50, 10)
model.do_mcmc(100)
samples = model.get_samples()
self.assertTrue(
np.all(samples['theta'][:, 0] + samples['theta'][:, 1] < 0.8))
def setup_model(data, Sigy=None, lamVzGroup=None):
"""
Sets up SepiaModel object based on SepiaData object.
:param data: SepiaData object
:param Sigy: observation covariance matrix (default is identity)
:param lamVzGroup: groups for lamVz (otherwise single lamVz for all D basis functions)
:return: instantiated SepiaModel object
"""
# Check if things transformed, do a default thing, but give warning if not done by user
if data.sim_data.y_std is None:
print('Warning: you did not standardize y!')
print('Continuing with default standardization.')
print(
'To customize, call data.standardize_y on your SepiaData object first, or do manual standardization.'
)
data.standardize_y(center=True, scale='scalar')
if data.sim_data.x_trans is None and data.sim_data.t_trans is None:
print('Warning: you did not rescale x/t to unit cube!')
print('Continuing with default transformation to unit cube.')
print(
'To customize, call data.transform_xt on your SepiaData object first, or do manual transformation.'
)
data.transform_xt()
# If not scalar out, check that K/D are set appropriately
if not data.scalar_out:
if data.sim_data.K is None:
print('Warning: you did not set up the K basis!')
print('Continuing with default PCA basis.')
print(
'To customize, call data.create_K_basis on your SepiaData object.'
)
data.create_K_basis()
else:
if not data.sim_only:
if data.ragged_obs:
obs_K_shapes = np.array(
[k.shape[0] for k in data.obs_data.K])
if not np.all(data.sim_data.K.shape[0] == obs_K_shapes):
raise ValueError('Sim and obs K shapes not conformal.')
else:
if data.sim_data.K.shape[0] != data.obs_data.K.shape[0]:
raise ValueError('Sim and obs K shapes not conformal.')
if not data.sim_only and data.obs_data.D is None:
print('Warning: you did not set up a D basis!')
print(
'To use one, call data.create_D_basis on your SepiaData object.'
)
# Set up model object to modify
model = SepiaModel()
model.data = data
num = model.num
num.scalar_out = data.scalar_out
num.sim_only = data.sim_only
# Local references to data for initialization of model
sim_data = data.sim_data
obs_data = data.obs_data
# Infer p, q, n, m, pu, pv
m, p = sim_data.x.shape
if sim_data.t is not None:
q = sim_data.t.shape[1]
else:
q = 0
ell_sim = sim_data.y.shape[1]
if data.scalar_out:
pu = 1
else:
pu = sim_data.K.shape[0]
num.m, num.p, num.q, num.pu = m, p, q, pu
if not data.sim_only:
if data.ragged_obs:
ell_obs = [obs_data.y[i].shape for i in range(len(obs_data.y))]
else:
ell_obs = obs_data.y.shape[1]
n = obs_data.x.shape[0]
if data.scalar_out or obs_data.D is None:
pv = 0
else:
if data.ragged_obs:
pv = obs_data.D[0].shape[0]
else:
pv = obs_data.D.shape[0]
num.n, num.pv = n, pv
else:
num.n = 0
num.pv = 0
# Set up Sigy/Lamy
if not data.sim_only:
if Sigy is None:
if data.ragged_obs:
Sigy = [
np.atleast_2d(np.diag(np.ones(ell_obs[i])))
for i in range(len(ell_obs))
]
else:
Sigy = np.diag(np.ones(ell_obs))
if data.scalar_out:
Lamy = 1 / Sigy
else:
if data.ragged_obs:
Lamy = [np.linalg.inv(Sigy[i]) for i in range(len(Sigy))]
else:
Lamy = np.linalg.inv(Sigy)
# Set up GP inputs/DistCov objects
if not data.sim_only:
data.x = obs_data.x_trans
else:
data.x = np.array([], dtype=np.float).reshape((0, 1))
num.x0Dist = SepiaDistCov(data.x)
if sim_data.t_trans is not None:
data.zt = np.concatenate([sim_data.x_trans, sim_data.t_trans], axis=1)
else:
data.zt = sim_data.x_trans
num.ztDist = SepiaDistCov(data.zt)
if not data.sim_only:
# Check for lamVzGroups, validate TODO validate
if lamVzGroup is not None:
lamVzGnum = np.unique(lamVzGroup).shape[0]
else:
lamVzGroup = [0] * pv
lamVzGnum = 1
num.lamVzGroup = lamVzGroup
num.lamVzGnum = lamVzGnum
#assert (lamVzGnum == np.unique(lamVzGroup).shape[0])
# Transform obs data using D, Kobs -> v, u
if not data.sim_only:
if data.scalar_out:
u = obs_data.y_std
v = np.array([], dtype=float)
else:
DKridge = 1e-6 * np.diag(np.ones(pu + pv)) # (pu+pv, pu+pv)
if data.ragged_obs:
v = []
u = []
for i in range(len(data.obs_data.y)):
if obs_data.D is None:
DK = obs_data.K[i]
else:
DK = np.concatenate([obs_data.D[i], obs_data.K[i]
]) # (pu+pv, ell_obs)
DKprod = np.linalg.multi_dot([DK, Lamy[i],
DK.T]) # (pu+pv, pu+pv)
y_tmp = obs_data.y_std[i][:, None]
vu = np.dot(np.linalg.inv(DKprod + DKridge),
np.linalg.multi_dot([DK, Lamy[i], y_tmp]))
v.append(vu[:pv, :].T)
u.append(vu[pv:, :].T)
v = np.concatenate(v)
u = np.concatenate(u)
else:
if obs_data.D is None:
DK = obs_data.K
else:
DK = np.concatenate([obs_data.D,
obs_data.K]) # (pu+pv, ell_obs)
DKprod = np.linalg.multi_dot([DK, Lamy,
DK.T]) # (pu+pv, pu+pv)
vu = np.dot(np.linalg.inv(DKprod + DKridge),
np.linalg.multi_dot([DK, Lamy, obs_data.y_std.T]))
v = vu[:pv, :].T
u = vu[pv:, :].T
num.u = u.reshape((n * pu, 1), order='F').copy()
num.v = v.reshape((n * pv, 1), order='F').copy()
else:
num.u = np.array([], dtype=np.float).reshape((0, 1))
num.v = np.array([], dtype=np.float).reshape((0, 1))
# Transform sim data using Ksim -> w
if data.scalar_out:
w = sim_data.y_std
else:
w = np.dot(np.linalg.pinv(sim_data.K).T, sim_data.y_std.T).T
num.w = w.reshape((m * pu, 1), order='F').copy()
if num.scalar_out:
num.uw = np.concatenate((num.u, num.w), axis=0)
else:
num.vuw = np.concatenate((num.v, num.u, num.w), axis=0)
num.vu = np.concatenate((num.v, num.u), axis=0)
# Compute LamSim
if data.scalar_out:
LamSim = np.ones(1)
else:
LamSim = np.diag(np.dot(sim_data.K, sim_data.K.T))
num.LamSim = LamSim
# Compute LamObs
if not data.sim_only:
if data.scalar_out:
LamObs = Lamy * np.diag(np.ones(n))
rankLO = np.linalg.matrix_rank(LamObs)
else:
if obs_data.D is None:
if data.ragged_obs:
DK = [obs_data.K[i] for i in range(n)]
else:
DK = obs_data.K
else:
if data.ragged_obs:
DK = [
np.concatenate([obs_data.D[i], obs_data.K[i]])
for i in range(n)
]
else:
DK = np.concatenate([obs_data.D, obs_data.K
]) # Note: our DK = DK' in matlab
DKridge = 1e-6 * np.diag(np.ones(pu + pv))
if data.ragged_obs:
DKprod = [
np.linalg.multi_dot([DK[i], Lamy[i], DK[i].T])
for i in range(n)
]
else:
DKprod = [
np.linalg.multi_dot([DK, Lamy, DK.T]) for i in range(n)
]
LamObs = scipy.linalg.block_diag(*DKprod)
rankLO = np.linalg.matrix_rank(
LamObs, hermitian=True) # Same as value in matlab
LamObs = LamObs + scipy.linalg.block_diag(
*[DKridge for i in range(n)])
# Reorder indices: is currently v1 u1 v2 u2 ... want v1 v2 v3 ... u1 u2 ...
inew = []
for kk in range(pv):
inew += list(range(kk, n * (pu + pv), pu + pv))
for kk in range(pu):
inew += list(range(pv + kk, n * (pu + pv), pu + pv))
inew = np.array(inew)
LamObs = LamObs[inew[:, None], inew[None, :]]
SigObs = np.linalg.inv(LamObs +
1e-8 * np.diag(np.ones(LamObs.shape[0])))
num.SigObs = SigObs
else:
rankLO = 0
# Compute prior correction for lamOs, lamWOs
if not data.sim_only:
if data.ragged_obs:
tot_elements = np.sum(ell_obs)
else:
tot_elements = ell_obs * n
lamOs_a_corr = 0.5 * (tot_elements - rankLO)
lamOs_b_corr = 0
if not data.scalar_out:
if obs_data.D is None:
if data.ragged_obs:
DK = [obs_data.K[i] for i in range(n)]
else:
DK = obs_data.K
else:
if data.ragged_obs:
DK = [
np.concatenate([obs_data.D[i], obs_data.K[i]])
for i in range(n)
]
else:
DK = np.concatenate([obs_data.D, obs_data.K
]) # Note: our DK = DK' in matlab
if data.ragged_obs:
DKvu = [
np.dot(
DK[i].T,
np.concatenate([v[None, i, :], u[None, i, :]],
axis=1).T) for i in range(n)
]
for i in range(n):
resid = obs_data.y_std[i] - DKvu[i].squeeze()
lamOs_b_corr += 0.5 * np.sum(
np.linalg.multi_dot([resid, Lamy[i], resid]))
else:
DKvu = np.dot(DK.T, np.concatenate([v, u], axis=1).T)
for i in range(n):
resid = obs_data.y_std[i, :] - DKvu[:, i]
lamOs_b_corr += 0.5 * np.sum(
np.linalg.multi_dot([resid, Lamy, resid]))
lamWOs_a_corr = 0.5 * (ell_sim - pu) * m
if data.scalar_out:
lamWOs_b_corr = 0
else:
y_sim_std_hat = np.dot(w, sim_data.K)
lamWOs_b_corr = 0.5 * np.sum(
np.square(sim_data.y_std - y_sim_std_hat)) # same as matlab
# Set up params/priors
if model.num.sim_only:
model.set_params_sim_only(lamWOs_a_corr, lamWOs_b_corr)
elif pv == 0:
model.set_params_noD(lamOs_a_corr, lamOs_b_corr, lamWOs_a_corr,
lamWOs_b_corr)
else:
model.set_params_full(lamOs_a_corr, lamOs_b_corr, lamWOs_a_corr,
lamWOs_b_corr)
return model
plt.xlabel('y index')
plt.ylabel('y')
plt.show()
#%%
data.transform_xt()
data.standardize_y(scale='columnwise')
data.create_K_basis(5)
data.create_D_basis(type='linear')
print(data)
#%%
model = SepiaModel(data)
#%%
cachefile_name='multivariate_example_with_prediction.pkl'
import os.path
import pickle
use_save_file=False
if use_save_file and os.path.isfile(cachefile_name):
model=pickle.load(open(cachefile_name, "rb" ))
else:
model.tune_step_sizes(50, 20)
model.do_mcmc(1000)
if use_save_file:
def test_univariate_sim_and_obs_saveload(self):
"""
Tests save/load for univariate sim and obs model
"""
print('Testing univariate sim and obs save/load...', flush=True)
data = self.univ_sim_and_obs_data
model = SepiaModel(data)
model.tune_step_sizes(50, 10)
model.do_mcmc(100)
model.save_model_info(overwrite=True)
new_model = SepiaModel(data)
new_model.restore_model_info()
# check num stuff
self.assertEqual(model.num.logLik, new_model.num.logLik)
self.assertTrue(np.allclose(model.num.uw, new_model.num.uw))
self.assertTrue(np.allclose(model.num.SigWl, new_model.num.SigWl))
# check param stuff
for p1, p2 in zip(model.params, new_model.params):
self.assertTrue(p1.name == p2.name)
self.assertTrue(np.allclose(p1.fixed, p2.fixed))
self.assertTrue(np.allclose(p1.val, p2.val))
self.assertTrue(np.allclose(np.array(p1.mcmc.draws), np.array(p2.mcmc.draws)))
if p1.name != 'logPost':
self.assertTrue(np.allclose(p1.mcmc.stepParam, p2.mcmc.stepParam))
self.assertTrue(p1.mcmc.stepType == p2.mcmc.stepType)
self.assertTrue(np.allclose(np.array(p1.prior.bounds), np.array(p2.prior.bounds)))
self.assertTrue(np.allclose(np.array(p1.prior.params), np.array(p2.prior.params)))
self.assertTrue(p1.prior.dist == p2.prior.dist)
new_model.do_mcmc(10)
y_sim = matfile['y'].T
y_ind_sim = matfile['y_ind'].squeeze()
xt_sim = matfile['x']
y_obs = matfile['y_obs']
y_ind_obs = matfile['y_ind_obs'].squeeze()
x_obs = matfile['x_obs']
data = SepiaData(x_sim=xt_sim[:, 0][:, None], t_sim=xt_sim[:, 1][:, None], y_sim=y_sim, y_ind_sim=y_ind_sim,
x_obs=x_obs, y_obs=y_obs, y_ind_obs=y_ind_obs)
data.standardize_y()
data.transform_xt()
data.create_K_basis(n_pc=n_pc)
data.create_D_basis(D_obs=matfile['Dobs'].T)
print(data)
np.random.seed(int(seed))
model = SepiaModel(data)
if lamWOs_init > 0:
model.params.lamWOs.val = np.array([[lamWOs_init]])
model.do_mcmc(nburn + nsamp)
np.random.seed(seed)
psamps = model.get_samples(sampleset=range(50), flat=True)
@timeit
def do_wPred():
for _ in range(10):
pred = wPred([0.5], psamps, model.num, model.data, returnMuSigma=True, addResidVar=True, returnRlz=True)
@timeit
def do_uvPred():
for _ in range(50):
def test_full_setup_LL_pred(self):
# Set up and check calibration model
x_obs = np.ones((3, 2)) * np.array([0.5, 0.75, 0.25]).reshape((-1, 1))
y_obs = np.block([[-0.1, 0.1], [-0.2, 0.3], [0.1, 0]])
# augment to also test more than scalar dimensions in x and t
x_sim_cal = np.hstack((0.5 * np.ones(
(self.x_sim.shape[0], 1)), self.x_sim[:, :1]))
t_sim_cal = self.x_sim[:, 1:]
xt_sim_sep = [np.array(0.5).reshape(1, 1)] + self.x_sim_kron
y_sim_std = (self.y_sim - np.mean(self.y_sim, axis=0).reshape(
1, -1)) / np.std(self.y_sim, axis=0, ddof=1).reshape(1, -1)
dc = SepiaData(x_sim=x_sim_cal,
t_sim=t_sim_cal,
y_sim=y_sim_std,
x_obs=x_obs,
y_obs=y_obs,
y_ind_sim=self.y_ind_sim,
y_ind_obs=self.y_ind_sim)
dc.create_K_basis(K=np.eye(2))
dc.create_D_basis(D_sim=np.eye(2), D_obs=np.eye(2))
dc.transform_xt(x_notrans=True, t_notrans=True)
dc.standardize_y(y_mean=0, y_sd=1)
print(dc)
cmod = SepiaModel(dc)
print('Calibration model LL=%f' % compute_log_lik(cmod))
kdc = SepiaData(xt_sim_sep=xt_sim_sep,
y_sim=y_sim_std,
x_obs=x_obs,
y_obs=y_obs,
y_ind_sim=self.y_ind_sim,
y_ind_obs=self.y_ind_sim)
kdc.create_K_basis(K=np.eye(2))
kdc.create_D_basis(D_sim=np.eye(2), D_obs=np.eye(2))
kdc.transform_xt(x_notrans=True, t_notrans=True)
kdc.standardize_y(y_mean=0, y_sd=1)
print(kdc)
kcmod = SepiaModel(kdc)
print('Calibration Sep model LL=%f' % compute_log_lik(kcmod))
self.assertAlmostEqual(compute_log_lik(cmod),
compute_log_lik(kcmod),
places=5)
print(
'Running MCMC on Calibration model in Sep pred mode, regular design'
)
np.random.seed(42)
t1 = time()
cmod.do_mcmc(10)
print('sampling time %f' % (time() - t1))
csamp = cmod.get_samples(sampleset=[cmod.get_last_sample_ind()])
cpred = SepiaFullPrediction(mode='Sep',
model=cmod,
samples=csamp,
storeMuSigma=True,
x_pred=np.array([0.5, 0.5]).reshape(
(1, -1)))
print(cpred.get_ysim())
csm, css = cpred.get_mu_sigma()
print(csm)
print(css)
print(
'Running MCMC on Calibration model in Sep pred mode, separable design'
)
np.random.seed(42)
t1 = time()
kcmod.do_mcmc(10)
print('sampling time %f' % (time() - t1))
kcsamp = kcmod.get_samples(sampleset=[kcmod.get_last_sample_ind()])
kcpred = SepiaFullPrediction(mode='Sep',
model=kcmod,
samples=kcsamp,
storeMuSigma=True,
x_pred=np.array([0.5, 0.5]).reshape(
(1, -1)))
print(kcpred.get_ysim())
kcsm, kcss = kcpred.get_mu_sigma()
print(kcsm)
print(kcss)
print('testing max difference which is %g' % np.max(abs(csm - kcsm)))
self.assertAlmostEqual(0, np.max(abs(csm - kcsm)))
print('testing max difference which is %g' % np.max(abs(css - kcss)))
self.assertAlmostEqual(0, np.max(abs(css - kcss)))
###### Timing for predictions
test_x_pred = np.random.rand(10, 2)
csamp = cmod.get_samples()
t1 = time()
cpred0 = SepiaFullPrediction(mode='notSep',
model=cmod,
samples=csamp,
storeMuSigma=True,
x_pred=test_x_pred)
print('predict time non-Sep in non-Sep mode %f' % (time() - t1))
t1 = time()
cpred = SepiaFullPrediction(mode='Sep',
model=cmod,
samples=csamp,
storeMuSigma=True,
x_pred=test_x_pred)
print('predict time non-sep in Sep mode %f' % (time() - t1))
kcsamp = kcmod.get_samples()
t1 = time()
kcpred = SepiaFullPrediction(mode='Sep',
model=kcmod,
samples=kcsamp,
storeMuSigma=True,
x_pred=test_x_pred)
print('predict time Sep %f' % (time() - t1))
pass
h_dense = data_dict['h_dense']
D_dense = np.zeros(shape=(h_dense.shape[0], pv))
for j in range(pv):
D_obs[:, j] = norm.pdf(h_field, D_grid[j], D_width)
D_sim[:, j] = norm.pdf(h_sim, D_grid[j], D_width)
D_dense[:, j] = norm.pdf(h_dense, D_grid[j], D_width)
data.create_D_basis(D_obs=D_obs.T, D_sim=D_sim)
#
# Data setup completed
#
nmcmc = 5000
#
# Standard mcmc reference model setup and sampling
#
model_ref = SepiaModel(data)
model_ref.tune_step_sizes(50, 20, verbose=False)
# burn in the model. This is qualitative, and needs to be assessed on trace plots
# This model is actually OK, but do 10 samples for 'burn-in'
model_ref.do_mcmc(10, prog=False)
# and discard those samples
model_ref.clear_samples()
tref = time() # timing start
model_ref.do_mcmc(nmcmc)
print('Single-process mcmc took %f s' % (time() - tref), flush=True)
#
# Perform the same operation with parallel mcmc chains
#
model = SepiaModel(data) # new model instance
model.tune_step_sizes(50, 20, verbose=False) # optimize step sizes
def test_sim_and_obs_x_and_t_cat(self):
m = 20
n = 10
x = np.concatenate([
np.random.uniform(-1, 3,
(m, 3)), 1 + np.random.choice(3, size=(m, 1))
],
axis=1)
x2 = np.concatenate([
np.random.uniform(-1, 3,
(n, 3)), 1 + np.random.choice(3, size=(n, 1))
],
axis=1)
t = np.concatenate([
np.random.uniform(-1, 3,
(m, 2)), 1 + np.random.choice(4, size=(m, 1))
],
axis=1)
y = np.random.normal(size=(m, 50))
y_ind = np.linspace(0, 1, 50)
y2 = np.random.normal(size=(n, 20))
y_ind2 = np.linspace(0, 1, 20)
x_cat_ind = [0, 0, 0, 3]
t_cat_ind = [0, 0, 4]
data = SepiaData(x_sim=x,
t_sim=t,
x_cat_ind=x_cat_ind,
t_cat_ind=t_cat_ind,
y_sim=y,
y_ind_sim=y_ind,
x_obs=x2,
y_obs=y2,
y_ind_obs=y_ind2)
call_data_methods(data)
model = SepiaModel(data)
call_model_methods(model)
call_plot_functions(model)
samples = model.get_samples()
pred = SepiaEmulatorPrediction(x_pred=x,
t_pred=t,
samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
pred.get_w()
pred.get_y()
pred.get_y(std=True)
pred.get_mu_sigma()
xpred = SepiaXvalEmulatorPrediction(samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
xpred.get_w()
xpred.get_y()
xpred.get_y(std=True)
xpred.get_mu_sigma()
pred = SepiaFullPrediction(x_pred=x,
t_pred=t,
samples=samples,
model=model,
addResidVar=True,
storeMuSigma=True)
pred.get_u_v()
pred.get_mu_sigma()
pred.get_ysim()
pred.get_ysim(as_obs=True)
pred.get_ysim(as_obs=True, std=True)
pred.get_yobs()
pred.get_yobs(as_obs=True)
pred.get_yobs(as_obs=True, std=True)
pred.get_discrepancy()
pred.get_discrepancy(as_obs=True)
pred.get_discrepancy(as_obs=True, std=True)
data = SepiaData(t_sim=design,
y_sim=y_sim,
y_ind_sim=y_ind,
y_obs=y_obs,
y_ind_obs=y_ind)
data.standardize_y()
data.transform_xt()
data.create_K_basis(n_features - 1)
print(data)
# Setup model
# We have a known observation error
Sigy = np.diag(
np.squeeze(
(0.01 * np.ones(n_features) * y_obs) / data.sim_data.orig_y_sd**2))
model = SepiaModel(data, Sigy)
# Modify priors to match Matlab
model.params.lamWs.prior.bounds[1] = np.inf
model.params.lamWs.prior.params = [np.ones((1, 11)), np.zeros((1, 11))]
# Do mcmc
model.tune_step_sizes(100, 25)
model.do_mcmc(10000)
samples_dict = model.get_samples()
with open('data/sepia_mcmc_samples1-5000.pkl', 'wb') as f:
pickle.dump(samples_dict, f)
with open('data/sepia_model.pkl', 'wb') as f:
pickle.dump(model, f)
y_sim = matfile['y'].T
y_ind_sim = matfile['y_ind'].squeeze()
xt_sim = matfile['x']
y_obs = matfile['y_obs']
y_ind_obs = matfile['y_ind_obs'].squeeze()
x_obs = matfile['x_obs']
data = SepiaData(x_sim=xt_sim[:, 0][:, None], t_sim=xt_sim[:, 1][:, None], y_sim=y_sim, y_ind_sim=y_ind_sim,
x_obs=x_obs, y_obs=y_obs, y_ind_obs=y_ind_obs)
data.standardize_y()
data.transform_xt()
data.create_K_basis(n_pc=2)
data.create_D_basis(D_obs=matfile['Dobs'].T)
print(data)
model = SepiaModel(data)
nsamp = int(matfile['nsamp'])
nburn = int(matfile['nburn'])
@timeit
def run_mcmc():
model.do_mcmc(nburn + nsamp)
print('Python mcmc time:')
run_mcmc()
# import cProfile
# cProfile.run('run_mcmc()', 'mcmc.profile')
#
# import os