def setUp(self):
x1 = numpy.random.normal(size=TEST_SET_SIZE)
x2 = x1 + numpy.random.normal(size=TEST_SET_SIZE)
x3 = x1 + numpy.random.normal(size=TEST_SET_SIZE)
x4 = x2 + x3 + numpy.random.normal(size=TEST_SET_SIZE)
x5 = x4 + numpy.random.normal(size=TEST_SET_SIZE)
self.X = pd.DataFrame({
"x1": x1,
"x2": x2,
"x3": x3,
"x4": x4,
"x5": x5
})
self.variable_types = {
"x1": "c",
"x2": "c",
"x3": "c",
"x4": "c",
"x5": "c"
}
self.true_neighbors = {
"x1": set(["x2", "x3"]),
"x2": set(["x1", "x4"]),
"x3": set(["x1", "x4"]),
"x4": set(["x2", "x3", "x5"]),
"x5": set(["x4"]),
}
self.true_colliders = set([("x3", "x4"), ("x2", "x4")])
self.true_marked = set([("x4", "x5")])
self.ic = IC(RobustRegressionTest)
self.ic.search(self.X, self.variable_types)
def setUp(self):
x1 = numpy.random.normal(size=TEST_SET_SIZE)
x2 = x1 + numpy.random.normal(size=TEST_SET_SIZE)
x3 = x1 + numpy.random.normal(size=TEST_SET_SIZE)
x4 = x2 + x3 + numpy.random.normal(size=TEST_SET_SIZE)
x5 = x4 + numpy.random.normal(size=TEST_SET_SIZE)
self.X = pd.DataFrame({
'x1': x1,
'x2': x2,
'x3': x3,
'x4': x4,
'x5': x5
})
self.variable_types = {
'x1': 'c',
'x2': 'c',
'x3': 'c',
'x4': 'c',
'x5': 'c'
}
self.true_neighbors = {
'x1': set(['x2', 'x3']),
'x2': set(['x1', 'x4']),
'x3': set(['x1', 'x4']),
'x4': set(['x2', 'x3', 'x5']),
'x5': set(['x4'])
}
self.true_colliders = set([('x3', 'x4'), ('x2', 'x4')])
self.true_marked = set([('x4', 'x5')])
self.ic = IC(RobustRegressionTest)
self.ic.search(self.X, self.variable_types)
def runSearch(data,algo_var_types):
# run the search
ic_algorithm = IC(RobustRegressionTest)
graph = ic_algorithm.search(data, algo_var_types)
results = graph.edges(data=True)
#pprint(results)
return (results)
def setUp(self):
x1 = numpy.random.normal(size=TEST_SET_SIZE)
x2 = x1 + numpy.random.normal(size=TEST_SET_SIZE)
x3 = x1 + numpy.random.normal(size=TEST_SET_SIZE)
x4 = x2 + x3 + numpy.random.normal(size=TEST_SET_SIZE)
x5 = x4 + numpy.random.normal(size=TEST_SET_SIZE)
self.X = pd.DataFrame({'x1' : x1, 'x2' : x2, 'x3' : x3, 'x4' : x4, 'x5' : x5})
self.variable_types = {'x1' : 'c', 'x2' : 'c', 'x3' : 'c', 'x4' : 'c', 'x5' : 'c'}
self.true_neighbors = { 'x1' : set(['x2','x3']),
'x2' : set(['x1','x4']),
'x3' : set(['x1','x4']),
'x4' : set(['x2','x3','x5']),
'x5' : set(['x4'])}
self.true_colliders = set([('x3','x4'), ('x2','x4')])
self.true_marked = set([('x4','x5')])
self.ic = IC(RobustRegressionTest, self.X, self.variable_types)
class Test_IC(TestAPI):
def setUp(self):
x1 = numpy.random.normal(size=TEST_SET_SIZE)
x2 = x1 + numpy.random.normal(size=TEST_SET_SIZE)
x3 = x1 + numpy.random.normal(size=TEST_SET_SIZE)
x4 = x2 + x3 + numpy.random.normal(size=TEST_SET_SIZE)
x5 = x4 + numpy.random.normal(size=TEST_SET_SIZE)
self.X = pd.DataFrame({'x1' : x1, 'x2' : x2, 'x3' : x3, 'x4' : x4, 'x5' : x5})
self.variable_types = {'x1' : 'c', 'x2' : 'c', 'x3' : 'c', 'x4' : 'c', 'x5' : 'c'}
self.true_neighbors = { 'x1' : set(['x2','x3']),
'x2' : set(['x1','x4']),
'x3' : set(['x1','x4']),
'x4' : set(['x2','x3','x5']),
'x5' : set(['x4'])}
self.true_colliders = set([('x3','x4'), ('x2','x4')])
self.true_marked = set([('x4','x5')])
self.ic = IC(RobustRegressionTest, self.X, self.variable_types)
def test_build_g(self):
self.ic._build_g()
V = len(self.X.columns)
assert(len(self.ic._g.edges()) == (V-1)*V / 2)
assert(set(self.ic._g.nodes()) == set(self.variable_types.keys()))
for node, variable_type in self.variable_types.items():
assert(self.ic._g.node[node]['type'] == variable_type)
for i, j in self.ic._g.edges():
assert(self.ic._g.edge[i][j]['marked'] == False)
def test_find_skeleton(self):
self.ic._build_g()
self.ic._find_skeleton()
for node, neighbors in self.true_neighbors.items():
assert(set(self.ic._g.neighbors(node)) == neighbors)
def test_orient_colliders(self):
self.ic._build_g()
self.ic._find_skeleton()
self.ic._orient_colliders()
for i, j in self.ic._g.edges():
measured_colliders = self.ic._g.edge[i][j]['arrows']
if len(measured_colliders) > 0:
if j in measured_colliders:
assert((i,j) in self.true_colliders)
else:
assert((j,i) in self.true_colliders)
else:
assert((i,j) not in self.true_colliders and (j,i) not in self.true_colliders)
def test_separating_set(self):
self.ic._build_g()
self.ic._find_skeleton()
for xi, xj in itertools.combinations(self.variable_types.keys(), 2):
if not self.ic._g.has_edge(xi,xj):
if (xi,xj) in self.ic.separating_sets:
z = self.ic.separating_sets[(xi,xj)]
else:
z = self.ic.separating_sets[(xj,xi)]
test = self.ic.independence_test([xj],[xi], list(z), self.X, self.ic.alpha)
assert(test.independent())
def test_marked_directed_path(self):
marked_edges = [('a','b'),('b','c'),('c','d')]
unmarked_edges = [('a','d')]
nodes = ['a','b','c','d']
g = nx.Graph()
g.add_edges_from(marked_edges, marked=True)
g.add_edges_from(unmarked_edges, marked=False)
for i, j in (marked_edges + unmarked_edges):
g.edge[i][j]['arrows'] = [j]
self.ic._g = g
assert(self.ic._marked_directed_path('a','d'))
assert(not self.ic._marked_directed_path('d','a'))
def test_recursion_rule_1(self):
pass
def test_recursion_rule_2(self):
pass
def test_search(self):
self.ic.search()
for i, j in self.ic._g.edges():
if self.ic._g.edge[i][j]['marked']:
assert( (i,j) in self.true_marked or (j,i) in self.true_marked)
else:
assert( (i,j) not in self.true_marked and (j,i) not in self.true_marked)
class Test_IC(TestAPI):
def setUp(self):
x1 = numpy.random.normal(size=TEST_SET_SIZE)
x2 = x1 + numpy.random.normal(size=TEST_SET_SIZE)
x3 = x1 + numpy.random.normal(size=TEST_SET_SIZE)
x4 = x2 + x3 + numpy.random.normal(size=TEST_SET_SIZE)
x5 = x4 + numpy.random.normal(size=TEST_SET_SIZE)
self.X = pd.DataFrame({'x1' : x1, 'x2' : x2, 'x3' : x3, 'x4' : x4, 'x5' : x5})
self.variable_types = {'x1' : 'c', 'x2' : 'c', 'x3' : 'c', 'x4' : 'c', 'x5' : 'c'}
self.true_neighbors = { 'x1' : set(['x2','x3']),
'x2' : set(['x1','x4']),
'x3' : set(['x1','x4']),
'x4' : set(['x2','x3','x5']),
'x5' : set(['x4'])}
self.true_colliders = set([('x3','x4'), ('x2','x4')])
self.true_marked = set([('x4','x5')])
self.ic = IC(RobustRegressionTest, self.X, self.variable_types)
def test_build_g(self):
self.ic._build_g()
V = len(self.X.columns)
assert(len(self.ic._g.edges()) == (V-1)*V / 2)
assert(set(self.ic._g.nodes()) == set(self.variable_types.keys()))
for node, variable_type in self.variable_types.items():
assert(self.ic._g.node[node]['type'] == variable_type)
for i, j in self.ic._g.edges():
assert(self.ic._g.edge[i][j]['marked'] == False)
def test_find_skeleton(self):
self.ic._build_g()
self.ic._find_skeleton()
for node, neighbors in self.true_neighbors.items():
assert(set(self.ic._g.neighbors(node)) == neighbors)
def test_orient_colliders(self):
self.ic._build_g()
self.ic._find_skeleton()
self.ic._orient_colliders()
for i, j in self.ic._g.edges():
measured_colliders = self.ic._g.edge[i][j]['arrows']
if len(measured_colliders) > 0:
if j in measured_colliders:
assert((i,j) in self.true_colliders)
else:
assert((j,i) in self.true_colliders)
else:
assert((i,j) not in self.true_colliders and (j,i) not in self.true_colliders)
def test_separating_set(self):
self.ic._build_g()
self.ic._find_skeleton()
for xi, xj in itertools.combinations(self.variable_types.keys(), 2):
if not self.ic._g.has_edge(xi,xj):
if (xi,xj) in self.ic.separating_sets:
z = self.ic.separating_sets[(xi,xj)]
else:
z = self.ic.separating_sets[(xj,xi)]
test = self.ic.independence_test([xj],[xi], list(z), self.X, self.ic.alpha)
assert(test.independent())
def test_marked_directed_path(self):
marked_edges = [('a','b'),('b','c'),('c','d')]
unmarked_edges = [('a','d')]
nodes = ['a','b','c','d']
g = nx.Graph()
g.add_edges_from(marked_edges, marked=True)
g.add_edges_from(unmarked_edges, marked=False)
for i, j in (marked_edges + unmarked_edges):
g.edge[i][j]['arrows'] = [j]
self.ic._g = g
assert(self.ic._marked_directed_path('a','d'))
assert(not self.ic._marked_directed_path('d','a'))
def test_recursion_rule_1(self):
pass
def test_recursion_rule_2(self):
pass
def test_search(self):
self.ic.search()
for i, j in self.ic._g.edges():
if self.ic._g.edge[i][j]['marked']:
assert( (i,j) in self.true_marked or (j,i) in self.true_marked)
else:
assert( (i,j) not in self.true_marked and (j,i) not in self.true_marked)
SIZE = 2000
x1 = np.random.normal(size=SIZE)
x2 = x1 + np.random.normal(size=SIZE)
x3 = x1 + np.random.normal(size=SIZE)
x4 = x2 + x3 + np.random.normal(size=SIZE)
x5 = x4 + np.random.normal(size=SIZE)
# load the data into a dataframe:
X = pd.DataFrame({'x1': x1, 'x2': x2, 'x3': x3, 'x4': x4, 'x5': x5})
# define the variable types: 'c' is 'continuous'. The variables defined here
# are the ones the search is performed over -- NOT all the variables defined
# in the data frame.
variable_types = {'x1': 'c', 'x2': 'c', 'x3': 'c', 'x4': 'c', 'x5': 'c'}
ic_algorithm = IC(RobustRegressionTest)
graph = ic_algorithm.search(X, variable_types)
e = graph.edges(data=True)
print(f"{e}")
SIZE = 2000
x1 = np.random.normal(size=SIZE)
x2 = x1 + np.random.normal(size=SIZE)
x3 = x1 + np.random.normal(size=SIZE)
x6 = np.random.normal(size=SIZE)
x4 = x2 + x3 + x6 + np.random.normal(size=SIZE)
x5 = x6 + np.random.normal(size=SIZE)
# load the data into a dataframe:
X = pd.DataFrame({'x1': x1, 'x2': x2, 'x3': x3, 'x4': x4, 'x5': x5})
def fit(self, X):
'''
Copulafit using Gaussian copula with marginals evaluated by Gaussian KDE
Precision matrix is evaluated using specified method, default to graphical LASSO
:param X: input dataset
:return: estimated precision matrix rho
'''
N, d = X.shape
if self.scaler is not None:
X_scale = self.scaler.fit_transform(X)
else:
X_scale = X
if len(self.vertexes) == 0:
self.vertexes = [str(id) for id in range(d)]
self.theta = 1.0 / N
cum_marginals = np.zeros_like(X)
inv_norm_cdf = np.zeros_like(X)
# inv_norm_cdf_scaled = np.zeros_like(X)
self.kernels = list([])
# TODO: complexity O(Nd) is high
if self.verbose:
colored('>> Computing marginals', color='blue')
for j in range(cum_marginals.shape[1]):
self.kernels.append(gaussian_kde(X_scale[:, j]))
cum_pdf_overall = self.kernels[-1].integrate_box_1d(
X_scale[:, j].min(), X_scale[:, j].max())
for i in range(cum_marginals.shape[0]):
cum_marginals[i, j] = self.kernels[-1].integrate_box_1d(
X_scale[:, j].min(), X_scale[i, j]) / cum_pdf_overall
# truncate cumulative marginals
if cum_marginals[i, j] < self.theta:
cum_marginals[i, j] = self.theta
elif cum_marginals[i, j] > 1 - self.theta:
cum_marginals[i, j] = 1 - self.theta
# inverse of normal CDF: \Phi(F_j(x))^{-1}
inv_norm_cdf[i, j] = norm.ppf(cum_marginals[i, j])
# scaled to preserve mean and variance: u_j + \sigma_j*\Phi(F_j(x))^{-1}
# inv_norm_cdf_scaled[i, j] = X_scale[:, j].mean() + X_scale[:, j].std() * inv_norm_cdf[i, j]
if self.method == 'mle':
# maximum-likelihood estiamtor
empirical_cov = EmpiricalCovariance()
empirical_cov.fit(inv_norm_cdf)
if self.verbose:
print colored('>> Running MLE to estiamte precision matrix',
color='blue')
self.est_cov = empirical_cov.covariance_
self.corr = scale_matrix(self.est_cov)
self.precision_ = inv(empirical_cov.covariance_)
if self.method == 'glasso':
if self.verbose:
print colored('>> Running glasso to estiamte precision matrix',
color='blue')
empirical_cov = EmpiricalCovariance()
empirical_cov.fit(inv_norm_cdf)
# shrunk convariance to avoid numerical instability
shrunk_cov = shrunk_covariance(empirical_cov.covariance_,
shrinkage=0.8)
self.est_cov, self.precision_ = graph_lasso(emp_cov=shrunk_cov,
alpha=self.penalty,
verbose=self.verbose,
max_iter=self.max_iter)
self.corr = scale_matrix(self.est_cov)
if self.method == 'ledoit_wolf':
if self.verbose:
print colored(
'>> Running ledoit_wolf to estiamte precision matrix',
color='blue')
self.est_cov, _ = ledoit_wolf(inv_norm_cdf)
self.corr = scale_matrix(self.est_cov)
self.precision_ = linalg.inv(self.est_cov)
if self.method == 'spectral':
'''L2 mehtod, use paper Inverse covariance estimation for high dimension data in linear time and space
:formular: in paper eq(8)
'''
if self.verbose:
print colored(
'>> Running Riccati to estiamte precision matrix',
color='blue')
# TODO: note estimated cov is sample cov
self.est_cov, self.precision_ = spectral(inv_norm_cdf,
rho=2 * self.penalty,
assume_centered=False)
self.corr = scale_matrix(self.est_cov)
if self.method == 'pc':
clf = pgmlearner.PGMLearner()
data_list = list([])
for row_id in range(X_scale.shape[0]):
instance = dict()
for i, n in enumerate(self.vertexes):
instance[n] = X_scale[row_id, i]
data_list.append(instance)
graph = clf.lg_constraint_estimatestruct(data=data_list,
pvalparam=self.pval,
bins=self.bins)
dag = np.zeros(shape=(len(graph.V), len(graph.V)))
for e in graph.E:
dag[self.vertexes.index(e[0]), self.vertexes.index(e[1])] = 1
self.conditional_independences_ = dag
if self.method == 'ic':
df = dict()
variable_types = dict()
for j in range(X_scale.shape[1]):
df[self.vertexes[j]] = X_scale[:, j]
variable_types[self.vertexes[j]] = 'c'
data = pd.DataFrame(df)
# run the search
ic_algorithm = IC(RobustRegressionTest,
data,
variable_types,
alpha=self.pval)
graph = ic_algorithm.search()
dag = np.zeros(shape=(X_scale.shape[1], X_scale.shape[1]))
for e in graph.edges(data=True):
i = self.vertexes.index(e[0])
j = self.vertexes.index(e[1])
dag[i, j] = 1
dag[j, i] = 1
arrows = set(e[2]['arrows'])
head_len = len(arrows)
if head_len > 0:
head = arrows.pop()
if head_len == 1 and head == e[0]:
dag[i, j] = 0
if head_len == 1 and head == e[1]:
dag[j, i] = 0
self.conditional_independences_ = dag
# finally we fit the structure
self.fit_structure(self.precision_)
import pandas as pd
from causality.inference.search import IC
from causality.inference.independence_tests import RobustRegressionTest
df = pd.read_csv("lucas.csv")
variable_types = {}
for col in df.columns:
variable_types[col] = "b"
# # run the search
ic_algorithm = IC(RobustRegressionTest)
print(ic_algorithm)
# graph = ic_algorithm.search(df, variable_types)
class Test_IC(TestAPI):
def setUp(self):
x1 = numpy.random.normal(size=TEST_SET_SIZE)
x2 = x1 + numpy.random.normal(size=TEST_SET_SIZE)
x3 = x1 + numpy.random.normal(size=TEST_SET_SIZE)
x4 = x2 + x3 + numpy.random.normal(size=TEST_SET_SIZE)
x5 = x4 + numpy.random.normal(size=TEST_SET_SIZE)
self.X = pd.DataFrame({
"x1": x1,
"x2": x2,
"x3": x3,
"x4": x4,
"x5": x5
})
self.variable_types = {
"x1": "c",
"x2": "c",
"x3": "c",
"x4": "c",
"x5": "c"
}
self.true_neighbors = {
"x1": set(["x2", "x3"]),
"x2": set(["x1", "x4"]),
"x3": set(["x1", "x4"]),
"x4": set(["x2", "x3", "x5"]),
"x5": set(["x4"]),
}
self.true_colliders = set([("x3", "x4"), ("x2", "x4")])
self.true_marked = set([("x4", "x5")])
self.ic = IC(RobustRegressionTest)
self.ic.search(self.X, self.variable_types)
def test_build_g(self):
self.ic._build_g(self.variable_types)
V = len(self.X.columns)
assert len(self.ic._g.edges()) == (V - 1) * V / 2
assert set(self.ic._g.nodes()) == set(self.variable_types.keys())
for node, variable_type in self.variable_types.items():
assert self.ic._g.nodes[node]["type"] == variable_type
for i, j in self.ic._g.edges():
assert self.ic._g.get_edge_data(i, j)["marked"] == False
def test_find_skeleton(self):
self.ic._build_g(self.variable_types)
self.ic._find_skeleton(self.X, self.variable_types)
for node, neighbors in self.true_neighbors.items():
assert set(self.ic._g.neighbors(node)) == neighbors
def test_orient_colliders(self):
self.ic._build_g(self.variable_types)
self.ic._find_skeleton(self.X, self.variable_types)
self.ic._orient_colliders()
for i, j in self.ic._g.edges():
measured_colliders = self.ic._g.get_edge_data(i, j)["arrows"]
if len(measured_colliders) > 0:
if j in measured_colliders:
assert (i, j) in self.true_colliders
else:
assert (j, i) in self.true_colliders
else:
assert (i, j) not in self.true_colliders and (
j,
i,
) not in self.true_colliders
def test_separating_set(self):
self.ic._build_g(self.variable_types)
self.ic._find_skeleton(self.X, self.variable_types)
for xi, xj in itertools.combinations(self.variable_types.keys(), 2):
if not self.ic._g.has_edge(xi, xj):
if (xi, xj) in self.ic.separating_sets:
z = self.ic.separating_sets[(xi, xj)]
else:
z = self.ic.separating_sets[(xj, xi)]
test = self.ic.independence_test([xj], [xi], list(z), self.X,
self.ic.alpha)
assert test.independent()
def test_marked_directed_path(self):
marked_edges = [("a", "b"), ("b", "c"), ("c", "d")]
unmarked_edges = [("a", "d")]
nodes = ["a", "b", "c", "d"]
g = nx.Graph()
g.add_edges_from(marked_edges, marked=True)
g.add_edges_from(unmarked_edges, marked=False)
for i, j in marked_edges + unmarked_edges:
g.get_edge_data(i, j)["arrows"] = [j]
self.ic._g = g
assert self.ic._marked_directed_path("a", "d")
assert not self.ic._marked_directed_path("d", "a")
def test_recursion_rule_1(self):
pass
def test_recursion_rule_2(self):
pass
def test_search(self):
self.ic.search(self.X, self.variable_types)
for i, j in self.ic._g.edges():
if self.ic._g.get_edge_data(i, j)["marked"]:
assert (i, j) in self.true_marked or (j, i) in self.true_marked
else:
assert (i, j) not in self.true_marked and (
j, i) not in self.true_marked
