def test_validate_good_run(self):
# construct fit using existing sampler output
exe = os.path.join(DATAFILES_PATH, 'bernoulli' + EXTENSION)
jdata = os.path.join(DATAFILES_PATH, 'bernoulli.data.json')
sampler_args = SamplerArgs(iter_sampling=100,
max_treedepth=11,
adapt_delta=0.95)
cmdstan_args = CmdStanArgs(
model_name='bernoulli',
model_exe=exe,
chain_ids=[1, 2, 3, 4],
seed=12345,
data=jdata,
output_dir=DATAFILES_PATH,
method_args=sampler_args,
)
runset = RunSet(args=cmdstan_args, chains=4)
runset._csv_files = [
os.path.join(DATAFILES_PATH, 'runset-good', 'bern-1.csv'),
os.path.join(DATAFILES_PATH, 'runset-good', 'bern-2.csv'),
os.path.join(DATAFILES_PATH, 'runset-good', 'bern-3.csv'),
os.path.join(DATAFILES_PATH, 'runset-good', 'bern-4.csv'),
]
self.assertEqual(4, runset.chains)
retcodes = runset._retcodes
for i in range(len(retcodes)):
runset._set_retcode(i, 0)
self.assertTrue(runset._check_retcodes())
fit = CmdStanMCMC(runset)
self.assertEqual(100, fit.num_draws)
self.assertEqual(len(BERNOULLI_COLS), len(fit.column_names))
self.assertEqual('lp__', fit.column_names[0])
drawset = fit.get_drawset()
self.assertEqual(
drawset.shape,
(fit.runset.chains * fit.num_draws, len(fit.column_names)),
)
_ = fit.summary()
self.assertTrue(True)
# TODO - use cmdstan test files instead
expected = '\n'.join([
'Checking sampler transitions treedepth.',
'Treedepth satisfactory for all transitions.',
'\nChecking sampler transitions for divergences.',
'No divergent transitions found.',
'\nChecking E-BFMI - sampler transitions HMC potential energy.',
'E-BFMI satisfactory for all transitions.',
'\nEffective sample size satisfactory.',
])
self.assertIn(expected, fit.diagnose().replace('\r\n', '\n'))
def test_validate_big_run(self):
exe = os.path.join(DATAFILES_PATH, 'bernoulli' + EXTENSION)
sampler_args = SamplerArgs()
cmdstan_args = CmdStanArgs(
model_name='bernoulli',
model_exe=exe,
chain_ids=[1, 2],
seed=12345,
output_dir=DATAFILES_PATH,
method_args=sampler_args,
)
runset = RunSet(args=cmdstan_args, chains=2)
runset._csv_files = [
os.path.join(DATAFILES_PATH, 'runset-big',
'output_icar_nyc-1.csv'),
os.path.join(DATAFILES_PATH, 'runset-big',
'output_icar_nyc-1.csv'),
]
fit = CmdStanMCMC(runset)
fit._validate_csv_files()
sampler_state = [
'lp__',
'accept_stat__',
'stepsize__',
'treedepth__',
'n_leapfrog__',
'divergent__',
'energy__',
]
phis = ['phi.{}'.format(str(x + 1)) for x in range(2095)]
column_names = sampler_state + phis
self.assertEqual(fit.columns, len(column_names))
self.assertEqual(fit.column_names, tuple(column_names))
self.assertEqual(fit.metric_type, 'diag_e')
self.assertEqual(fit.stepsize.shape, (2, ))
self.assertEqual(fit.metric.shape, (2, 2095))
self.assertEqual((1000, 2, 2102), fit.sample.shape)
phis = fit.get_drawset(params=['phi'])
self.assertEqual((2000, 2095), phis.shape)
phi1 = fit.get_drawset(params=['phi.1'])
self.assertEqual((2000, 1), phi1.shape)
mo_phis = fit.get_drawset(params=['phi.1', 'phi.10', 'phi.100'])
self.assertEqual((2000, 3), mo_phis.shape)
phi2095 = fit.get_drawset(params=['phi.2095'])
self.assertEqual((2000, 1), phi2095.shape)
with self.assertRaises(Exception):
fit.get_drawset(params=['phi.2096'])
with self.assertRaises(Exception):
fit.get_drawset(params=['ph'])
def test_validate_good_run(self):
# construct fit using existing sampler output
exe = os.path.join(DATAFILES_PATH, 'bernoulli' + EXTENSION)
jdata = os.path.join(DATAFILES_PATH, 'bernoulli.data.json')
sampler_args = SamplerArgs(iter_sampling=100,
max_treedepth=11,
adapt_delta=0.95)
cmdstan_args = CmdStanArgs(
model_name='bernoulli',
model_exe=exe,
chain_ids=[1, 2, 3, 4],
seed=12345,
data=jdata,
output_dir=DATAFILES_PATH,
method_args=sampler_args,
)
runset = RunSet(args=cmdstan_args)
runset._csv_files = [
os.path.join(DATAFILES_PATH, 'runset-good', 'bern-1.csv'),
os.path.join(DATAFILES_PATH, 'runset-good', 'bern-2.csv'),
os.path.join(DATAFILES_PATH, 'runset-good', 'bern-3.csv'),
os.path.join(DATAFILES_PATH, 'runset-good', 'bern-4.csv'),
]
self.assertEqual(4, runset.chains)
retcodes = runset._retcodes
for i in range(len(retcodes)):
runset._set_retcode(i, 0)
self.assertTrue(runset._check_retcodes())
fit = CmdStanMCMC(runset)
self.assertEqual(100, fit.num_draws)
self.assertEqual(len(BERNOULLI_COLS), len(fit.column_names))
self.assertEqual('lp__', fit.column_names[0])
drawset = fit.get_drawset()
self.assertEqual(
drawset.shape,
(fit.runset.chains * fit.num_draws, len(fit.column_names)),
)
summary = fit.summary()
self.assertIn('5%', list(summary.columns))
self.assertIn('50%', list(summary.columns))
self.assertIn('95%', list(summary.columns))
self.assertNotIn('1%', list(summary.columns))
self.assertNotIn('99%', list(summary.columns))
summary = fit.summary(percentiles=[1, 45, 99])
self.assertIn('1%', list(summary.columns))
self.assertIn('45%', list(summary.columns))
self.assertIn('99%', list(summary.columns))
self.assertNotIn('5%', list(summary.columns))
self.assertNotIn('50%', list(summary.columns))
self.assertNotIn('95%', list(summary.columns))
with self.assertRaises(ValueError):
fit.summary(percentiles=[])
with self.assertRaises(ValueError):
fit.summary(percentiles=[-1])
diagnostics = fit.diagnose()
self.assertIn('Treedepth satisfactory for all transitions.',
diagnostics)
self.assertIn('No divergent transitions found.', diagnostics)
self.assertIn('E-BFMI satisfactory for all transitions.', diagnostics)
self.assertIn('Effective sample size satisfactory.', diagnostics)
def generate_quantities(
self,
data: Union[Dict, str] = None,
mcmc_sample: Union[CmdStanMCMC, List[str]] = None,
seed: int = None,
gq_output_dir: str = None,
) -> CmdStanGQ:
"""
Run CmdStan's generate_quantities method which runs the generated
quantities block of a model given an existing sample.
This function takes a CmdStanMCMC object and the dataset used to
generate that sample and calls to the CmdStan ``generate_quantities``
method to generate additional quantities of interest.
The ``CmdStanGQ`` object records the command, the return code,
and the paths to the generate method output csv and console files.
The output files are written either to a specified output directory
or to a temporary directory which is deleted upon session exit.
Output filenames are composed of the model name, a timestamp
in the form 'YYYYMMDDhhmm' and the chain id, plus the corresponding
filetype suffix, either '.csv' for the CmdStan output or '.txt' for
the console messages, e.g. `bernoulli_ppc-201912081451-1.csv`. Output
files written to the temporary directory contain an additional
8-character random string, e.g.
`bernoulli_ppc-201912081451-1-5nm6as7u.csv`.
:param data: Values for all data variables in the model, specified
either as a dictionary with entries matching the data variables,
or as the path of a data file in JSON or Rdump format.
:param mcmc_sample: Can be either a ``CmdStanMCMC`` object returned by
the ``sample`` method or a list of stan-csv files generated
by fitting the model to the data using any Stan interface.
:param seed: The seed for random number generator. Must be an integer
between 0 and 2^32 - 1. If unspecified,
``numpy.random.RandomState()``
is used to generate a seed which will be used for all chains.
*NOTE: Specifying the seed will guarantee the same result for
multiple invocations of this method with the same inputs. However
this will not reproduce results from the sample method given
the same inputs because the RNG will be in a different state.*
:param gq_output_dir: Name of the directory in which the CmdStan output
files are saved. If unspecified, files will be written to a
temporary directory which is deleted upon session exit.
:return: CmdStanGQ object
"""
sample_csv_files = []
sample_drawset = None
chains = 0
if isinstance(mcmc_sample, CmdStanMCMC):
sample_csv_files = mcmc_sample.runset.csv_files
sample_drawset = mcmc_sample.get_drawset()
chains = mcmc_sample.chains
elif isinstance(mcmc_sample, list):
sample_csv_files = mcmc_sample
else:
raise ValueError('MCMC sample must be either CmdStanMCMC object'
' or list of paths to sample csv_files.')
try:
chains = len(sample_csv_files)
if sample_drawset is None: # assemble sample from csv files
config = {}
# scan 1st csv file to get config
try:
config = scan_sampler_csv(sample_csv_files[0])
except ValueError:
config = scan_sampler_csv(sample_csv_files[0], True)
conf_iter_sampling = None
if 'num_samples' in config:
conf_iter_sampling = int(config['num_samples'])
conf_iter_warmup = None
if 'num_warmup' in config:
conf_iter_warmup = int(config['num_warmup'])
conf_thin = None
if 'thin' in config:
conf_thin = int(config['thin'])
sampler_args = SamplerArgs(
iter_sampling=conf_iter_sampling,
iter_warmup=conf_iter_warmup,
thin=conf_thin,
)
args = CmdStanArgs(
self._name,
self._exe_file,
chain_ids=[x + 1 for x in range(chains)],
method_args=sampler_args,
)
runset = RunSet(args=args, chains=chains)
runset._csv_files = sample_csv_files
sample_fit = CmdStanMCMC(runset)
sample_drawset = sample_fit.get_drawset()
except ValueError as e:
raise ValueError('Invalid mcmc_sample, error:\n\t{}\n\t'
' while processing files\n\t{}'.format(
repr(e), '\n\t'.join(sample_csv_files)))
generate_quantities_args = GenerateQuantitiesArgs(
csv_files=sample_csv_files)
generate_quantities_args.validate(chains)
with MaybeDictToFilePath(data, None) as (_data, _inits):
args = CmdStanArgs(
self._name,
self._exe_file,
chain_ids=[x + 1 for x in range(chains)],
data=_data,
seed=seed,
output_dir=gq_output_dir,
method_args=generate_quantities_args,
)
runset = RunSet(args=args, chains=chains)
cores_avail = cpu_count()
cores = max(min(cores_avail - 2, chains), 1)
with ThreadPoolExecutor(max_workers=cores) as executor:
for i in range(chains):
executor.submit(self._run_cmdstan, runset, i)
if not runset._check_retcodes():
msg = 'Error during generate_quantities'
for i in range(chains):
if runset._retcode(i) != 0:
msg = '{}, chain {} returned error code {}'.format(
msg, i, runset._retcode(i))
raise RuntimeError(msg)
quantities = CmdStanGQ(runset=runset, mcmc_sample=sample_drawset)
return quantities
def generate_quantities(
self,
data: Union[Dict, str] = None,
mcmc_sample: Union[CmdStanMCMC, List[str]] = None,
seed: int = None,
gq_csv_basename: str = None,
) -> CmdStanGQ:
"""
Wrapper for generated quantities call. Given a CmdStanMCMC object
containing a sample from the fitted model, along with the
corresponding dataset for that fit, run just the generated quantities
block of the model in order to get additional quantities of interest.
:param data: Values for all data variables in the model, specified
either as a dictionary with entries matching the data variables,
or as the path of a data file in JSON or Rdump format.
:param mcmc_sample: Can be either a CmdStanMCMC object returned by
CmdStanPy's `sample` method or a list of stan-csv files generated
by fitting the model to the data using any Stan interface.
:param seed: The seed for random number generator. Must be an integer
between ``0`` and ``2^32 - 1``. If unspecified,
``numpy.random.RandomState()``
is used to generate a seed which will be used for all chains.
*NOTE: Specifying the seed will guarantee the same result for
multiple invocations of this method with the same inputs. However
this will not reproduce results from the sample method given
the same inputs because the RNG will be in a different state.*
:param gq_csv_basename: A path or file name which will be used as the
basename for the sampler output files. The csv output files
for each chain are written to file ``<basename>-<chain_id>.csv``
and the console output and error messages are written to file
``<basename>-<chain_id>.txt``.
:return: CmdStanGQ object
"""
sample_csv_files = []
sample_drawset = None
chains = 0
if isinstance(mcmc_sample, CmdStanMCMC):
sample_csv_files = mcmc_sample.runset.csv_files
sample_drawset = mcmc_sample.get_drawset()
chains = mcmc_sample.chains
elif isinstance(mcmc_sample, list):
sample_csv_files = mcmc_sample
else:
raise ValueError(
'mcmc_sample must be either CmdStanMCMC object'
' or list of paths to sample csv_files'
)
try:
chains = len(sample_csv_files)
if sample_drawset is None: # assemble sample from csv files
sampler_args = SamplerArgs()
args = CmdStanArgs(
self._name,
self._exe_file,
chain_ids=[x + 1 for x in range(chains)],
method_args=sampler_args,
)
runset = RunSet(args=args, chains=chains)
runset._csv_files = sample_csv_files
sample_fit = CmdStanMCMC(runset)
sample_fit._validate_csv_files()
sample_drawset = sample_fit.get_drawset()
except ValueError as e:
raise ValueError(
'Invalid mcmc_sample, error:\n\t{}\n\t'
' while processing files\n\t{}'.format(
repr(e), '\n\t'.join(sample_csv_files))
)
generate_quantities_args = GenerateQuantitiesArgs(
csv_files=sample_csv_files
)
generate_quantities_args.validate(chains)
with MaybeDictToFilePath(data, None) as (_data, _inits):
args = CmdStanArgs(
self._name,
self._exe_file,
chain_ids=[x + 1 for x in range(chains)],
data=_data,
seed=seed,
output_basename=gq_csv_basename,
method_args=generate_quantities_args,
)
runset = RunSet(args=args, chains=chains)
cores_avail = cpu_count()
cores = max(min(cores_avail - 2, chains), 1)
with ThreadPoolExecutor(max_workers=cores) as executor:
for i in range(chains):
executor.submit(self._run_cmdstan, runset, i)
if not runset._check_retcodes():
msg = 'Error during generate_quantities'
for i in range(chains):
if runset._retcode(i) != 0:
msg = '{}, chain {} returned error code {}'.format(
msg, i, runset._retcode(i)
)
raise RuntimeError(msg)
quantities = CmdStanGQ(runset=runset, mcmc_sample=sample_drawset)
quantities._set_attrs_gq_csv_files(sample_csv_files[0])
return quantities