def test_studentT_likelihood(
mu_sigma_nu: Tuple[float, float, float], hybridize: bool
) -> None:
'''
Test to check that maximizing the likelihood recovers the parameters
'''
# test instance
mu, sigma, nu = mu_sigma_nu
# generate samples
mus = mx.nd.zeros((NUM_SAMPLES, 1)) + mu
sigmas = mx.nd.zeros((NUM_SAMPLES, 1)) + sigma
nus = mx.nd.zeros((NUM_SAMPLES, 1)) + nu
distr = StudentT(mus, sigmas, nus)
samples = distr.sample()
# nu takes very long to learn, so we initialize it at the true value.
# transform used is softplus(x) + 2
init_bias = [
mu - START_TOL_MULTIPLE * TOL * mu,
inv_softplus(sigma - START_TOL_MULTIPLE * TOL * sigma),
inv_softplus(nu - 2),
]
mu_hat, sigma_hat, nu_hat = maximum_likelihood_estimate_sgd(
StudentTOutput(),
samples,
init_biases=init_bias,
hybridize=hybridize,
num_epochs=PositiveInt(10),
learning_rate=1e-2,
)
assert (
np.abs(mu_hat - mu) < TOL * mu
), f"mu did not match: mu = {mu}, mu_hat = {mu_hat}"
assert (
np.abs(sigma_hat - sigma) < TOL * sigma
), f"sigma did not match: sigma = {sigma}, sigma_hat = {sigma_hat}"
assert (
np.abs(nu_hat - nu) < TOL * nu
), "nu0 did not match: nu0 = %s, nu_hat = %s" % (nu, nu_hat)
def test_shape():
"""
Makes sure additional tensors can be accessed and have expected shapes
"""
prediction_length = ds_info.prediction_length
estimator = DeepAREstimator(
freq=freq,
prediction_length=prediction_length,
trainer=Trainer(epochs=1, num_batches_per_epoch=1),
distr_output=StudentTOutput(),
)
training_transformation, trained_net = estimator.train_model(train_ds)
# todo adapt loader to anomaly detection use-case
batch_size = 2
training_data_loader = TrainDataLoader(
dataset=train_ds,
transform=training_transformation,
batch_size=batch_size,
num_batches_per_epoch=estimator.trainer.num_batches_per_epoch,
ctx=mx.cpu(),
)
seq_len = 2 * ds_info.prediction_length
for data_entry in islice(training_data_loader, 1):
input_names = get_hybrid_forward_input_names(trained_net)
loss, likelihoods, *distr_args = trained_net(
*[data_entry[k] for k in input_names])
distr = StudentT(*distr_args)
assert likelihoods.shape == (batch_size, seq_len)
assert distr.mu.shape == (batch_size, seq_len)
assert distr.sigma.shape == (batch_size, seq_len)
assert distr.nu.shape == (batch_size, seq_len)
[
(
Gaussian(
mu=mx.nd.zeros(shape=SHAPE),
sigma=1e-3 + 0.2 * mx.nd.ones(shape=SHAPE),
),
Gaussian(
mu=mx.nd.ones(shape=SHAPE),
sigma=1e-3 + 0.1 * mx.nd.ones(shape=SHAPE),
),
0.2 * mx.nd.ones(shape=SHAPE),
),
(
StudentT(
mu=mx.nd.ones(shape=SHAPE),
sigma=1e-1 + mx.nd.zeros(shape=SHAPE),
nu=mx.nd.zeros(shape=SHAPE) + 2.2,
),
Gaussian(
mu=-mx.nd.ones(shape=SHAPE),
sigma=1e-1 + mx.nd.zeros(shape=SHAPE),
),
mx.nd.random_uniform(shape=SHAPE),
),
# TODO: add a multivariate case here
],
)
def test_mixture(
distr1: Distribution, distr2: Distribution, p: Tensor
) -> None:
[
(
Gaussian(
mu=mx.nd.zeros(shape=(3, 4, 5)),
sigma=1e-3 + 0.2 * mx.nd.ones(shape=(3, 4, 5)),
),
Gaussian(
mu=mx.nd.ones(shape=(3, 4, 5)),
sigma=1e-3 + 0.1 * mx.nd.ones(shape=(3, 4, 5)),
),
0.2 * mx.nd.ones(shape=(3, 4, 5)),
),
(
StudentT(
mu=mx.nd.ones(shape=(3, 4, 5)),
sigma=1e-1 + mx.nd.zeros(shape=(3, 4, 5)),
nu=mx.nd.ones(shape=(3, 4, 5)),
),
Gaussian(
mu=-mx.nd.ones(shape=(3, 4, 5)),
sigma=1e-1 + mx.nd.zeros(shape=(3, 4, 5)),
),
mx.nd.random_uniform(shape=(3, 1, 5)),
),
# TODO: add a multivariate case here
],
)
def test_mixture(
distr1: Distribution, distr2: Distribution, p: Tensor
) -> None:
),
Gaussian(
mu=mx.nd.zeros(shape=BATCH_SHAPE),
sigma=mx.nd.ones(shape=BATCH_SHAPE),
),
Gamma(
alpha=mx.nd.ones(shape=BATCH_SHAPE),
beta=mx.nd.ones(shape=BATCH_SHAPE),
),
Beta(
alpha=0.5 * mx.nd.ones(shape=BATCH_SHAPE),
beta=0.5 * mx.nd.ones(shape=BATCH_SHAPE),
),
StudentT(
mu=mx.nd.zeros(shape=BATCH_SHAPE),
sigma=mx.nd.ones(shape=BATCH_SHAPE),
nu=mx.nd.ones(shape=BATCH_SHAPE),
),
Dirichlet(alpha=mx.nd.ones(shape=BATCH_SHAPE)),
Laplace(
mu=mx.nd.zeros(shape=BATCH_SHAPE), b=mx.nd.ones(shape=BATCH_SHAPE)
),
NegativeBinomial(
mu=mx.nd.zeros(shape=BATCH_SHAPE),
alpha=mx.nd.ones(shape=BATCH_SHAPE),
),
Poisson(rate=mx.nd.ones(shape=BATCH_SHAPE)),
Uniform(
low=-mx.nd.ones(shape=BATCH_SHAPE),
high=mx.nd.ones(shape=BATCH_SHAPE),
),
