def print_results(coef: jnp.ndarray, interval_size: float = 0.95) -> None:
"""
Print the confidence interval for the effect size with interval_size
probability mass.
"""
baseline_response = expit(coef[:, 0])
response_with_calls = expit(coef[:, 0] + coef[:, 1])
impact_on_probability = hpdi(response_with_calls - baseline_response,
prob=interval_size)
effect_of_gender = hpdi(coef[:, 2], prob=interval_size)
print(
f"There is a {interval_size * 100}% probability that calling customers "
"increases the chance they'll make a purchase by "
f"{(100 * impact_on_probability[0]):.2} to {(100 * impact_on_probability[1]):.2} percentage points."
)
print(
f"There is a {interval_size * 100}% probability the effect of gender on the log odds of conversion "
f"lies in the interval ({effect_of_gender[0]:.2}, {effect_of_gender[1]:.2f})."
" Since this interval contains 0, we can conclude gender does not impact the conversion rate."
)
def _save_results(
x: jnp.ndarray,
prior_samples: Dict[str, jnp.ndarray],
posterior_samples: Dict[str, jnp.ndarray],
posterior_predictive: Dict[str, jnp.ndarray],
num_train: int,
) -> None:
root = pathlib.Path("./data/seasonal")
root.mkdir(exist_ok=True)
jnp.savez(root / "piror_samples.npz", **prior_samples)
jnp.savez(root / "posterior_samples.npz", **posterior_samples)
jnp.savez(root / "posterior_predictive.npz", **posterior_predictive)
x_pred = posterior_predictive["x"]
x_pred_trn = x_pred[:, :num_train]
x_hpdi_trn = diagnostics.hpdi(x_pred_trn)
t_train = np.arange(num_train)
x_pred_tst = x_pred[:, num_train:]
x_hpdi_tst = diagnostics.hpdi(x_pred_tst)
num_test = x_pred_tst.shape[1]
t_test = np.arange(num_train, num_train + num_test)
prop_cycle = plt.rcParams["axes.prop_cycle"]
colors = prop_cycle.by_key()["color"]
plt.figure(figsize=(12, 6))
plt.plot(x.ravel(), label="ground truth", color=colors[0])
plt.plot(t_train,
x_pred_trn.mean(0)[:, 0],
label="prediction",
color=colors[1])
plt.fill_between(t_train,
x_hpdi_trn[0, :, 0, 0],
x_hpdi_trn[1, :, 0, 0],
alpha=0.3,
color=colors[1])
plt.plot(t_test,
x_pred_tst.mean(0)[:, 0],
label="forecast",
color=colors[2])
plt.fill_between(t_test,
x_hpdi_tst[0, :, 0, 0],
x_hpdi_tst[1, :, 0, 0],
alpha=0.3,
color=colors[2])
plt.ylim(x.min() - 0.5, x.max() + 0.5)
plt.legend()
plt.tight_layout()
plt.savefig(root / "prediction.png")
plt.close()
def _save_results(
x: jnp.ndarray,
prior_samples: Dict[str, jnp.ndarray],
posterior_samples: Dict[str, jnp.ndarray],
posterior_predictive: Dict[str, jnp.ndarray],
) -> None:
root = pathlib.Path("./data/kalman")
root.mkdir(exist_ok=True)
jnp.savez(root / "piror_samples.npz", **prior_samples)
jnp.savez(root / "posterior_samples.npz", **posterior_samples)
jnp.savez(root / "posterior_predictive.npz", **posterior_predictive)
len_train = x.shape[0]
x_pred_trn = posterior_predictive["x"][:, :len_train]
x_hpdi_trn = diagnostics.hpdi(x_pred_trn)
x_pred_tst = posterior_predictive["x"][:, len_train:]
x_hpdi_tst = diagnostics.hpdi(x_pred_tst)
len_test = x_pred_tst.shape[1]
prop_cycle = plt.rcParams["axes.prop_cycle"]
colors = prop_cycle.by_key()["color"]
plt.figure(figsize=(12, 6))
plt.plot(x.ravel(), label="ground truth", color=colors[0])
t_train = np.arange(len_train)
plt.plot(t_train,
x_pred_trn.mean(0).ravel(),
label="prediction",
color=colors[1])
plt.fill_between(t_train,
x_hpdi_trn[0].ravel(),
x_hpdi_trn[1].ravel(),
alpha=0.3,
color=colors[1])
t_test = np.arange(len_train, len_train + len_test)
plt.plot(t_test,
x_pred_tst.mean(0).ravel(),
label="forecast",
color=colors[2])
plt.fill_between(t_test,
x_hpdi_tst[0].ravel(),
x_hpdi_tst[1].ravel(),
alpha=0.3,
color=colors[2])
plt.legend()
plt.tight_layout()
plt.savefig(root / "kalman.png")
plt.close()
def moments(self):
if self._moments is None:
mean = onp.mean(self.trace, axis=0)[..., None]
hpdi_0, hpdi_1 = hpdi(self.trace, prob=self.alpha)
names, values = ['lower', 'mean', 'upper'], [hpdi_0, mean, hpdi_1]
self._moments = dict(zip(names, values))
return self._moments
def plot_results(
time_series: np.ndarray,
y: np.ndarray,
posterior_samples: Dict[str, jnp.ndarray],
posterior_predictive: Dict[str, jnp.ndarray],
test_index: int,
root: pathlib.Path,
) -> None:
forecast_marginal = posterior_predictive["y_forecast"]
y_pred = jnp.mean(forecast_marginal, axis=0)
smape = jnp.mean(jnp.abs(y_pred - y) / (y_pred + y)) * 200
msqrt = jnp.sqrt(jnp.mean((y_pred - y)**2))
hpd_low, hpd_high = hpdi(forecast_marginal)
plt.figure(figsize=(8, 4))
plt.plot(time_series, y)
plt.plot(time_series, y_pred, lw=2)
plt.fill_between(time_series, hpd_low, hpd_high, alpha=0.3)
plt.title(
f"Forecasting lynx dataset with SGT (sMAPE: {smape:.2f}, RMSE: {msqrt:.2f})"
)
plt.tight_layout()
plt.savefig(root / "plot.png")
plt.close()
def sample_posterior_predictive(
self,
df: pd.DataFrame,
hdpi: bool = False,
hdpi_interval: float = 0.9,
rng_key: np.ndarray = None,
) -> typing.Union[pd.Series, pd.DataFrame]:
"""Obtain samples from the posterior predictive.
Parameters
----------
df : pd.DataFrame
Source dataframe.
hdpi : bool
Option to include lower/upper bound of the highest posterior density
interval. Returns a dataframe if true, a series if false. Default False.
hdpi_interval : float
HDPI width. Default 0.9.
rng_key : two-element ndarray.
Optional rng key, will be randomly splitted if not provided.
Returns
-------
pd.Series or pd.DataFrame
Forecasts. Will be a series with the name of the dv if no HDPI. Will be a
dataframe if HDPI is included.
"""
# get rng key
rng_key_ = (self.split_rand_key()
if rng_key is None else rng_key.astype("uint32"))
# check for nulls
null_cols = columns_with_null_data(self.transform(df))
if null_cols:
raise exceptions.NullDataFound(*null_cols)
# do it
predictions = infer.Predictive(self.model,
self.samples_flat)(rng_key_,
df=df)[self.dv]
if not hdpi:
return pd.Series(predictions.mean(axis=0),
index=df.index,
name=self.dv)
hdpi = diagnostics.hpdi(predictions, hdpi_interval)
return pd.DataFrame(
{
self.dv: predictions.mean(axis=0),
"hdpi_lower": hdpi[0, :],
"hdpi_upper": hdpi[1, :],
},
index=df.index,
)
def _save_results(
y: np.ndarray,
mcmc: infer.MCMC,
prior: Dict[str, jnp.ndarray],
posterior_samples: Dict[str, jnp.ndarray],
posterior_predictive: Dict[str, jnp.ndarray],
*,
var_names: Optional[List[str]] = None,
) -> None:
root = pathlib.Path("./data/boston_pca_reg")
root.mkdir(exist_ok=True)
jnp.savez(root / "posterior_samples.npz", **posterior_samples)
jnp.savez(root / "posterior_predictive.npz", **posterior_predictive)
# Arviz
numpyro_data = az.from_numpyro(
mcmc,
prior=prior,
posterior_predictive=posterior_predictive,
)
az.plot_trace(numpyro_data, var_names=var_names)
plt.savefig(root / "trace.png")
plt.close()
az.plot_ppc(numpyro_data)
plt.legend(loc="upper right")
plt.savefig(root / "ppc.png")
plt.close()
# Prediction
y_pred = posterior_predictive["y"]
y_hpdi = diagnostics.hpdi(y_pred)
train_len = int(len(y) * 0.8)
prop_cycle = plt.rcParams["axes.prop_cycle"]
colors = prop_cycle.by_key()["color"]
plt.figure(figsize=(12, 6))
plt.plot(y, color=colors[0])
plt.plot(y_pred.mean(axis=0), color=colors[1])
plt.fill_between(np.arange(len(y)),
y_hpdi[0],
y_hpdi[1],
color=colors[1],
alpha=0.3)
plt.axvline(train_len, linestyle="--", color=colors[2])
plt.xlabel("Index [a.u.]")
plt.ylabel("Target [a.u.]")
plt.savefig(root / "prediction.png")
plt.close()
def main() -> None:
df = load_dataset()
rng_key = random.PRNGKey(0)
rng_key, rng_key_ = random.split(rng_key)
# Inference posterior
kernel = NUTS(model)
mcmc = MCMC(kernel, num_warmup=1000, num_samples=2000)
mcmc.run(rng_key_, marriage=df["MarriageScaled"].values, divorce=df["DivorceScaled"].values)
mcmc.print_summary()
samples_1 = mcmc.get_samples()
# Compute empirical posterior distribution
posterior_mu = (
jnp.expand_dims(samples_1["a"], -1)
+ jnp.expand_dims(samples_1["bM"], -1) * df["MarriageScaled"].values
)
mean_mu = jnp.mean(posterior_mu, axis=0)
hpdi_mu = hpdi(posterior_mu, 0.9)
print(mean_mu, hpdi_mu)
# Posterior predictive distribution
rng_key, rng_key_ = random.split(rng_key)
predictive = Predictive(model, samples_1)
predictions = predictive(rng_key_, marriage=df["MarriageScaled"].values)["obs"]
df["MeanPredictions"] = jnp.mean(predictions, axis=0)
print(df.head())
# Predictive utility with effect handlers
predict_fn = vmap(
lambda rng_key, samples: predict(
rng_key, samples, model, marriage=df["MarriageScaled"].values
)
)
predictions_1 = predict_fn(random.split(rng_key_, 2000), samples_1)
mean_pred = jnp.mean(predictions_1, axis=0)
print(mean_pred)
# Posterior predictive density
rng_key, rng_key_ = random.split(rng_key)
lpp_dns = log_pred_density(
rng_key_,
samples_1,
model,
marriage=df["MarriageScaled"].values,
divorce=df["DivorceScaled"].values,
)
print("Log posterior predictive density", lpp_dns)
def get_mean_and_ci(x, key_name, id_var, prob=0.9, axis=0):
mean_val = x.mean(axis=axis)
low_ci, up_ci = hpdi(x, prob=prob, axis=axis)
df = pd.DataFrame(mean_val)
df[id_var] = df.index.values
df_mean_long = pd.melt(df,
var_name=key_name,
value_name='mean_val',
id_vars=id_var)
multi_idx = pd.MultiIndex.from_frame(df_mean_long[[id_var, key_name]])
df_mean_long.index = multi_idx
df_mean_long.drop(columns=[key_name, id_var], inplace=True)
df = pd.DataFrame(low_ci)
df[id_var] = df.index.values
df_low_long = pd.melt(df,
var_name=key_name,
value_name='lower_cl',
id_vars=id_var)
df_low_long.index = multi_idx
df_low_long.drop(columns=[key_name, id_var], inplace=True)
df = pd.DataFrame(up_ci)
df[id_var] = df.index.values
df_up_long = pd.melt(df,
var_name=key_name,
value_name='upper_cl',
id_vars=id_var)
df_up_long.index = multi_idx
df_up_long.drop(columns=[key_name, id_var], inplace=True)
df = df_mean_long.join(df_low_long).join(df_up_long)
return df
def main(args):
# generate artifical dataset
rng_key, _ = random.split(random.PRNGKey(0))
T = args.T
t = jnp.linspace(0, T + args.future, (T + args.future) * N_POINTS_PER_UNIT)
y = jnp.sin(
2 * np.pi * t) + 0.3 * t + jax.random.normal(rng_key, t.shape) * 0.1
n_seasons = N_POINTS_PER_UNIT
y_train = y[:-args.future * N_POINTS_PER_UNIT]
t_test = t[-args.future * N_POINTS_PER_UNIT:]
# do inference
rng_key, _ = random.split(random.PRNGKey(1))
samples = run_inference(holt_winters, args, rng_key, y_train, n_seasons)
# do prediction
rng_key, _ = random.split(random.PRNGKey(2))
preds = predict(holt_winters, args, samples, rng_key, y_train, n_seasons)
mean_preds = preds.mean(axis=0)
hpdi_preds = hpdi(preds)
# make plots
fig, ax = plt.subplots(figsize=(8, 6), constrained_layout=True)
# plot true data and predictions
ax.plot(t, y, color="blue", label="True values")
ax.plot(t_test, mean_preds, color="orange", label="Mean predictions")
ax.fill_between(t_test,
*hpdi_preds,
color="orange",
alpha=0.2,
label="90% CI")
ax.set(xlabel="time",
ylabel="y",
title="Holt-Winters Exponential Smoothing")
ax.legend()
plt.savefig("holt_winters_plot.pdf")
def hpdi(self, param, which="posterior", *args, **kwargs):
return hpdi(self._select(which)[param], *args, **kwargs)
#mn=dist.MultivariateNormal(loc=ave, covariance_matrix=cov)
#key,subkey=random.split(key)
#mk = numpyro.sample('a',mn,rng_key=key)
try:
mk = smn(mean=ave, cov=cov, allow_singular=True).rvs(1).T
mkgp = smn(mean=gp, cov=cov, allow_singular=True).rvs(1).T
marrs_gp.append(mkgp)
marrs.append(mk)
except:
print("SMN not worked")
marrs = np.array(marrs)
marrs_gp = np.array(marrs_gp)
median_mu1 = np.median(marrs, axis=0)
hpdi_mu1 = hpdi(marrs, 0.9)
median_mu1_gp = np.median(marrs_gp, axis=0)
hpdi_mu1_gp = hpdi(marrs_gp, 0.9)
red = (1.0 + 28.07 / 300000.0) #for annotation
fig, ax = plt.subplots(nrows=1, ncols=1, figsize=(20, 6.0))
ax.plot(wavd1[::-1], median_mu1, color="C0")
ax.plot(wavd1[::-1], median_mu1_gp, color="C2")
ax.plot(wavd1[::-1], fobs1, "+", color="C1", label="data")
#annotation for some lines
ax.plot([22913.3 * red, 22913.3 * red], [0.6, 0.75], color="C0", lw=1)
ax.plot([22918.07 * red, 22918.07 * red], [0.6, 0.77], color="C1", lw=1)
ax.plot([22955.67 * red, 22955.67 * red], [0.6, 0.68], color="C2", lw=1)
num_warmup, num_samples = 500, 1000
#num_warmup, num_samples = 100, 300
kernel = NUTS(model_c, forward_mode_differentiation=True)
mcmc = MCMC(kernel, num_warmup=num_warmup, num_samples=num_samples)
mcmc.run(rng_key_, nu1=nusd1, y1=fobs1, e1=err1)
print("end HMC")
#Post-processing
posterior_sample = mcmc.get_samples()
np.savez("npz/savepos.npz", [posterior_sample])
pred = Predictive(model_c, posterior_sample, return_sites=["y1"])
nu_1 = nus1
predictions = pred(rng_key_, nu1=nu_1, y1=None, e1=err1)
median_mu1 = jnp.median(predictions["y1"], axis=0)
hpdi_mu1 = hpdi(predictions["y1"], 0.9)
np.savez("npz/saveplotpred.npz", [wavd1, fobs1, err1, median_mu1, hpdi_mu1])
red = (1.0 + 28.07 / 300000.0) #for annotation
fig, ax = plt.subplots(nrows=1, ncols=1, figsize=(20, 6.0))
ax.plot(wavd1[::-1], median_mu1, color="C0")
ax.plot(wavd1[::-1], fobs1, "+", color="C1", label="data")
#annotation for some lines
ax.plot([22913.3 * red, 22913.3 * red], [0.6, 0.75], color="C0", lw=1)
ax.plot([22918.07 * red, 22918.07 * red], [0.6, 0.77], color="C1", lw=1)
ax.plot([22955.67 * red, 22955.67 * red], [0.6, 0.68], color="C2", lw=1)
plt.text(22913.3 * red,
0.55,
"A",
color="C0",
columns=["Name", "Locus_tag", "gene_lookup"]).set_index('locus_tag'),
on='locus_tag')
#%%
for_gini = onp.zeros(samples['new_beta'].shape)
for i in range(for_gini.shape[0]):
for_gini[i, ...] = h.prep_for_gini(samples['new_beta'][i, ...])
#%%
gini_arr = onp.zeros((for_gini.shape[0], for_gini.shape[1]))
for i in range(gini_arr.shape[0]):
gini_arr[i, :] = h.gini(for_gini[i, :, :])
# %%
mean_gini = np.mean(gini_arr, axis=0)
gini_low, gini_up = hpdi(gini_arr, prob=0.9, axis=0)
gini_df = pd.DataFrame({
'mean_val': mean_gini,
'lower_cl': gini_low,
'upper_cl': gini_up,
'locus_tag': [k for k in gene_lookup.keys()]
})
gini_df['gene'] = gini_df.locus_tag.replace(locus_tag_lookup)
gini_df = gini_df.join(gene_info_df.set_index('locus_tag'),
on='locus_tag').drop(columns='Name')
gini_df = gini_df.sort_values('mean_val')
gini_df['x_vals'] = onp.arange(gini_df.shape[0])
# %%
ph.plot_ginis(gini_df)
kernel = NUTS(model)
mcmc = MCMC(kernel, num_warmup, num_samples, num_chains, progress_bar=True)
mcmc.run(rng_key_, X=X_train_processed,y_obs=y_train,ndims=ndims,ndata=ndata)
mcmc.print_summary()
samples_3 = mcmc.get_samples()
predictive = Predictive(model, samples_3)
predictions_3 = Predictive(model_se, samples_3)(rng_key_,
X=X_test_processed,
ndims=X_test_processed.shape[1],
ndata=X_test_processed.shape[0])['y']
residuals_4 = y_test - predictions_3
residuals_mean = np.mean(residuals_4, axis=0)
residuals_hpdi = hpdi(residuals_4, 0.9)
err = residuals_hpdi[1] - residuals_mean
fig, ax = plt.subplots(nrows=1, ncols=1)
# Plot Residuals
ax.errorbar(residuals_mean, y_test, xerr=err,
marker='o', ms=5, mew=4, ls='none', alpha=0.8)
rng_key = random.PRNGKey(0)
rng_key, rng_key_ = random.split(rng_key)
num_warmup, num_samples = 300, 600
kernel = NUTS(model_c, forward_mode_differentiation=True)
mcmc = MCMC(kernel, num_warmup=num_warmup, num_samples=num_samples)
mcmc.run(rng_key_, nu1=nusd, y1=nflux)
# SAMPLING
posterior_sample = mcmc.get_samples()
np.savez('npz/savepos.npz', [posterior_sample])
pred = Predictive(model_c, posterior_sample, return_sites=['y1'])
predictions = pred(rng_key_, nu1=nusd, y1=None)
median_mu1 = jnp.median(predictions['y1'], axis=0)
hpdi_mu1 = hpdi(predictions['y1'], 0.9)
err = np.ones_like(nflux)
np.savez('npz/saveplotpred.npz', [wavd, nflux, err, median_mu1, hpdi_mu1])
# PLOT
fig, ax = plt.subplots(nrows=1, ncols=1, figsize=(20, 6.0))
ax.plot(wavd[::-1], median_mu1, color='C0')
ax.plot(wavd[::-1], nflux, '+', color='black', label='data')
ax.fill_between(wavd[::-1],
hpdi_mu1[0],
hpdi_mu1[1],
alpha=0.3,
interpolate=True,
color='C0',
label='90% area')
def main():
# Ground truth values
ground_truth = {
'beta': [0.5, 0.5, 0.0, -0.1],
'z_init': [1, 2, 0, 1],
'tau': 0.2
}
sample = 2000
init = len(ground_truth['z_init'])
adj_sample = sample - init
epsilon = onp.concatenate([
onp.array(ground_truth['z_init']),
ground_truth['tau'] * onp.random.randn(adj_sample)
],
axis=0)
X = onp.random.randn(sample)
obs = onp.array(ar_signal(ground_truth['beta'], sample, epsilon))
test_sample = 1000
y_train, y_test = np.array(obs[:sample - test_sample],
dtype=np.float32), obs[sample - test_sample:]
data_ = {'obs': y_train, 'X': X, 'n_coefs': 4}
# Inference
num_samples = 5000
nuts_kernel = NUTS(ar_k)
mcmc = MCMC(nuts_kernel, num_warmup=500, num_samples=num_samples)
rng_key = random.PRNGKey(0)
mcmc.run(rng_key, **data_, extra_fields=('potential_energy', ))
mcmc.print_summary()
samples = mcmc.get_samples()
plot_inference(ground_truth, samples)
rng_keys = random.split(random.PRNGKey(3), samples["tau"].shape[0])
forecast_marginal = vmap(lambda rng_key, sample: forecast(
y_test.shape[0], rng_key, sample, y_train, data_['n_coefs']))(rng_keys,
samples)
y_pred = np.mean(forecast_marginal, axis=0)
sMAPE = np.mean(np.abs(y_pred - y_test) / (y_pred + y_test)) * 200
msqrt = np.sqrt(np.mean((y_pred - y_test)**2))
print("sMAPE: {:.2f}, rmse: {:.2f}".format(sMAPE, msqrt))
plt.figure(figsize=(8, 4))
plt.plot(range(sample), obs)
t_future = range(sample - test_sample, sample)
hpd_low, hpd_high = hpdi(forecast_marginal, prob=0.95)
plt.plot(t_future, y_pred, lw=2)
plt.fill_between(t_future, hpd_low, hpd_high, alpha=0.3)
plt.title("Forecasting AR model (90% HPDI)")
plt.show()
pass
from exojax.spec import rtransfer as rt
#ATMOSPHERE
NP = 100
Parr, dParr, k = rt.pressure_layer(NP=NP)
T0 = 1295.0 #K
alpha = 0.099
Tarrc = T0 * (Parr)**alpha
p = np.load("npz/savepos.npz", allow_pickle=True)["arr_0"][0]
Tsample = p["Tarr"]
T0sample = p["T0"]
from numpyro.diagnostics import hpdi
mean_muy = jnp.mean(Tsample * T0, axis=0)
hpdi_muy = hpdi(Tsample + T0sample[:, None], 0.90, axis=0)
fig = plt.figure(figsize=(5, 7))
for i in range(0, np.shape(Tsample)[0]):
T0 = T0sample[i]
Tarr = Tsample[i, :]
plt.plot(Tarr + T0, Parr, alpha=0.05, color="green", rasterized=True)
plt.plot(Tarrc,
Parr,
alpha=1.0,
color="black",
lw=1,
label="best-fit power law")
#plt.fill_betweenx(Parr, hpdi_muy[0], hpdi_muy[1], alpha=0.3, interpolate=True,color="C0")
# Predictions for Model 3.
rng_key, rng_key_ = random.split(rng_key)
predictions_3 = Predictive(model, samples_3)(rng_key_,
marriage=dset.MarriageScaled.values,
age=dset.AgeScaled.values)['obs']
y = np.arange(50)
fig, ax = plt.subplots(nrows=1, ncols=2, figsize=(12, 16))
pred_mean = np.mean(predictions_3, axis=0)
pred_hpdi = hpdi(predictions_3, 0.9)
residuals_3 = dset.DivorceScaled.values - predictions_3
residuals_mean = np.mean(residuals_3, axis=0)
residuals_hpdi = hpdi(residuals_3, 0.9)
idx = np.argsort(residuals_mean)
# Plot posterior predictive
ax[0].plot(np.zeros(50), y, '--')
ax[0].errorbar(pred_mean[idx], y, xerr=pred_hpdi[1, idx] - pred_mean[idx],
marker='o', ms=5, mew=4, ls='none', alpha=0.8)
ax[0].plot(dset.DivorceScaled.values[idx], y, marker='o',
ls='none', color='gray')
ax[0].set(xlabel='Posterior Predictive (red) vs. Actuals (gray)', ylabel='State',
title='Posterior Predictive with 90% CI')
ax[0].set_yticks(y)
ax[0].set_yticklabels(dset.Loc.values[idx], fontsize=10);
def hpdi(self, param, *args, **kwargs):
"""Returns the highest predictive density interval of param."""
return hpdi(self.dist(param, *args), **kwargs)
def test_hpdi():
x = np.random.normal(size=20000)
assert_allclose(hpdi(x, prob=0.8), np.quantile(x, [0.1, 0.9]), atol=0.01)
x = np.random.exponential(size=20000)
assert_allclose(hpdi(x, prob=0.2), np.array([0.0, 0.22]), atol=0.01)
def _save_results(
x: jnp.ndarray,
betas: jnp.ndarray,
prior_samples: Dict[str, jnp.ndarray],
posterior_samples: Dict[str, jnp.ndarray],
posterior_predictive: Dict[str, jnp.ndarray],
num_train: int,
) -> None:
root = pathlib.Path("./data/dlm")
root.mkdir(exist_ok=True)
jnp.savez(root / "piror_samples.npz", **prior_samples)
jnp.savez(root / "posterior_samples.npz", **posterior_samples)
jnp.savez(root / "posterior_predictive.npz", **posterior_predictive)
x_pred = posterior_predictive["x"]
x_pred_trn = x_pred[:, :num_train]
x_hpdi_trn = diagnostics.hpdi(x_pred_trn)
t_train = np.arange(num_train)
x_pred_tst = x_pred[:, num_train:]
x_hpdi_tst = diagnostics.hpdi(x_pred_tst)
num_test = x_pred_tst.shape[1]
t_test = np.arange(num_train, num_train + num_test)
t_axis = np.arange(num_train + num_test)
w_pred = posterior_predictive["weight"]
w_hpdi = diagnostics.hpdi(w_pred)
prop_cycle = plt.rcParams["axes.prop_cycle"]
colors = prop_cycle.by_key()["color"]
beta_dim = betas.shape[-1]
plt.figure(figsize=(8, 12))
for i in range(beta_dim + 1):
plt.subplot(beta_dim + 1, 1, i + 1)
if i == 0:
plt.plot(x[:, 0], label="ground truth", color=colors[0])
plt.plot(t_train,
x_pred_trn.mean(0)[:, 0],
label="prediction",
color=colors[1])
plt.fill_between(t_train,
x_hpdi_trn[0, :, 0, 0],
x_hpdi_trn[1, :, 0, 0],
alpha=0.3,
color=colors[1])
plt.plot(t_test,
x_pred_tst.mean(0)[:, 0],
label="forecast",
color=colors[2])
plt.fill_between(t_test,
x_hpdi_tst[0, :, 0, 0],
x_hpdi_tst[1, :, 0, 0],
alpha=0.3,
color=colors[2])
plt.title("ground truth", fontsize=16)
else:
plt.plot(betas[:, 0, i - 1], label="ground truth", color=colors[0])
plt.plot(t_axis,
w_pred.mean(0)[:, i - 1],
label="prediction",
color=colors[1])
plt.fill_between(t_axis,
w_hpdi[0, :, i - 1, 0],
w_hpdi[1, :, i - 1, 0],
alpha=0.3,
color=colors[1])
plt.title(f"coef_{i - 1}", fontsize=16)
plt.legend(loc="upper left")
plt.tight_layout()
plt.savefig(root / "prediction.png")
plt.close()
