def test_Inference(self):
# ===== Distributions ===== #
dist = Normal(0., 1.)
mvn = Independent(Normal(torch.zeros(2), torch.ones(2)), 1)
# ===== Define model ===== #
linear = AffineProcess((f, g), (1., 0.25), dist, dist)
model = LinearGaussianObservations(linear, scale=0.1)
mv_linear = AffineProcess((fmvn, gmvn), (0.5, 0.25), mvn, mvn)
mvnmodel = LinearGaussianObservations(mv_linear, torch.eye(2), scale=0.1)
# ===== Test for multiple models ===== #
priors = Exponential(1.), LogNormal(0., 1.)
hidden1d = AffineProcess((f, g), priors, dist, dist)
oned = LinearGaussianObservations(hidden1d, 1., scale=0.1)
hidden2d = AffineProcess((fmvn, gmvn), priors, mvn, mvn)
twod = LinearGaussianObservations(hidden2d, torch.eye(2), scale=0.1 * torch.ones(2))
particles = 1000
# ====== Run inference ===== #
for trumod, model in [(model, oned), (mvnmodel, twod)]:
x, y = trumod.sample_path(1000)
algs = [
(NESS, {'particles': particles, 'filter_': APF(model.copy(), 200)}),
(NESS, {'particles': particles, 'filter_': UKF(model.copy())}),
(SMC2, {'particles': particles, 'filter_': APF(model.copy(), 200)}),
(SMC2FW, {'particles': particles, 'filter_': APF(model.copy(), 200)}),
(NESSMC2, {'particles': particles, 'filter_': APF(model.copy(), 200)})
]
for alg, props in algs:
alg = alg(**props).initialize()
alg = alg.fit(y)
w = normalize(alg._w_rec if hasattr(alg, '_w_rec') else torch.ones(particles))
tru_params = trumod.hidden.theta._cont + trumod.observable.theta._cont
inf_params = alg.filter.ssm.hidden.theta._cont + alg.filter.ssm.observable.theta._cont
for trup, p in zip(tru_params, inf_params):
if not p.trainable:
continue
kde = p.get_kde(weights=w)
transed = p.bijection.inv(trup)
densval = kde.logpdf(transed.numpy().reshape(-1, 1))
priorval = p.distr.log_prob(trup)
assert (densval > priorval.numpy()).all()
def test_BatchedParameter(self):
norm = DistributionWrapper(Normal, loc=0.0, scale=1.0)
shape = 1000, 100
a = torch.ones((shape[0], 1))
init = DistributionWrapper(Normal, loc=a, scale=1.0)
linear = AffineProcess((f, g), (a, 1.0), init, norm)
# ===== Initialize ===== #
x = linear.i_sample(shape)
self.assert_timeseries_sampling(100, linear, x, shape)
def test_UnscentedTransform2D(self):
# ===== 2D model ===== #
mat = torch.eye(2)
scale = torch.diag(mat)
norm = DistributionWrapper(Normal, loc=0.0, scale=1.0)
mvn = DistributionWrapper(MultivariateNormal,
loc=torch.zeros(2),
covariance_matrix=torch.eye(2))
mvnlinear = AffineProcess((fmvn, g), (mat, scale), mvn, mvn)
mvnoblinear = AffineObservations((fomvn, gomvn), (1.0, ), norm)
mvnmodel = StateSpaceModel(mvnlinear, mvnoblinear)
# ===== Perform unscented transform ===== #
uft = UnscentedFilterTransform(mvnmodel)
res = uft.initialize(3000)
p = uft.predict(res)
c = uft.correct(torch.tensor(0.0), p, res)
assert isinstance(
c.x_dist(),
MultivariateNormal) and c.x_dist().mean.shape == torch.Size(
[3000, 2])
def make_model(prob, dim=1):
if prob:
parameters = Prior(Exponential, rate=1.0), Prior(LogNormal,
loc=0.0,
scale=1.0)
else:
parameters = (0.99, 0.25) if dim == 1 else (0.5, 0.25)
obs_param = dict()
if dim == 1:
dist = DistributionWrapper(Normal, loc=0.0, scale=1.0)
obs_param["a"] = 1.0
obs_param["scale"] = 0.1
func = (f, g)
else:
dist = DistributionWrapper(lambda **u: Independent(Normal(**u), 1),
loc=torch.zeros(2),
scale=torch.ones(2))
obs_param["a"] = torch.eye(2)
obs_param["scale"] = 0.1 * torch.ones(2)
func = (fmvn, gmvn)
hidden = AffineProcess(func, parameters, dist, dist)
return LinearGaussianObservations(hidden, **obs_param)
def test_LoadModule(self):
def f(x_, alpha, sigma):
return alpha * x_
def g(x_, alpha, sigma):
return sigma
norm = DistributionWrapper(Normal, loc=0.0, scale=1.0)
linear = AffineProcess((f, g), (1.0, 1.0), norm, norm)
model = LinearGaussianObservations(linear, 1.0, 1.0)
x, y = model.sample_path(100)
filt = SISR(model, 200)
res = filt.longfilter(y)
filt2 = SISR(model, 300)
filt2.load_state_dict(filt.state_dict())
self.assertTrue(filt2.particles[0] == 200)
res2 = FilterResult(filt2.initialize())
res2.load_state_dict(res.state_dict())
self.assertTrue((res2.filter_means == res.filter_means).all())
def test_MultiDimensional(self):
mu = torch.zeros(2)
scale = torch.ones_like(mu)
shape = 1000, 100
mvn = Independent(Normal(mu, scale), 1)
mvn = AffineProcess((f, g), (1., 1.), mvn, mvn)
# ===== Initialize ===== #
x = mvn.i_sample(shape)
# ===== Propagate ===== #
num = 100
samps = [x]
for t in range(num):
samps.append(mvn.propagate(samps[-1]))
samps = torch.stack(samps)
self.assertEqual(samps.size(), torch.Size([num + 1, *shape,
*mu.shape]))
# ===== Sample path ===== #
path = mvn.sample_path(num + 1, shape)
self.assertEqual(samps.shape, path.shape)
def test_LinearNoBatch(self):
norm = Normal(0., 1.)
linear = AffineProcess((f, g), (1., 1.), norm, norm)
# ===== Initialize ===== #
x = linear.i_sample()
# ===== Propagate ===== #
num = 100
samps = [x]
for t in range(num):
samps.append(linear.propagate(samps[-1]))
samps = torch.stack(samps)
self.assertEqual(samps.size(), torch.Size([num + 1]))
# ===== Sample path ===== #
path = linear.sample_path(num + 1)
self.assertEqual(samps.shape, path.shape)
def test_UnscentedTransform1D(self):
# ===== 1D model ===== #
norm = Normal(0., 1.)
linear = AffineProcess((f, g), (1., 1.), norm, norm)
linearobs = AffineObservations((fo, go), (1., 1.), norm)
model = StateSpaceModel(linear, linearobs)
# ===== Perform unscented transform ===== #
x = model.hidden.i_sample(shape=3000)
ut = UnscentedTransform(model).initialize(x).construct(0.)
assert isinstance(ut.x_dist, Normal)
def test_MultiDimensional(self):
mu = torch.zeros(2)
scale = torch.ones_like(mu)
shape = 1000, 100
mvn = DistributionWrapper(lambda **u: Independent(Normal(**u), 1), loc=mu, scale=scale)
mvn = AffineProcess((f, g), (1.0, 1.0), mvn, mvn)
# ===== Initialize ===== #
x = mvn.i_sample(shape)
# ===== Propagate ===== #
self.assert_timeseries_sampling(100, mvn, x, shape, (*shape, 2))
def test_BatchedParameter(self):
norm = Normal(0., 1.)
shape = 1000, 100
a = torch.ones((shape[0], 1))
init = Normal(a, 1.)
linear = AffineProcess((f, g), (a, 1.), init, norm)
# ===== Initialize ===== #
x = linear.i_sample(shape)
# ===== Propagate ===== #
num = 100
samps = [x]
for t in range(num):
samps.append(linear.propagate(samps[-1]))
samps = torch.stack(samps)
self.assertEqual(samps.size(), torch.Size([num + 1, *shape]))
# ===== Sample path ===== #
path = linear.sample_path(num + 1, shape)
self.assertEqual(samps.shape, path.shape)
def test_UnscentedTransform1D(self):
# ===== 1D model ===== #
norm = DistributionWrapper(Normal, loc=0.0, scale=1.0)
linear = AffineProcess((f, g), (1.0, 1.0), norm, norm)
linearobs = AffineObservations((fo, go), (1.0, 1.0), norm)
model = StateSpaceModel(linear, linearobs)
# ===== Perform unscented transform ===== #
uft = UnscentedFilterTransform(model)
res = uft.initialize(3000)
p = uft.predict(res)
c = uft.correct(torch.tensor(0.0), p, res)
assert isinstance(
c.x_dist(), Normal) and c.x_dist().mean.shape == torch.Size([3000])
def test_ParallellFiltersAndStability(self):
x, y = self.model.sample_path(50)
shape = 3000
linear = AffineProcess((f, g), (1., 1.), self.norm, self.norm)
self.model.hidden = linear
filt = SISR(self.model, 1000).set_nparallel(shape).initialize().longfilter(y)
filtermeans = filt.filtermeans
x = filtermeans[:, :1]
mape = ((x - filtermeans[:, 1:]) / x).abs()
assert mape.median(0)[0].max() < 0.05
def test_ParallelUnscented(self):
x, y = self.model.sample_path(50)
shape = 30
linear = AffineProcess((f, g), (1.0, 1.0), self.norm, self.norm)
self.model.hidden = linear
filt = SISR(self.model, 1000, proposal=prop.Unscented()).set_nparallel(shape)
result = filt.longfilter(y)
filtermeans = result.filter_means
x = filtermeans[:, :1]
mape = ((x - filtermeans[:, 1:]) / x).abs()
assert mape.median(0)[0].max() < 0.05
def test_Sample(self):
# ==== Hidden ==== #
norm = DistributionWrapper(Normal, loc=0.0, scale=1.0)
linear = AffineProcess((f, g), (1.0, 1.0), norm, norm)
# ==== Observable ===== #
obs = AffineObservations((fo, go), (1.0, 0.0), norm)
# ===== Model ===== #
mod = StateSpaceModel(linear, obs)
# ===== Sample ===== #
x, y = mod.sample_path(100)
diff = ((x - y)**2).mean().sqrt()
assert x.shape == y.shape and x.shape[0] == 100 and diff < 1e-3
def test_UnscentedTransform2D(self):
# ===== 2D model ===== #
mat = torch.eye(2)
scale = torch.diag(mat)
norm = Normal(0., 1.)
mvn = MultivariateNormal(torch.zeros(2), torch.eye(2))
mvnlinear = AffineProcess((fmvn, g), (mat, scale), mvn, mvn)
mvnoblinear = AffineObservations((fomvn, gomvn), (1., ), norm)
mvnmodel = StateSpaceModel(mvnlinear, mvnoblinear)
# ===== Perform unscented transform ===== #
x = mvnmodel.hidden.i_sample(shape=3000)
ut = UnscentedTransform(mvnmodel).initialize(x).construct(0.)
assert isinstance(ut.x_dist, MultivariateNormal) and isinstance(
ut.y_dist, Normal)
assert isinstance(ut.x_dist_indep, Independent)
def test_UnscentedTransform2D(self):
# ===== 2D model ===== #
mat = torch.eye(2)
scale = torch.diag(mat)
norm = Normal(0., 1.)
mvn = MultivariateNormal(torch.zeros(2), torch.eye(2))
mvnlinear = AffineProcess((fmvn, g), (mat, scale), mvn, mvn)
mvnoblinear = AffineObservations((fomvn, gomvn), (1., ), norm)
mvnmodel = StateSpaceModel(mvnlinear, mvnoblinear)
# ===== Perform unscented transform ===== #
uft = UnscentedFilterTransform(mvnmodel)
res = uft.initialize(3000)
p = uft.predict(res)
c = uft.correct(0., p)
assert isinstance(
c.x_dist(),
MultivariateNormal) and c.x_dist().mean.shape == torch.Size(
[3000, 2])
def test_StateDict(self):
# ===== Define model ===== #
norm = Normal(0., 1.)
linear = AffineProcess((f, g), (1., 1.), norm, norm)
linearobs = AffineObservations((fo, go), (1., 1.), norm)
model = StateSpaceModel(linear, linearobs)
# ===== Define filter ===== #
filt = SISR(model, 100).initialize()
# ===== Get statedict ===== #
sd = filt.state_dict()
# ===== Verify that we don't save multiple instances ===== #
assert '_model' in sd and '_model' not in sd['_proposal']
newfilt = SISR(model, 1000).load_state_dict(sd)
assert newfilt._w_old is not None and newfilt.ssm is newfilt._proposal._model
# ===== Test same with UKF and verify that we save UT ===== #
ukf = UKF(model).initialize()
sd = ukf.state_dict()
assert '_model' in sd and '_model' not in sd['_ut']
class Tests(unittest.TestCase):
# ===== Simple 1D model ===== #
norm = Normal(0., 1.)
linear = AffineProcess((f, g), (1., 1.), norm, norm)
model = LinearGaussianObservations(linear, 1., 1.)
# ===== Simple 2D model ===== #
mvn = Independent(Normal(torch.zeros(2), torch.ones(2)), 1)
mvn = AffineProcess((fmvn, gmvn), (0.5, 1.), mvn, mvn)
a = torch.Tensor([1., 2.])
mvnmodel = LinearGaussianObservations(mvn, a, 1.)
def test_InitializeFilter(self):
filt = SISR(self.model, 1000).initialize()
assert filt._x_cur.shape == torch.Size([1000])
def test_Filters(self):
for model in [self.model, self.mvnmodel]:
x, y = model.sample_path(500)
for filter_, props in [
(SISR, {'particles': 500}),
(APF, {'particles': 500}),
(UKF, {}),
(SISR, {'particles': 500, 'proposal': Linearized(alpha=None)}),
(APF, {'particles': 500, 'proposal': Linearized()}),
(SISR, {'particles': 500, 'proposal': Unscented()})
]:
filt = filter_(model, **props).initialize()
filt = filt.longfilter(y)
assert len(filt.s_mx) > 0
filtmeans = filt.filtermeans.numpy()
# ===== Run Kalman ===== #
if model is self.model:
kf = pykalman.KalmanFilter(transition_matrices=1., observation_matrices=1.)
else:
kf = pykalman.KalmanFilter(transition_matrices=[[0.5, 1 / 3], [0, 1.]], observation_matrices=[1, 2])
filterestimates = kf.filter(y.numpy())
if filtmeans.ndim < 2:
filtmeans = filtmeans[:, None]
rel_error = np.median(np.abs((filtmeans - filterestimates[0]) / filterestimates[0]))
ll = kf.loglikelihood(y.numpy())
rel_ll_error = np.abs((ll - np.array(filt.s_ll).sum()) / ll)
assert rel_error < 0.05 and rel_ll_error < 0.05
def test_ParallellFiltersAndStability(self):
x, y = self.model.sample_path(50)
shape = 3000
linear = AffineProcess((f, g), (1., 1.), self.norm, self.norm)
self.model.hidden = linear
filt = SISR(self.model, 1000).set_nparallel(shape).initialize().longfilter(y)
filtermeans = filt.filtermeans
x = filtermeans[:, :1]
mape = ((x - filtermeans[:, 1:]) / x).abs()
assert mape.median(0)[0].max() < 0.05
def test_ParallelUnscented(self):
x, y = self.model.sample_path(50)
shape = 30
linear = AffineProcess((f, g), (1., 1.), self.norm, self.norm)
self.model.hidden = linear
filt = SISR(self.model, 1000, proposal=Unscented()).set_nparallel(shape).initialize().longfilter(y)
filtermeans = filt.filtermeans
x = filtermeans[:, :1]
mape = ((x - filtermeans[:, 1:]) / x).abs()
assert mape.median(0)[0].max() < 0.05
def test_SDE(self):
def f(x, a, s):
return -a * x
def g(x, a, s):
return s
em = AffineEulerMaruyama((f, g), (0.02, 0.15), Normal(0., 1.), Normal(0., 1.), dt=1e-2, num_steps=10)
model = LinearGaussianObservations(em, scale=1e-3)
x, y = model.sample_path(500)
with self.assertRaises(NotImplementedError):
SISR(model, 200)
for filt in [SISR(model, 500, proposal=Bootstrap()), UKF(model)]:
filt = filt.initialize().longfilter(y)
means = filt.filtermeans
if isinstance(filt, UKF):
means = means[:, 0]
self.assertLess(torch.std(x - means), 5e-2)
class Tests(unittest.TestCase):
# ===== Simple 1D model ===== #
norm = DistributionWrapper(Normal, loc=0.0, scale=1.0)
linear = AffineProcess((f, g), (1.0, 1.0), norm, norm)
model = LinearGaussianObservations(linear, 1.0, 1.0)
# ===== Simple 2D model ===== #
mvn = DistributionWrapper(lambda **u: Independent(Normal(**u), 1), loc=torch.zeros(2), scale=torch.ones(2))
mvn = AffineProcess((fmvn, gmvn), (0.5, 1.0), mvn, mvn)
a = torch.tensor([1.0, 2.0])
mvnmodel = LinearGaussianObservations(mvn, a, 1.0)
def test_InitializeFilter(self):
state = SISR(self.model, 1000).initialize()
assert state.x.shape == torch.Size([1000])
def test_Filters(self):
for model in [self.model, self.mvnmodel]:
x, y = model.sample_path(500)
for filter_type, props in [
(SISR, {"particles": 500}),
(APF, {"particles": 500}),
(UKF, {}),
(SISR, {"particles": 50, "proposal": prop.Unscented()}),
]:
filt = filter_type(model, **props)
result = filt.longfilter(y, record_states=True)
filtmeans = result.filter_means.numpy()
# ===== Run Kalman ===== #
if model is self.model:
kf = pykalman.KalmanFilter(transition_matrices=1.0, observation_matrices=1.0)
else:
kf = pykalman.KalmanFilter(
transition_matrices=[[0.5, 1 / 3], [0, 1.0]], observation_matrices=[1, 2]
)
f_mean, _ = kf.filter(y.numpy())
if model.hidden_ndim < 1 and not isinstance(filt, UKF):
f_mean = f_mean[:, 0]
rel_error = np.median(np.abs((filtmeans - f_mean) / f_mean))
ll = kf.loglikelihood(y.numpy())
rel_ll_error = np.abs((ll - result.loglikelihood.numpy()) / ll)
assert rel_error < 0.05 and rel_ll_error < 0.05
def test_ParallellFiltersAndStability(self):
x, y = self.model.sample_path(50)
shape = 3000
linear = AffineProcess((f, g), (1.0, 1.0), self.norm, self.norm)
self.model.hidden = linear
filt = SISR(self.model, 1000).set_nparallel(shape)
result = filt.longfilter(y)
filtermeans = result.filter_means
x = filtermeans[:, :1]
mape = ((x - filtermeans[:, 1:]) / x).abs()
assert mape.median(0)[0].max() < 0.05
def test_ParallelUnscented(self):
x, y = self.model.sample_path(50)
shape = 30
linear = AffineProcess((f, g), (1.0, 1.0), self.norm, self.norm)
self.model.hidden = linear
filt = SISR(self.model, 1000, proposal=prop.Unscented()).set_nparallel(shape)
result = filt.longfilter(y)
filtermeans = result.filter_means
x = filtermeans[:, :1]
mape = ((x - filtermeans[:, 1:]) / x).abs()
assert mape.median(0)[0].max() < 0.05
def test_SDE(self):
def f(x, a, s):
return -a * x
def g(x, a, s):
return s
dt = 1e-2
norm = DistributionWrapper(Normal, loc=0.0, scale=sqrt(dt))
em = AffineEulerMaruyama((f, g), (0.02, 0.15), norm, norm, dt=1e-2, num_steps=10)
model = LinearGaussianObservations(em, scale=1e-3)
x, y = model.sample_path(500)
for filt in [SISR(model, 500, proposal=prop.Bootstrap()), UKF(model)]:
result = filt.longfilter(y)
means = result.filter_means
if isinstance(filt, UKF):
means = means[:, 0]
self.assertLess(torch.std(x - means), 5e-2)
def build_model():
norm = DistributionWrapper(Normal, loc=0.0, scale=1.0)
return AffineProcess((f, g), (1.0, 1.0), norm, norm)