def run(arguments):
# check if result already exists for this run, and if so, quit
if results.check_exists(arguments):
print('Results already exist for arguments ' + str(arguments))
print('Quitting.')
quit()
#######################################
#######################################
## Step 0: Setup
#######################################
#######################################
np.random.seed(arguments.trial)
bc.util.set_verbosity(arguments.verbosity)
if arguments.coreset_size_spacing == 'log':
Ms = np.unique(
np.logspace(0.,
np.log10(arguments.coreset_size_max),
arguments.coreset_num_sizes,
dtype=np.int32))
else:
Ms = np.unique(
np.linspace(1,
arguments.coreset_size_max,
arguments.coreset_num_sizes,
dtype=np.int32))
#make sure the first size to record is 0
if Ms[0] != 0:
Ms = np.hstack((0, Ms))
#######################################
#######################################
## Step 1: Generate a Synthetic Dataset
#######################################
#######################################
#change these to change the prior / likelihood
mu0 = np.zeros(arguments.data_dim)
Sig0 = np.eye(arguments.data_dim)
Sig = np.eye(arguments.data_dim)
#these are computed
Sig0inv = np.linalg.inv(Sig0)
Siginv = np.linalg.inv(Sig)
LSigInv = np.linalg.cholesky(Siginv) #Siginv = LL^T, L Lower tri
USig = sl.solve_triangular(LSigInv,
np.eye(LSigInv.shape[0]),
lower=True,
overwrite_b=True,
check_finite=False).T # Sig = UU^T, U upper tri
th = np.ones(arguments.data_dim)
logdetSig = np.linalg.slogdet(Sig)[1]
#######################################
#######################################
## Step 2: Calculate Likelihoods/Projectors
#######################################
#######################################
print('Computing true posterior')
x = np.random.multivariate_normal(th, Sig, arguments.data_num)
mup, USigp, LSigpInv = gaussian.weighted_post(mu0, Sig0inv, Siginv, x,
np.ones(x.shape[0]))
Sigp = USigp.dot(USigp.T)
SigpInv = LSigpInv.dot(LSigpInv.T)
#create the log_likelihood function
print('Creating log-likelihood function')
log_likelihood = lambda x, th: gaussian.log_likelihood(
x, th, Siginv, logdetSig)
print('Creating gradient log-likelihood function')
grad_log_likelihood = lambda x, th: gaussian.gradx_log_likelihood(
x, th, Siginv)
print('Creating tuned projector for Hilbert coreset construction')
#create the sampler for the "optimally-tuned" Hilbert coreset
sampler_optimal = lambda n, w, pts: mup + np.random.randn(n, mup.shape[0]
).dot(USigp.T)
prj_optimal = bc.BlackBoxProjector(sampler_optimal, arguments.proj_dim,
log_likelihood, grad_log_likelihood)
print('Creating untuned projector for Hilbert coreset construction')
#create the sampler for the "realistically-tuned" Hilbert coreset
xhat = x[np.random.randint(0, x.shape[0], int(np.sqrt(x.shape[0]))), :]
muhat, USigHat, LSigHatInv = gaussian.weighted_post(
mu0, Sig0inv, Siginv, xhat, np.ones(xhat.shape[0]))
sampler_realistic = lambda n, w, pts: muhat + np.random.randn(
n, muhat.shape[0]).dot(USigHat.T)
prj_realistic = bc.BlackBoxProjector(sampler_realistic, arguments.proj_dim,
log_likelihood, grad_log_likelihood)
print('Creating black box projector')
def sampler_w(n, wts, pts):
if wts is None or pts is None or pts.shape[0] == 0:
wts = np.zeros(1)
pts = np.zeros((1, mu0.shape[0]))
muw, USigw, _ = gaussian.weighted_post(mu0, Sig0inv, Siginv, pts, wts)
return muw + np.random.randn(n, muw.shape[0]).dot(USigw.T)
prj_bb = bc.BlackBoxProjector(sampler_w, arguments.proj_dim,
log_likelihood, grad_log_likelihood)
print('Creating exact projectors')
#TODO need to fix all the transposes in this...
class GaussianProjector(bc.Projector):
def project(self, pts, grad=False):
nu = (pts - self.muw).dot(LSigInv)
PsiL = LSigInv.T.dot(self.USigw)
Psi = PsiL.dot(PsiL.T)
nu = np.hstack(
(nu.dot(PsiL), np.sqrt(0.5 * np.trace(np.dot(Psi.T, Psi))) *
np.ones(nu.shape[0])[:, np.newaxis]))
nu *= np.sqrt(nu.shape[1])
if not grad:
return nu
else:
gnu = np.hstack(
(SigLInv.dot(PsiL), np.zeros(pts.shape[1])[:,
np.newaxis])).T
gnu = np.tile(gnu, (pts.shape[0], 1, 1))
gnu *= np.sqrt(gnu.shape[1])
return nu, gnu
def update(self, wts=None, pts=None):
if wts is None or pts is None or pts.shape[0] == 0:
wts = np.zeros(1)
pts = np.zeros((1, mu0.shape[0]))
self.muw, self.USigw, self.LSigwInv = gaussian.weighted_post(
mu0, Sig0inv, Siginv, pts, wts)
prj_optimal_exact = GaussianProjector()
prj_optimal_exact.update(np.ones(x.shape[0]), x)
prj_realistic_exact = GaussianProjector()
prj_realistic_exact.update(np.ones(xhat.shape[0]), xhat)
#######################################
#######################################
## Step 3: Construct Coreset
#######################################
#######################################
##############################
print('Creating coreset construction objects')
#create coreset construction objects
sparsevi_exact = bc.SparseVICoreset(x,
GaussianProjector(),
opt_itrs=arguments.opt_itrs,
step_sched=eval(arguments.step_sched))
sparsevi = bc.SparseVICoreset(x,
prj_bb,
opt_itrs=arguments.opt_itrs,
step_sched=eval(arguments.step_sched))
giga_optimal = bc.HilbertCoreset(x, prj_optimal)
giga_optimal_exact = bc.HilbertCoreset(x, prj_optimal_exact)
giga_realistic = bc.HilbertCoreset(x, prj_realistic)
giga_realistic_exact = bc.HilbertCoreset(x, prj_realistic_exact)
unif = bc.UniformSamplingCoreset(x)
algs = {
'SVI-EXACT': sparsevi_exact,
'SVI': sparsevi,
'GIGA-OPT': giga_optimal,
'GIGA-OPT-EXACT': giga_optimal_exact,
'GIGA-REAL': giga_realistic,
'GIGA-REAL-EXACT': giga_realistic_exact,
'US': unif
}
alg = algs[arguments.alg]
print('Building coreset')
w = []
p = []
cputs = np.zeros(Ms.shape[0])
t_build = 0
for m in range(Ms.shape[0]):
print('M = ' + str(Ms[m]) + ': coreset construction, ' +
arguments.alg + ' ' + str(arguments.trial))
t0 = time.process_time()
itrs = (Ms[m] if m == 0 else Ms[m] - Ms[m - 1])
alg.build(itrs)
t_build += time.process_time() - t0
wts, pts, idcs = alg.get()
#store weights/pts/runtime
w.append(wts)
p.append(pts)
cputs[m] = t_build
##############################
##############################
## Step 4: Evaluate coreset
##############################
##############################
# computing kld and saving results
muw = np.zeros((Ms.shape[0], mu0.shape[0]))
Sigw = np.zeros((Ms.shape[0], mu0.shape[0], mu0.shape[0]))
rklw = np.zeros(Ms.shape[0])
fklw = np.zeros(Ms.shape[0])
csizes = np.zeros(Ms.shape[0])
mu_errs = np.zeros(Ms.shape[0])
Sig_errs = np.zeros(Ms.shape[0])
for m in range(Ms.shape[0]):
csizes[m] = (w[m] > 0).sum()
muw[m, :], USigw, LSigwInv = gaussian.weighted_post(
mu0, Sig0inv, Siginv, p[m], w[m])
Sigw[m, :, :] = USigw.dot(USigw.T)
rklw[m] = gaussian.KL(muw[m, :], Sigw[m, :, :], mup, SigpInv)
fklw[m] = gaussian.KL(mup, Sigp, muw[m, :], LSigwInv.dot(LSigwInv.T))
mu_errs[m] = np.sqrt(((mup - muw[m, :])**2).sum()) / np.sqrt(
(mup**2).sum())
Sig_errs[m] = np.sqrt(((Sigp - Sigw[m, :, :])**2).sum()) / np.sqrt(
(Sigp**2).sum())
results.save(arguments,
csizes=csizes,
Ms=Ms,
cputs=cputs,
rklw=rklw,
fklw=fklw,
mu_errs=mu_errs,
Sig_errs=Sig_errs)
#also save muw/Sigw/etc for plotting coreset visualizations
f = open('results/coreset_data.pk', 'wb')
res = (x, mu0, Sig0, Sig, mup, Sigp, w, p, muw, Sigw)
pk.dump(res, f)
f.close()
def run(arguments):
# check if result already exists for this run, and if so, quit
if results.check_exists(arguments):
print('Results already exist for arguments ' + str(arguments))
print('Quitting.')
quit()
#######################################
#######################################
########### Step 0: Setup #############
#######################################
#######################################
np.random.seed(arguments.trial)
bc.util.set_verbosity(arguments.verbosity)
algs = {
'FW': bc.snnls.FrankWolfe,
'GIGA': bc.snnls.GIGA,
'OMP': bc.snnls.OrthoPursuit,
'US': bc.snnls.UniformSampling
}
if arguments.coreset_size_spacing == 'log':
Ms = np.unique(
np.logspace(0.,
np.log10(arguments.coreset_size_max),
arguments.coreset_num_sizes,
dtype=np.int32))
else:
Ms = np.unique(
np.linspace(1,
arguments.coreset_size_max,
arguments.coreset_num_sizes,
dtype=np.int32))
#######################################
#######################################
## Step 1: Generate a Synthetic Dataset
#######################################
#######################################
if arguments.data_type == 'normal':
X = np.random.randn(arguments.data_num, arguments.data_dim)
else:
X = np.eye(arguments.data_num)
############################
############################
## Step 1: Build/Evaluate the Coreset
############################
############################
data_type = arguments.data_type
fldr = arguments.results_folder
err = np.zeros(Ms.shape[0])
csize = np.zeros(Ms.shape[0])
cput = np.zeros(Ms.shape[0])
print('data: ' + arguments.data_type + ', trial ' + str(arguments.trial) +
', alg: ' + arguments.alg)
class IDProjector(bc.Projector):
def update(self, wts, pts):
pass
def project(self, pts, grad=False):
return pts
alg = bc.HilbertCoreset(X, IDProjector(), snnls=algs[arguments.alg])
for m, M in enumerate(Ms):
t0 = time.process_time()
itrs = (Ms[m] if m == 0 else Ms[m] - Ms[m - 1])
alg.build(itrs)
tf = time.process_time()
cput[m] = tf - t0 + cput[m - 1] if m > 0 else tf - t0
wts, pts, idcs = alg.get()
csize[m] = (wts > 0).sum()
err[m] = alg.error()
############################
############################
## Step 2: Save Results
############################
############################
results.save(arguments, err=err, csize=csize, Ms=Ms, cput=cput)
def run(arguments):
# check if result already exists for this run, and if so, quit
if results.check_exists(arguments):
print('Results already exist for arguments ' + str(arguments))
print('Quitting.')
quit()
#######################################
#######################################
## Step 0: Setup
#######################################
#######################################
np.random.seed(arguments.trial)
bc.util.set_verbosity(arguments.verbosity)
if arguments.coreset_size_spacing == 'log':
Ms = np.unique(
np.logspace(0.,
np.log10(arguments.coreset_size_max),
arguments.coreset_num_sizes,
dtype=np.int32))
else:
Ms = np.unique(
np.linspace(1,
arguments.coreset_size_max,
arguments.coreset_num_sizes,
dtype=np.int32))
#make sure the first size to record is 0
if Ms[0] != 0:
Ms = np.hstack((0, Ms))
#######################################
#######################################
## Step 1: Load and preprocess data
#######################################
#######################################
#load data and compute true posterior
#each row of x is [lat, lon, price]
print('Loading data')
x = np.load('../data/prices2018.npy')
print('dataset size : ', x.shape)
print('Subsampling down to ' + str(arguments.data_num) + ' points')
idcs = np.arange(x.shape[0])
np.random.shuffle(idcs)
x = x[idcs[:arguments.data_num], :]
#log transform the prices
x[:, 2] = np.log10(x[:, 2])
#get empirical mean/std
datastd = x[:, 2].std()
datamn = x[:, 2].mean()
#bases of increasing size; the last one is effectively a constant
basis_unique_scales = np.array([.2, .4, .8, 1.2, 1.6, 2., 100])
basis_unique_counts = np.hstack(
(arguments.n_bases_per_scale * np.ones(6, dtype=np.int64), 1))
#the dimension of the scaling vector for the above bases
d = basis_unique_counts.sum()
print('Basis dimension: ' + str(d))
#model params
mu0 = datamn * np.ones(d)
Sig0 = (datastd**2 + datamn**2) * np.eye(d)
Sig0inv = np.linalg.inv(Sig0)
#generate basis functions by uniformly randomly picking locations in the dataset
print('Trial ' + str(arguments.trial))
print('Creating bases')
basis_scales = np.array([])
basis_locs = np.zeros((0, 2))
for i in range(basis_unique_scales.shape[0]):
basis_scales = np.hstack(
(basis_scales,
basis_unique_scales[i] * np.ones(basis_unique_counts[i])))
idcs = np.random.choice(np.arange(x.shape[0]),
replace=False,
size=basis_unique_counts[i])
basis_locs = np.vstack((basis_locs, x[idcs, :2]))
print('Converting bases and observations into X/Y matrices')
#convert basis functions + observed data locations into a big X matrix
X = np.zeros((x.shape[0], basis_scales.shape[0]))
for i in range(basis_scales.shape[0]):
X[:, i] = np.exp(-((x[:, :2] - basis_locs[i, :])**2).sum(axis=1) /
(2 * basis_scales[i]**2))
Y = x[:, 2]
Z = np.hstack((X, Y[:, np.newaxis]))
_, bV = np.linalg.eigh(X.T.dot(X))
bV = bV[:, -arguments.proj_dim:]
#######################################
#######################################
## Step 2: Calculate Likelihoods/Projectors
#######################################
#######################################
#get true posterior
print('Computing true posterior')
mup, USigp, LSigpInv = model_linreg.weighted_post(mu0, Sig0inv, datastd**2,
Z, np.ones(X.shape[0]))
Sigp = USigp.dot(USigp.T)
SigpInv = LSigpInv.dot(LSigpInv.T)
#create function to output log_likelihood given param samples
print('Creating log-likelihood function')
log_likelihood = lambda z, th: model_linreg.log_likelihood(
z, th, datastd**2)
print('Creating gradient log-likelihood function')
grad_log_likelihood = lambda z, th: model_linreg.grad_x_log_likelihood(
z, th, datastd**2)
#create tangent space for well-tuned Hilbert coreset alg
print('Creating tuned projector for Hilbert coreset construction')
sampler_optimal = lambda n, w, pts: mup + np.random.randn(n, mup.shape[0]
).dot(USigp.T)
prj_optimal = bc.BlackBoxProjector(sampler_optimal, arguments.proj_dim,
log_likelihood, grad_log_likelihood)
#create tangent space for poorly-tuned Hilbert coreset alg
print('Creating untuned projector for Hilbert coreset construction')
Zhat = Z[np.random.randint(0, Z.shape[0], int(np.sqrt(Z.shape[0]))), :]
muhat, USigHat, LSigHatInv = model_linreg.weighted_post(
mu0, Sig0inv, datastd**2, Zhat, np.ones(Zhat.shape[0]))
sampler_realistic = lambda n, w, pts: muhat + np.random.randn(
n, muhat.shape[0]).dot(USigHat.T)
prj_realistic = bc.BlackBoxProjector(sampler_realistic, arguments.proj_dim,
log_likelihood, grad_log_likelihood)
print('Creating black box projector')
def sampler_w(n, wts, pts):
if wts is None or pts is None or pts.shape[0] == 0:
muw = mu0
USigw = np.linalg.cholesky(
Sig0
) #Note: USigw is lower triangular here, below is upper tri. Doesn't matter, just need Sigw = MM^T
else:
muw, USigw, _ = model_linreg.weighted_post(mu0, Sig0inv,
datastd**2, pts, wts)
return muw + np.random.randn(n, muw.shape[0]).dot(USigw.T)
prj_bb = bc.BlackBoxProjector(sampler_w, arguments.proj_dim,
log_likelihood, grad_log_likelihood)
print('Creating exact projectors')
##############################
###Exact projection in SparseVI for gradient computation
#for this model we can do the tangent space projection exactly
class LinRegProjector(bc.Projector):
def __init__(self, bV):
self.bV = bV
def project(self, pts, grad=False):
X = pts[:, :-1]
Y = pts[:, -1]
#beta = X.dot(self.V*np.sqrt(np.maximum(self.lmb, 0.)))
beta = X.dot(self.USigw)
nu = Y - X.dot(self.muw)
#approximation to avoid high memory cost: project the matrix term down to bV.shape[1]**2 dimensions
beta_proj = beta.dot(self.bV)
#lmb2, V2 = np.linalg.eigh(beta.T.dot(beta))
#beta_proj = beta.dot(V2[:, -arguments.proj_dim:])
return np.hstack(
(nu[:, np.newaxis] * beta, 1. / np.sqrt(2.) *
(beta_proj[:, :, np.newaxis] * beta_proj[:, np.newaxis, :]).
reshape(beta.shape[0], arguments.proj_dim**2))) / datastd**2
def update(self, wts, pts):
if wts is None or pts is None or pts.shape[0] == 0:
self.muw = mu0
self.USigw = np.linalg.cholesky(
Sig0
) #Note: USigw here is lower triangular, but keeping naming convention for below stuff. Doesn't matter, just need Sigw = MM^T
else:
self.muw, self.USigw, _ = model_linreg.weighted_post(
mu0, Sig0inv, datastd**2, pts, wts)
#if pts.shape[0] == 0:
# self.muw = mu0
# self.Sigw = Sig0
#else:
# self.muw, self.Sigw = model_linreg.weighted_post(mu0, Sig0inv, datastd**2, pts, wts)
#self.lmb, self.V = np.linalg.eigh(self.LSigw.dot(self.LSigw.T))
prj_optimal_exact = LinRegProjector(bV)
prj_optimal_exact.update(np.ones(Z.shape[0]), Z)
prj_realistic_exact = LinRegProjector(bV)
prj_realistic_exact.update(np.ones(Zhat.shape[0]), Zhat)
#######################################
#######################################
## Step 3: Construct Coreset
#######################################
#######################################
##############################
print('Creating coreset construction objects')
#create coreset construction objects
sparsevi_exact = bc.SparseVICoreset(Z,
LinRegProjector(bV),
opt_itrs=arguments.opt_itrs,
step_sched=eval(arguments.step_sched))
sparsevi = bc.SparseVICoreset(Z,
prj_bb,
opt_itrs=arguments.opt_itrs,
step_sched=eval(arguments.step_sched))
giga_optimal = bc.HilbertCoreset(Z, prj_optimal)
giga_optimal_exact = bc.HilbertCoreset(Z, prj_optimal_exact)
giga_realistic = bc.HilbertCoreset(Z, prj_realistic)
giga_realistic_exact = bc.HilbertCoreset(Z, prj_realistic_exact)
unif = bc.UniformSamplingCoreset(Z)
algs = {
'SVI-EXACT': sparsevi_exact,
'SVI': sparsevi,
'GIGA-OPT': giga_optimal,
'GIGA-OPT-EXACT': giga_optimal_exact,
'GIGA-REAL': giga_realistic,
'GIGA-REAL-EXACT': giga_realistic_exact,
'US': unif
}
alg = algs[arguments.alg]
print('Building coreset')
w = []
p = []
cputs = np.zeros(Ms.shape[0])
t_build = 0
for m in range(Ms.shape[0]):
print('M = ' + str(Ms[m]) + ': coreset construction, ' +
arguments.alg + ' ' + str(arguments.trial))
t0 = time.process_time()
itrs = (Ms[m] if m == 0 else Ms[m] - Ms[m - 1])
alg.build(itrs)
t_build += time.process_time() - t0
wts, pts, idcs = alg.get()
#store weights/pts/runtime
w.append(wts)
p.append(pts)
cputs[m] = t_build
##############################
##############################
## Step 4: Evaluate coreset
##############################
##############################
# computing kld and saving results
muw = np.zeros((Ms.shape[0], mu0.shape[0]))
Sigw = np.zeros((Ms.shape[0], mu0.shape[0], mu0.shape[0]))
rklw = np.zeros(Ms.shape[0])
fklw = np.zeros(Ms.shape[0])
mu_errs = np.zeros(Ms.shape[0])
Sig_errs = np.zeros(Ms.shape[0])
csizes = np.zeros(Ms.shape[0])
for m in range(Ms.shape[0]):
csizes[m] = (w[m] > 0).sum()
muw[m, :], USigw, LSigwInv = model_linreg.weighted_post(
mu0, Sig0inv, datastd**2, p[m], w[m])
Sigw[m, :, :] = USigw.dot(USigw.T)
rklw[m] = model_linreg.KL(muw[m, :], Sigw[m, :, :], mup, SigpInv)
fklw[m] = model_linreg.KL(mup, Sigp, muw[m, :],
LSigwInv.dot(LSigwInv.T))
mu_errs[m] = np.sqrt(((mup - muw[m, :])**2).sum()) / np.sqrt(
(mup**2).sum())
Sig_errs[m] = np.sqrt(((Sigp - Sigw[m, :, :])**2).sum()) / np.sqrt(
(Sigp**2).sum())
results.save(arguments,
csizes=csizes,
Ms=Ms,
cputs=cputs,
rklw=rklw,
fklw=fklw,
mu_errs=mu_errs,
Sig_errs=Sig_errs)
#also save muw/Sigw/etc for plotting coreset visualizations
f = open('results/coreset_data.pk', 'wb')
res = (x, mu0, Sig0, datastd, mup, Sigp, w, p, muw, Sigw)
pk.dump(res, f)
f.close()
def run(arguments):
# check if result already exists for this run, and if so, quit
if results.check_exists(arguments):
print('Results already exist for arguments ' + str(arguments))
print('Quitting.')
quit()
#######################################
#######################################
########### Step 0: Setup #############
#######################################
#######################################
np.random.seed(arguments.trial)
bc.util.set_verbosity(arguments.verbosity)
if arguments.coreset_size_spacing == 'log':
Ms = np.unique(
np.logspace(0.,
np.log10(arguments.coreset_size_max),
arguments.coreset_num_sizes,
dtype=np.int32))
else:
Ms = np.unique(
np.linspace(1,
arguments.coreset_size_max,
arguments.coreset_num_sizes,
dtype=np.int32))
#######################################
#######################################
## Step 1: Define Model
#######################################
#######################################
if arguments.model == "lr":
import model_lr as model
elif arguments.model == "poiss":
import model_poiss as model
#######################################
#######################################
## Step 2: Load Dataset & run full MCMC / Laplace
#######################################
#######################################
print('Loading dataset ' + arguments.dataset)
X, Y, Z, Zt, D = model.load_data('../data/' + arguments.dataset + '.npz')
#NOTE: Sig0 is currently coded as identity in model_lr and model_pr (see log_prior).
#so if you change Sig0 here things might break.
#TODO: fix that...
mu0 = np.zeros(Z.shape[1])
Sig0 = np.eye(Z.shape[1])
LSig0 = np.eye(Z.shape[1])
print('Checking for cached full MCMC samples')
mcmc_cache_filename = 'mcmc_cache/full_samples_' + arguments.model + '_' + arguments.dataset + '.npz'
if os.path.exists(mcmc_cache_filename):
print('Cache exists, loading')
tmp__ = np.load(mcmc_cache_filename)
full_samples = tmp__['samples']
full_mcmc_time_per_itr = tmp__['t']
else:
print('Cache doesnt exist, running MCMC')
#convert Y to Stan LR label format
stanY = np.zeros(Y.shape[0])
stanY[:] = Y
stanY[stanY == -1] = 0
sampler_data = {
'x': X,
'y': stanY.astype(int),
'w': np.ones(X.shape[0]),
'd': X.shape[1],
'n': X.shape[0]
}
full_samples, t_full_mcmc = mcmc.run(sampler_data,
arguments.mcmc_samples_full,
arguments.model,
model.stan_representation,
arguments.trial)
full_samples = full_samples['theta']
#TODO right now *2 to account for burn; but this should all be specified via tunable arguments
full_mcmc_time_per_itr = t_full_mcmc / (arguments.mcmc_samples_full *
2)
if not os.path.exists('mcmc_cache'):
os.mkdir('mcmc_cache')
np.savez(mcmc_cache_filename,
samples=full_samples,
t=full_mcmc_time_per_itr)
#######################################
#######################################
## Step 3: Calculate Likelihoods/Projectors
#######################################
#######################################
#get Gaussian approximation to the true posterior
print('Approximating true posterior')
mup = full_samples.mean(axis=0)
Sigp = np.cov(full_samples, rowvar=False)
LSigp = np.linalg.cholesky(Sigp)
LSigpInv = solve_triangular(LSigp,
np.eye(LSigp.shape[0]),
lower=True,
overwrite_b=True,
check_finite=False)
#create tangent space for well-tuned Hilbert coreset alg
print('Creating tuned projector for Hilbert coreset construction')
muHat, LSigHat, LSigHatInv = get_laplace(np.ones(Z.shape[0]),
Z,
np.zeros(Z.shape[1]),
model,
diag=False)
sampler_optimal = lambda n, w, pts: muHat + np.random.randn(
n, muHat.shape[0]).dot(LSigHat.T)
prj_optimal = bc.BlackBoxProjector(sampler_optimal, arguments.proj_dim,
model.log_likelihood,
model.grad_z_log_likelihood)
#create tangent space for poorly-tuned Hilbert coreset alg
print('Creating untuned projector for Hilbert coreset construction')
Zhat = Z[np.random.randint(0, Z.shape[0], int(np.sqrt(Z.shape[0]))), :]
muHat2, LSigHat2, LSigHat2Inv = get_laplace(np.ones(Zhat.shape[0]),
Zhat,
np.zeros(Zhat.shape[1]),
model,
diag=False)
sampler_realistic = lambda n, w, pts: muHat2 + np.random.randn(
n, muHat2.shape[0]).dot(LSigHat2.T)
prj_realistic = bc.BlackBoxProjector(sampler_realistic, arguments.proj_dim,
model.log_likelihood,
model.grad_z_log_likelihood)
print('Creating black box projector')
def sampler_w(n, wts, pts):
if wts is None or pts is None or pts.shape[0] == 0:
muw = mu0
LSigw = LSig0
else:
muw, LSigw, _ = get_laplace(wts,
pts,
np.zeros(Z.shape[1]),
model,
diag=False)
return muw + np.random.randn(n, muw.shape[0]).dot(LSigw.T)
prj_bb = bc.BlackBoxProjector(sampler_w, arguments.proj_dim,
model.log_likelihood,
model.grad_z_log_likelihood)
#######################################
#######################################
## Step 4: Construct Coreset
#######################################
#######################################
print('Creating coreset construction objects')
#create coreset construction objects
sparsevi = bc.SparseVICoreset(Z,
prj_bb,
opt_itrs=arguments.opt_itrs,
step_sched=eval(arguments.step_sched))
giga_optimal = bc.HilbertCoreset(Z, prj_optimal)
giga_realistic = bc.HilbertCoreset(Z, prj_realistic)
unif = bc.UniformSamplingCoreset(Z)
algs = {
'SVI': sparsevi,
'GIGA-OPT': giga_optimal,
'GIGA-REAL': giga_realistic,
'US': unif
}
alg = algs[arguments.alg]
cputs = np.zeros(Ms.shape[0])
mcmc_time_per_itr = np.zeros(Ms.shape[0])
csizes = np.zeros(Ms.shape[0])
Fs = np.zeros(Ms.shape[0])
rklw = np.zeros(Ms.shape[0])
fklw = np.zeros(Ms.shape[0])
mu_errs = np.zeros(Ms.shape[0])
Sig_errs = np.zeros(Ms.shape[0])
print('Running coreset construction / MCMC for ' + arguments.dataset +
' ' + arguments.alg + ' ' + str(arguments.trial))
t_alg = 0.
for m in range(Ms.shape[0]):
print('M = ' + str(Ms[m]) + ': coreset construction, ' +
arguments.alg + ' ' + arguments.dataset + ' ' +
str(arguments.trial))
#this runs alg up to a level of M; on the next iteration, it will continue from where it left off
t0 = time.process_time()
itrs = (Ms[m] if m == 0 else Ms[m] - Ms[m - 1])
alg.build(itrs)
t_alg += time.process_time() - t0
wts, pts, idcs = alg.get()
print('M = ' + str(Ms[m]) + ': MCMC')
# Use MCMC on the coreset, measure time taken
stanY = np.zeros(idcs.shape[0])
stanY[:] = Y[idcs]
stanY[stanY == -1] = 0
sampler_data = {
'x': X[idcs, :],
'y': stanY.astype(int),
'w': wts,
'd': X.shape[1],
'n': idcs.shape[0]
}
cst_samples, t_cst_mcmc = mcmc.run(sampler_data,
arguments.mcmc_samples_coreset,
arguments.model,
model.stan_representation,
arguments.trial)
cst_samples = cst_samples['theta']
#TODO see note above re: full mcmc sampling
t_cst_mcmc_per_step = t_cst_mcmc / (arguments.mcmc_samples_coreset * 2)
print('M = ' + str(Ms[m]) + ': Approximating posterior with Gaussian')
muw = cst_samples.mean(axis=0)
Sigw = np.cov(cst_samples, rowvar=False)
LSigw = np.linalg.cholesky(Sigw)
LSigwInv = solve_triangular(LSigw,
np.eye(LSigw.shape[0]),
lower=True,
overwrite_b=True,
check_finite=False)
print('M = ' + str(Ms[m]) + ': Computing metrics')
cputs[m] = t_alg
mcmc_time_per_itr[m] = t_cst_mcmc_per_step
csizes[m] = (wts > 0).sum()
gcs = np.array([
model.grad_th_log_joint(Z[idcs, :], full_samples[i, :], wts)
for i in range(full_samples.shape[0])
])
gfs = np.array([
model.grad_th_log_joint(Z, full_samples[i, :], np.ones(Z.shape[0]))
for i in range(full_samples.shape[0])
])
Fs[m] = (((gcs - gfs)**2).sum(axis=1)).mean()
rklw[m] = KL(muw, Sigw, mup, LSigpInv.T.dot(LSigpInv))
fklw[m] = KL(mup, Sigp, muw, LSigwInv.T.dot(LSigwInv))
mu_errs[m] = np.sqrt(((mup - muw)**2).sum()) / np.sqrt((mup**2).sum())
Sig_errs[m] = np.sqrt(((Sigp - Sigw)**2).sum()) / np.sqrt(
(Sigp**2).sum())
results.save(arguments,
csizes=csizes,
Ms=Ms,
cputs=cputs,
Fs=Fs,
full_mcmc_time_per_itr=full_mcmc_time_per_itr,
mcmc_time_per_itr=mcmc_time_per_itr,
rklw=rklw,
fklw=fklw,
mu_errs=mu_errs,
Sig_errs=Sig_errs)