def set_model(num_teams, home_team, away_team, observed_home_goals,
observed_away_goals):
with pm.Model() as model:
# global model parameters
home = pm.Flat('home')
sd_att = pm.HalfStudentT('sd_att', nu=3, sd=2.5)
sd_def = pm.HalfStudentT('sd_def', nu=3, sd=2.5)
intercept = pm.Flat('intercept')
# team-specific model parameters
atts_star = pm.Normal("atts_star", mu=0, sd=sd_att, shape=num_teams)
defs_star = pm.Normal("defs_star", mu=0, sd=sd_def, shape=num_teams)
atts = pm.Deterministic('atts', atts_star - tt.mean(atts_star))
defs = pm.Deterministic('defs', defs_star - tt.mean(defs_star))
home_theta = tt.exp(intercept + home + atts[home_team] +
defs[away_team])
away_theta = tt.exp(intercept + atts[away_team] + defs[home_team])
# likelihood of observed data
home_points = pm.Poisson('home_points',
mu=home_theta,
observed=observed_home_goals)
away_points = pm.Poisson('away_points',
mu=away_theta,
observed=observed_away_goals)
return model
def run():
teams = df.home_team.unique()
teams = pd.DataFrame(teams, columns=['team'])
teams['i'] = teams.index
df = pd.merge(df, teams, left_on='home_team', right_on='team', how='left')
df = df.rename(columns = {'i': 'i_home'}).drop('team', 1)
df = pd.merge(df, teams, left_on='away_team', right_on='team', how='left')
df = df.rename(columns = {'i': 'i_away'}).drop('team', 1)
observed_home_goals = df.home_score.values
observed_away_goals = df.away_score.values
home_team = df.i_home.values
away_team = df.i_away.values
num_teams = len(df.i_home.drop_duplicates())
num_games = len(home_team)
g = df.groupby('i_away')
att_starting_points = np.log(g.away_score.mean())
g = df.groupby('i_home')
def_starting_points = -np.log(g.away_score.mean())
with pm.Model() as model:
# global model parameters
home = pm.Flat('home')
sd_att = pm.HalfStudentT('sd_att', nu=3, sigma=2.5)
sd_def = pm.HalfStudentT('sd_def', nu=3, sigma=2.5)
intercept = pm.Flat('intercept')
# team-specific model parameters
atts_star = pm.Normal("atts_star", mu=0, sigma=sd_att, shape=num_teams)
defs_star = pm.Normal("defs_star", mu=0, sigma=sd_def, shape=num_teams)
atts = pm.Deterministic('atts', atts_star - tt.mean(atts_star))
defs = pm.Deterministic('defs', defs_star - tt.mean(defs_star))
home_theta = tt.exp(intercept + home + atts[home_team] + defs[away_team])
away_theta = tt.exp(intercept + atts[away_team] + defs[home_team])
# likelihood of observed data
home_points = pm.Poisson('home_points', mu=home_theta, observed=observed_home_goals)
away_points = pm.Poisson('away_points', mu=away_theta, observed=observed_away_goals)
trace = pm.sample(1000, tune=1000, cores=3)
pm.traceplot(trace, var_names=['intercept', 'home', 'sd_att', 'sd_def']);
bfmi = pm.bfmi(trace)
max_gr = max(np.max(gr_stats) for gr_stats in pm.gelman_rubin(trace).values())
(pm.energyplot(trace, legend=False, figsize=(6, 4))
def _build_gains_time(self, Bx_gains):
self.dims.update({
'gains_time_sd_raw': ('algo', ),
'gains_time_sd': ('algo', ),
'gains_time_raw': ('algo', 'time_raw_gains'),
'gains_time': ('algo', 'time'),
})
k = self.n_algos
n_knots_gains = len(self.coords['time_raw_gains'])
gains_time_alpha = pm.HalfNormal('gains_time_alpha', sd=0.1)
if 'log_gains_time_sd_sd_trace_mu' in self.params:
mu = self.params.pop('log_gains_time_sd_sd_trace_mu')
sd = self.params.pop('log_gains_time_sd_sd_trace_sd')
log_gains_time_sd_sd = pm.Normal('log_gains_time_sd_sd',
mu=mu,
sd=sd)
gains_time_sd_sd = pm.Deterministic('gains_time_sd_sd',
tt.exp(log_gains_time_sd_sd))
else:
gains_time_sd_sd = pm.HalfStudentT('gains_time_sd_sd',
nu=3,
sd=0.1)
pm.Deterministic('log_gains_time_sd_sd', tt.log(gains_time_sd_sd))
gains_time_sd_raw = pm.HalfNormal('gains_time_sd_raw', shape=k)
gains_time_sd = pm.Deterministic('gains_time_sd',
gains_time_sd_sd * gains_time_sd_raw)
gains_time_raw = GPExponential('gains_time_raw',
mu=0,
alpha=gains_time_alpha,
sigma=1,
shape=(k, n_knots_gains))
gains_time = gains_time_sd[:, None] * gains_time_raw
gains_time = sparse_dot(Bx_gains, gains_time.T).T
pm.Deterministic('gains_time', gains_time)
return gains_time
def main(args):
print("Loading data...")
teams, df = load_data()
nt = len(teams)
train = df[df["split"] == "train"]
print("Starting inference...")
with pm.Model() as model:
# priors
alpha = pm.Normal("alpha", mu=0, sigma=1)
sd_att = pm.HalfStudentT("sd_att", nu=3, sigma=2.5)
sd_def = pm.HalfStudentT("sd_def", nu=3, sigma=2.5)
home = pm.Normal("home", mu=0, sigma=1) # home advantage
# team-specific model parameters
attack = pm.Normal("attack", mu=0, sigma=sd_att, shape=nt)
defend = pm.Normal("defend", mu=0, sigma=sd_def, shape=nt)
# data
home_id = pm.Data("home_data", train["Home_id"])
away_id = pm.Data("away_data", train["Away_id"])
# likelihood
theta1 = tt.exp(alpha + home + attack[home_id] - defend[away_id])
theta2 = tt.exp(alpha + attack[away_id] - defend[home_id])
pm.Poisson("s1", mu=theta1, observed=train["score1"])
pm.Poisson("s2", mu=theta2, observed=train["score2"])
with model:
fit = pm.sample(
draws=args.num_samples,
tune=args.num_warmup,
chains=args.num_chains,
cores=args.num_cores,
random_seed=args.rng_seed,
)
print("Analyse posterior...")
az.plot_forest(
fit,
var_names=("alpha", "home", "sd_att", "sd_def"),
backend="bokeh",
)
az.plot_trace(
fit,
var_names=("alpha", "home", "sd_att", "sd_def"),
backend="bokeh",
)
# Attack and defence
quality = teams.copy()
quality = quality.assign(
attack=fit["attack"].mean(axis=0),
attacksd=fit["attack"].std(axis=0),
defend=fit["defend"].mean(axis=0),
defendsd=fit["defend"].std(axis=0),
)
quality = quality.assign(
attack_low=quality["attack"] - quality["attacksd"],
attack_high=quality["attack"] + quality["attacksd"],
defend_low=quality["defend"] - quality["defendsd"],
defend_high=quality["defend"] + quality["defendsd"],
)
plot_quality(quality)
# Predicted goals and table
predict = df[df["split"] == "predict"]
with model:
pm.set_data({"home_data": predict["Home_id"]})
pm.set_data({"away_data": predict["Away_id"]})
predicted_score = pm.sample_posterior_predictive(
fit, var_names=["s1", "s2"], random_seed=1)
predicted_full = predict.copy()
predicted_full = predicted_full.assign(
score1=predicted_score["s1"].mean(axis=0).round(),
score1error=predicted_score["s1"].std(axis=0),
score2=predicted_score["s2"].mean(axis=0).round(),
score2error=predicted_score["s2"].std(axis=0),
)
predicted_full = train.append(
predicted_full.drop(columns=["score1error", "score2error"]))
print(score_table(df))
print(score_table(predicted_full))
g=n)
Y_tensor = tt.matrix("Y")
(s, P, ll), _ = K.filter(Y_tensor)
kf = theano.function(inputs=[Y_tensor, sv_tnsr],
outputs=[s, P, ll],
mode=theano.Mode(optimizer="unsafe"))
s, P, ll = kf(Y, 2 * np.ones(m))
import pymc3 as pm
with pm.Model() as model:
# Phi, Q, L, c, H, Sv, d, s0, P0, n, m, g
phi = pm.Normal("phi", shape=(1, 1))
q = pm.HalfStudentT("q", nu=1.0, sd=2.0, shape=(1, 1))
K = KalmanFilter("kf",
phi,
q,
np.array([[1.]]),
np.array([0.]),
np.array([[1.]]),
np.array([[0.0]]),
np.array([0.]),
np.array([0.]),
np.array([[10.]]),
1,
1,
1,
observed=y)
return df
if __name__ == '__main__':
df = get_tidy_data()
obs_h_score = df.home_score.values
obs_a_score = df.away_score.values
home_team = df.i_home.values
away_team = df.i_away.values
num_teams = max(home_team) + 1
with pm.Model() as model:
# home court advantage!
home = pm.Flat('home')
sd_atk = pm.HalfStudentT('sd_atk', nu=3, sd=2.5)
sd_def = pm.HalfStudentT('sd_def', nu=3, sd=2.5)
# intercept
intercept = pm.Flat('intercept')
# team-specific parameters
# shape parameter for vector of values
atks_star = pm.Normal('atks_star', mu=0, sd=sd_atk, shape=num_teams)
defs_star = pm.Normal('defs_star', mu=0, sd=sd_def, shape=num_teams)
# transformation
atks = pm.Deterministic('atks', atks_star - tt.mean(atks_star))
defs = pm.Deterministic('defs', defs_star - tt.mean(defs_star))
# theta as a function of parameters
params_model = dict(
new_cases_obs=new_cases_obs[:],
data_begin=data_begin,
fcast_len=num_days_forecast,
diff_data_sim=diff_data_sim,
N_population=args.population,
)
# Median of the prior for the delay in case reporting, we assume 10 days
pr_delay = 10
# Create model compartments
with cov19.model.Cov19Model(**params_model) as this_model:
# Edit pr_sigma_lambda for each cp
sigma_lambda = pm.HalfStudentT(name="sigma_lambda_cps", nu=4, sigma=0.5)
for i, cp in enumerate(change_points[1:]):
cp["pr_sigma_lambda"] = sigma_lambda
# Create the an array of the time dependent infection rate lambda
lambda_t_log = cov19.model.lambda_t_with_sigmoids(
pr_median_lambda_0=0.4,
pr_sigma_lambda_0=0.5,
change_points_list=
change_points, # The change point priors we constructed earlier
name_lambda_t=
"lambda_t", # Name for the variable in the trace (see later)
)
# set prior distribution for the recovery rate
mu = pm.Lognormal(name="mu", mu=np.log(1 / 8), sigma=0.2)
home_team = df.i_home.values
away_team = df.i_away.values
num_teams = len(df.i_home.drop_duplicates())
num_games = len(home_team)
g = df.groupby('i_away')
att_starting_points = np.log(g.away_score.mean())
g = df.groupby('i_home')
def_starting_points = -np.log(g.away_score.mean())
with pm.Model() as model:
# global model parameters
home = pm.Flat('home')
sd_att = pm.HalfStudentT('sd_att', nu=3, sigma=2.5)
sd_def = pm.HalfStudentT('sd_def', nu=3, sigma=2.5)
intercept = pm.Flat('intercept')
# team-specific model parameters
atts_star = pm.Normal("atts_star", mu=0, sigma=sd_att, shape=num_teams)
defs_star = pm.Normal("defs_star", mu=0, sigma=sd_def, shape=num_teams)
atts = pm.Deterministic('atts', atts_star - tt.mean(atts_star))
defs = pm.Deterministic('defs', defs_star - tt.mean(defs_star))
home_theta = tt.exp(intercept + home + atts[home_team] + defs[away_team])
away_theta = tt.exp(intercept + atts[away_team] + defs[home_team])
# likelihood of observed data
home_points = pm.Poisson('home_points',
mu=home_theta,
observed_home_goals = df.home_score.values
observed_away_goals = df.away_score.values
home_team = df.i_home.values
away_team = df.i_away.values
num_teams = len(df.i_home.drop_duplicates())
num_games = len(home_team)
# define model
with pm.Model() as model:
# global model parameters
home = pm.Flat("home")
sd_att = pm.HalfStudentT("sd_att", nu=3, sigma=2.5)
sd_def = pm.HalfStudentT("sd_def", nu=3, sigma=2.5)
intercept = pm.Flat("intercept")
# team-specific model parameters
atts_star = pm.Normal("atts_star", mu=0, sigma=sd_att, shape=num_teams)
defs_star = pm.Normal("defs_star", mu=0, sigma=sd_def, shape=num_teams)
atts = pm.Deterministic("atts", atts_star - tt.mean(atts_star))
defs = pm.Deterministic("defs", defs_star - tt.mean(defs_star))
home_theta = tt.exp(intercept + home + atts[home_team] + defs[away_team])
away_theta = tt.exp(intercept + atts[away_team] + defs[home_team])
# likelihood of observed data
home_goals = pm.Poisson("home_goals", mu=home_theta, observed=observed_home_goals)
away_goals = pm.Poisson("away_goals", mu=away_theta, observed=observed_away_goals)
# initial values
g = df.groupby('i_away')
att_tries_init = np.log(g.away_tries.mean())
g = df.groupby('i_home')
def_tries_init = -np.log(g.away_tries.mean())
g = df.groupby('i_away')
att_pens_init = np.log(g.away_pens.mean())
g = df.groupby('i_home')
def_pens_init = -np.log(g.away_pens.mean())
with pm.Model() as model:
# global model parameters
home_tries = pm.Flat('home_tries') # intercept for home advantage
home_pens = pm.Flat('home_pens') # intercept for home advantage
sd_att_tries = pm.HalfStudentT('sd_att_tries', nu=3, sd=2.5)
sd_def_tries = pm.HalfStudentT('sd_def_tries', nu=3, sd=2.5)
sd_att_pens = pm.HalfStudentT('sd_att_pens', nu=3, sd=2.5)
sd_def_pens = pm.HalfStudentT('sd_def_pens', nu=3, sd=2.5)
# sd_att_drops = pm.HalfStudentT('sd_att_drops', nu=3, sd=2.5)
# sd_def_drops = pm.HalfStudentT('sd_def_drops', nu=3, sd=2.5)
intercept_tries = pm.Flat('intercept_tries')
intercept_pens = pm.Flat('intercept_pens')
# intercept_drops = pm.Flat('intercept_drops')
# team-specific model parameters
atts_tries_star = pm.Normal("atts_tries_star", mu=0, sd=sd_att_tries, shape=num_teams)
defs_tries_star = pm.Normal("defs_tries_star", mu=0, sd=sd_def_tries, shape=num_teams)
atts_pens_star = pm.Normal("atts_pens_star", mu=0, sd=sd_att_pens, shape=num_teams)
defs_pens_star = pm.Normal("defs_pens_star", mu=0, sd=sd_def_pens, shape=num_teams)