CUQIpy 1.0.0.post0.dev57__py3-none-any.whl → 1.0.0.post0.dev91__py3-none-any.whl

{CUQIpy-1.0.0.post0.dev57.dist-info → CUQIpy-1.0.0.post0.dev91.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: CUQIpy
-Version: 1.0.0.post0.dev57
+Version: 1.0.0.post0.dev91
 Summary: Computational Uncertainty Quantification for Inverse problems in Python
 Maintainer-email: "Nicolai A. B. Riis" <nabr@dtu.dk>, "Jakob S. Jørgensen" <jakj@dtu.dk>, "Amal M. Alghamdi" <amaal@dtu.dk>, Chao Zhang <chaz@dtu.dk>
 License: Apache License
@@ -202,7 +202,7 @@ Description-Content-Type: text/markdown
 License-File: LICENSE
 Requires-Dist: matplotlib
 Requires-Dist: numpy >=1.17.0
-Requires-Dist: scipy
+Requires-Dist: scipy <1.13
 Requires-Dist: arviz
 
 <div align="center">

{CUQIpy-1.0.0.post0.dev57.dist-info → CUQIpy-1.0.0.post0.dev91.dist-info}/RECORD

@@ -1,6 +1,6 @@
 cuqi/__init__.py,sha256=LsGilhl-hBLEn6Glt8S_l0OJzAA1sKit_rui8h-D-p0,488
 cuqi/_messages.py,sha256=fzEBrZT2kbmfecBBPm7spVu7yHdxGARQB4QzXhJbCJ0,415
-cuqi/_version.py,sha256=XsNmdXuVtv7ZVDfdiVhJxoQFSekl2dvzcBYP7w0II3U,509
+cuqi/_version.py,sha256=wjkb-AlAnGV3_a5XYx4H4xHteXak-c9qRWEs8JAhr3k,509
 cuqi/config.py,sha256=wcYvz19wkeKW2EKCGIKJiTpWt5kdaxyt4imyRkvtTRA,526
 cuqi/diagnostics.py,sha256=5OrbJeqpynqRXOe5MtOKKhe7EAVdOEpHIqHnlMW9G_c,3029
 cuqi/array/__init__.py,sha256=-EeiaiWGNsE3twRS4dD814BIlfxEsNkTCZUc5gjOXb0,30
@@ -32,7 +32,8 @@ cuqi/distribution/_normal.py,sha256=UeoTtGDT7YSf4ZNo2amlVF9K-YQpYbf8q76jcRJTVFw,
 cuqi/distribution/_posterior.py,sha256=zAfL0GECxekZ2lBt1W6_LN0U_xskMwK4VNce5xAF7ig,5018
 cuqi/distribution/_uniform.py,sha256=7xJmCZH_LPhuGkwEDGh-_CTtzcWKrXMOxtTJUFb7Ydo,1607
 cuqi/experimental/__init__.py,sha256=vhZvyMX6rl8Y0haqCzGLPz6PSUKyu75XMQbeDHqTTrw,83
-cuqi/experimental/mcmc/__init__.py,sha256=RSS6rO6rT_kPSwLDXNP-HU7WQKYMd6ij_qt42VOmQqA,231
+cuqi/experimental/mcmc/__init__.py,sha256=MV1lHnRJTBsJMYEywnEx4iTEEAvN1SLIXhpRU_eiX-8,258
+cuqi/experimental/mcmc/_cwmh.py,sha256=G-8YjMqPraZm1Pm3n6scFkpa65gdtI1WTQxlL21etEI,8066
 cuqi/experimental/mcmc/_langevin_algorithm.py,sha256=ckVHDXLaw8hsUaOAFAEs7bL2Ny7W1QBKSc4AAC-TCis,9986
 cuqi/experimental/mcmc/_mh.py,sha256=AslackZJ3hPUNQfy70Fh9WoRPtcsHGqulI0LQgGHBus,3477
 cuqi/experimental/mcmc/_pcn.py,sha256=ma3pFqFgOmE7woZ41B5CGccKEuaacJPTmKvSEQhvtzs,3981
@@ -65,7 +66,7 @@ cuqi/sampler/_pcn.py,sha256=F0h9-nUFtkqn-o-1s8BCsmr8V7u6R7ycoCOeeV1uhj0,8601
 cuqi/sampler/_rto.py,sha256=-AtMiYq4fh7pF9zVqfYjYtQbIIEGayrWyRGTj8KecfE,11518
 cuqi/sampler/_sampler.py,sha256=TkZ_WAS-5Q43oICa-Elc2gftsRTBd7PEDUMDZ9tTGmU,5712
 cuqi/samples/__init__.py,sha256=E7B9IBUsiOBr-HAKH9o3_Lqhq4KeWO87hmesHkdbwTY,30
-cuqi/samples/_samples.py,sha256=6xXT_OmBmtlS6ucTHd57FmRo1gwHEaVuN3p8Llhj4KM,34640
+cuqi/samples/_samples.py,sha256=UUyAhADdkshZZ-wi1ICl3u7FYx1OU5NXgO-EeAS5TCc,34804
 cuqi/solver/__init__.py,sha256=DGl8IdUnochRXHNDEy_13o_VT0vLFY6FjMmmSH6YUkY,169
 cuqi/solver/_solver.py,sha256=TgezixCVf8nKGtEF9ZrkaTtAfxSs1Z8CR_cmhdTMqRw,22776
 cuqi/testproblem/__init__.py,sha256=DWTOcyuNHMbhEuuWlY5CkYkNDSAqhvsKmJXBLivyblU,202
@@ -73,8 +74,8 @@ cuqi/testproblem/_testproblem.py,sha256=x769LwwRdJdzIiZkcQUGb_5-vynNTNALXWKato7s
 cuqi/utilities/__init__.py,sha256=EfxHLdsyDNugbmbzs43nV_AeKcycM9sVBjG9WZydagA,351
 cuqi/utilities/_get_python_variable_name.py,sha256=QwlBVj2koJRA8s8pWd554p7-ElcI7HUwY32HknaR92E,1827
 cuqi/utilities/_utilities.py,sha256=At3DOXRdF3GwLkVcM2FXooGyjAGfPkIM0bRzhTfLmWk,8046
-CUQIpy-1.0.0.post0.dev57.dist-info/LICENSE,sha256=kJWRPrtRoQoZGXyyvu50Uc91X6_0XRaVfT0YZssicys,10799
-CUQIpy-1.0.0.post0.dev57.dist-info/METADATA,sha256=svDfpVBkUyYbdBo03Tj81BjwNt533tVFAE7NdD7WZZE,18386
-CUQIpy-1.0.0.post0.dev57.dist-info/WHEEL,sha256=GJ7t_kWBFywbagK5eo9IoUwLW6oyOeTKmQ-9iHFVNxQ,92
-CUQIpy-1.0.0.post0.dev57.dist-info/top_level.txt,sha256=AgmgMc6TKfPPqbjV0kvAoCBN334i_Lwwojc7HE3ZwD0,5
-CUQIpy-1.0.0.post0.dev57.dist-info/RECORD,,
+CUQIpy-1.0.0.post0.dev91.dist-info/LICENSE,sha256=kJWRPrtRoQoZGXyyvu50Uc91X6_0XRaVfT0YZssicys,10799
+CUQIpy-1.0.0.post0.dev91.dist-info/METADATA,sha256=KG8D1oXbdnsjU-xCHTLbwmzUCXkndGBNZ9-xGP6XguI,18392
+CUQIpy-1.0.0.post0.dev91.dist-info/WHEEL,sha256=GJ7t_kWBFywbagK5eo9IoUwLW6oyOeTKmQ-9iHFVNxQ,92
+CUQIpy-1.0.0.post0.dev91.dist-info/top_level.txt,sha256=AgmgMc6TKfPPqbjV0kvAoCBN334i_Lwwojc7HE3ZwD0,5
+CUQIpy-1.0.0.post0.dev91.dist-info/RECORD,,

cuqi/_version.py

@@ -8,11 +8,11 @@ import json
 
 version_json = '''
 {
- "date": "2024-03-13T21:35:58+0100",
+ "date": "2024-04-04T16:40:53+0200",
  "dirty": false,
  "error": null,
- "full-revisionid": "cf26d627541ac5ec0cb59b9982f4de36701ce0ac",
- "version": "1.0.0.post0.dev57"
+ "full-revisionid": "91a1edb3f1ae9412a27489f3faa9a4a9c8ff8a4a",
+ "version": "1.0.0.post0.dev91"
 }
 '''  # END VERSION_JSON
 

cuqi/experimental/mcmc/__init__.py

@@ -4,3 +4,4 @@ from ._sampler import SamplerNew, ProposalBasedSamplerNew
 from ._langevin_algorithm import ULANew, MALANew
 from ._mh import MHNew
 from ._pcn import pCNNew
+from ._cwmh import CWMHNew

cuqi/experimental/mcmc/_cwmh.py

@@ -0,0 +1,221 @@
+import numpy as np
+import cuqi
+from cuqi.experimental.mcmc import ProposalBasedSamplerNew
+from cuqi.array import CUQIarray
+from numbers import Number
+
+class CWMHNew(ProposalBasedSamplerNew):
+    """Component-wise Metropolis Hastings sampler.
+
+    Allows sampling of a target distribution by a component-wise random-walk
+    sampling of a proposal distribution along with an accept/reject step.
+
+    Parameters
+    ----------
+
+    target : `cuqi.distribution.Distribution` or lambda function
+        The target distribution to sample. Custom logpdfs are supported by using
+        a :class:`cuqi.distribution.UserDefinedDistribution`.
+    
+    proposal : `cuqi.distribution.Distribution` or callable method
+        The proposal to sample from. If a callable method it should provide a
+        single independent sample from proposal distribution. Defaults to a
+        Gaussian proposal.  *Optional*.
+
+    scale : float or ndarray
+        Scale parameter used to define correlation between previous and proposed
+        sample in random-walk.  *Optional*. If float, the same scale is used for
+        all dimensions. If ndarray, a (possibly) different scale is used for
+        each dimension.
+
+    initial_point : ndarray
+        Initial parameters. *Optional*
+
+    callback : callable, *Optional*
+        If set this function will be called after every sample.
+        The signature of the callback function is
+        `callback(sample, sample_index)`, where `sample` is the current sample
+        and `sample_index` is the index of the sample.
+        An example is shown in demos/demo31_callback.py.
+
+    kwargs : dict
+        Additional keyword arguments to be passed to the base class 
+        :class:`ProposalBasedSamplerNew`.
+
+    Example
+    -------
+    .. code-block:: python
+        import numpy as np
+        import cuqi
+        # Parameters
+        dim = 5 # Dimension of distribution
+        mu = np.arange(dim) # Mean of Gaussian
+        std = 1 # standard deviation of Gaussian
+
+        # Logpdf function
+        logpdf_func = lambda x: -1/(std**2)*np.sum((x-mu)**2)
+
+        # Define distribution from logpdf as UserDefinedDistribution (sample
+        # and gradients also supported as inputs to UserDefinedDistribution)
+        target = cuqi.distribution.UserDefinedDistribution(
+            dim=dim, logpdf_func=logpdf_func)
+
+        # Set up sampler
+        sampler = cuqi.experimental.mcmc.CWMHNew(target, scale=1)
+
+        # Sample
+        samples = sampler.sample(2000).get_samples()
+
+    """
+    def __init__(self, target: cuqi.density.Density, proposal=None, scale=1,
+                 initial_point=None, **kwargs):
+        super().__init__(target, proposal=proposal, scale=scale,
+                         initial_point=initial_point, **kwargs)
+
+        # set initial scale
+        self.scale = scale
+
+        # set initial acceptance rate
+        self._acc = [np.ones((self.dim))]
+
+    @property
+    def scale(self):
+        """ Get the scale parameter. """
+        return self._scale
+
+    @scale.setter
+    def scale(self, value):
+        """ Set the scale parameter. """
+        if isinstance(value, Number):
+            self._scale = np.ones(self.dim)*value
+        elif isinstance(value, np.ndarray):
+            self._scale = value
+        self._scale_temp = self._scale.copy()
+
+    def validate_target(self):
+        if not isinstance(self.target, cuqi.density.Density):
+            raise ValueError(
+                "Target should be an instance of "+\
+                f"{cuqi.density.Density.__class__.__name__}")
+
+    @ProposalBasedSamplerNew.proposal.setter
+    # TODO. Check if we can refactor this.
+    # We can work with a validate_proposal method instead?
+    def proposal(self, value):
+        fail_msg = "Proposal should be either None, "+\
+            f"{cuqi.distribution.Distribution.__class__.__name__} "+\
+            "conditioned only on 'location' and 'scale', lambda function, "+\
+            f"or {cuqi.distribution.Normal.__class__.__name__} conditioned "+\
+            "only on 'mean' and 'std'"
+
+        if value is None:
+            self._proposal = cuqi.distribution.Normal(
+                mean=lambda location: location,
+                std=lambda scale: scale,
+                geometry=self.dim,
+            )
+
+        elif isinstance(value, cuqi.distribution.Distribution) and sorted(
+            value.get_conditioning_variables()
+        ) == ["location", "scale"]:
+            self._proposal = value
+
+        elif isinstance(value, cuqi.distribution.Normal) and sorted(
+            value.get_conditioning_variables()
+        ) == ["mean", "std"]:
+            self._proposal = value(
+                mean=lambda location: location, std=lambda scale: scale
+            )
+
+        elif not isinstance(value, cuqi.distribution.Distribution) and callable(
+            value):
+            self._proposal = value
+
+        else:
+            raise ValueError(fail_msg)
+
+    def step(self):
+        # Initialize x_t which is used to store the current CWMH sample
+        x_t = self.current_point.copy()
+
+        # Initialize x_star which is used to store the proposed sample by
+        # updating the current sample component-by-component
+        x_star = self.current_point.copy()
+
+        # Propose a sample x_all_components from the proposal distribution
+        # for all the components
+        target_eval_t = self.current_target
+        if isinstance(self.proposal,cuqi.distribution.Distribution):
+            x_all_components = self.proposal(
+                location= self.current_point, scale=self.scale).sample()
+        else:
+            x_all_components = self.proposal(self.current_point, self.scale)
+
+        # Initialize acceptance rate
+        acc = np.zeros(self.dim)
+
+        # Loop over all the components of the sample and accept/reject
+        # each component update.
+        for j in range(self.dim):
+            # propose state x_star by updating the j-th component
+            x_star[j] = x_all_components[j]
+
+            # evaluate target
+            target_eval_star = self.target.logd(x_star)
+
+            # compute Metropolis acceptance ratio
+            alpha = min(0, target_eval_star - target_eval_t)
+
+            # accept/reject
+            u_theta = np.log(np.random.rand())
+            if (u_theta <= alpha): # accept
+                x_t[j] = x_all_components[j]
+                target_eval_t = target_eval_star
+                acc[j] = 1
+
+            x_star = x_t.copy()
+
+        self.current_target = target_eval_t
+        self.current_point = x_t
+
+        return acc
+
+    def tune(self, skip_len, update_count):
+        # Store update_count in variable i for readability
+        i = update_count
+
+        # Optimal acceptance rate for CWMH
+        star_acc = 0.21/self.dim + 0.23
+
+        # Mean of acceptance rate over the last skip_len samples
+        hat_acc = np.mean(self._acc[i*skip_len:(i+1)*skip_len], axis=0)
+
+        # Compute new intermediate scaling parameter scale_temp
+        # Factor zeta ensures that the variation of the scale update vanishes
+        zeta = 1/np.sqrt(update_count+1)  
+        scale_temp = np.exp(
+            np.log(self._scale_temp) + zeta*(hat_acc-star_acc))
+
+        # Update the scale parameter
+        self.scale = np.minimum(scale_temp, np.ones(self.dim))
+        self._scale_temp = scale_temp
+
+    def get_state(self):
+        current_point = self.current_point
+        if isinstance(current_point, CUQIarray):
+            current_point = current_point.to_numpy()
+
+        return {'sampler_type': 'CWMH',
+                'current_point': current_point,
+                'current_target': self.current_target,
+                'scale': self.scale}
+
+    def set_state(self, state):
+        current_point = state['current_point']
+        if not isinstance(current_point, CUQIarray):
+            current_point = CUQIarray(current_point,
+                                      geometry=self.target.geometry)
+
+        self.current_point = current_point
+        self.current_target = state['current_target']
+        self.scale = state['scale']

cuqi/samples/_samples.py

@@ -8,13 +8,20 @@ from copy import copy
 from numbers import Number
 
 try:
-    import arviz # Plotting tool
-except ImportError:
+    import arviz  # Plotting tool
+except ImportError as e:
     arviz = None
+    arviz_import_error = e
+
 
 def _check_for_arviz():
     if arviz is None:
-        raise ImportError("The arviz package is required for this functionality. Please install arviz using `pip install arviz`.")
+        msg = "The arviz package is required for this functionality. "\
+            + "Please make sure arviz is installed. "\
+            + "See below for the original error message:\n"\
+            + arviz_import_error.args[0]
+
+        raise ImportError(msg)
 
 
 class Samples(object):