CUQIpy 1.3.0.post0.dev298__py3-none-any.whl → 1.4.0.post0.dev92__py3-none-any.whl

cuqi/experimental/mcmc/_pcn.py

@@ -1,89 +0,0 @@
-import numpy as np
-import cuqi
-from cuqi.experimental.mcmc import Sampler
-from cuqi.array import CUQIarray
-
-class PCN(Sampler):  # Refactor to Proposal-based sampler?
-
-    _STATE_KEYS = Sampler._STATE_KEYS.union({'scale', 'current_likelihood_logd', 'lambd'})
-
-    def __init__(self, target=None, scale=1.0, **kwargs):
-
-        super().__init__(target, **kwargs)
-        self.initial_scale = scale
-
-    def _initialize(self):
-        self.scale = self.initial_scale
-        self.current_likelihood_logd = self._loglikelihood(self.current_point)
-
-        # parameters used in the Robbins-Monro recursion for tuning the scale parameter
-        # see details and reference in the tune method
-        self.lambd = self.scale
-        self.star_acc = 0.44 #TODO: 0.234 # target acceptance rate
-
-    def validate_target(self):
-        if not isinstance(self.target, cuqi.distribution.Posterior):
-            raise ValueError(f"To initialize an object of type {self.__class__}, 'target' need to be of type 'cuqi.distribution.Posterior'.")
-        if not isinstance(self.prior, (cuqi.distribution.Gaussian, cuqi.distribution.Normal)):
-            raise ValueError("The prior distribution of the target need to be Gaussian")
-
-    def step(self):
-        # propose state
-        xi = self.prior.sample(1).flatten()   # sample from the prior
-        x_star = np.sqrt(1-self.scale**2)*self.current_point + self.scale*xi   # PCN proposal
-
-        # evaluate target
-        loglike_eval_star =  self._loglikelihood(x_star) 
-
-        # ratio and acceptance probability
-        ratio = loglike_eval_star - self.current_likelihood_logd  # proposal is symmetric
-        alpha = min(0, ratio)
-
-        # accept/reject
-        acc = 0
-        u_theta = np.log(np.random.rand())
-        if (u_theta <= alpha):
-            self.current_point = x_star
-            self.current_likelihood_logd = loglike_eval_star
-            acc = 1
-        
-        return acc
-
-    @property
-    def prior(self):
-        return self.target.prior
-
-    @property
-    def likelihood(self):
-        return self.target.likelihood
-        
-    def _loglikelihood(self, x):
-        return self.likelihood.logd(x)
-
-    @property
-    def dim(self): # TODO. Check if we need this. Implemented in base class
-        if hasattr(self,'target') and hasattr(self.target,'dim'):
-            self._dim = self.target.dim
-        elif hasattr(self,'target') and isinstance(self.target,tuple) and len(self.target)==2:
-            self._dim = self.target[0].dim
-        return self._dim
-
-    def tune(self, skip_len, update_count):
-        """
-        Tune the scale parameter of the PCN sampler.
-        The tuning is based on algorithm 4 in Andrieu, Christophe, and Johannes Thoms. 
-        "A tutorial on adaptive MCMC." Statistics and computing 18 (2008): 343-373.
-        Note: the tuning algorithm here is the same as the one used in MH sampler.
-        """
-
-        # average acceptance rate in the past skip_len iterations
-        hat_acc = np.mean(self._acc[-skip_len:])
-
-        # new scaling parameter zeta to be used in the Robbins-Monro recursion
-        zeta = 1/np.sqrt(update_count+1)
-
-        # Robbins-Monro recursion to ensure that the variation of lambd vanishes
-        self.lambd = np.exp(np.log(self.lambd) + zeta*(hat_acc-self.star_acc))
-
-        # update scale parameter
-        self.scale = min(self.lambd, 1)

cuqi/experimental/mcmc/_rto.py

@@ -1,306 +0,0 @@
-import scipy as sp
-from scipy.linalg.interpolative import estimate_spectral_norm
-from scipy.sparse.linalg import LinearOperator as scipyLinearOperator
-import numpy as np
-import cuqi
-from cuqi.solver import CGLS, FISTA, ADMM, ScipyLinearLSQ, ScipyMinimizer
-from cuqi.experimental.mcmc import Sampler
-
-
-class LinearRTO(Sampler):
-    """
-    Linear RTO (Randomize-Then-Optimize) sampler.
-
-    Samples posterior related to the inverse problem with Gaussian likelihood and prior, and where the forward model is linear or more generally affine.
-
-    Parameters
-    ------------
-    target : `cuqi.distribution.Posterior`, `cuqi.distribution.MultipleLikelihoodPosterior` or 5-dimensional tuple.
-        If target is of type cuqi.distribution.Posterior or cuqi.distribution.MultipleLikelihoodPosterior, it represents the posterior distribution.
-        If target is a 5-dimensional tuple, it assumes the following structure:
-        (data, model, L_sqrtprec, P_mean, P_sqrtrec)
-        
-        Here:
-        data: is a m-dimensional numpy array containing the measured data.
-        model: is a m by n dimensional matrix, AffineModel or LinearModel representing the forward model.
-        L_sqrtprec: is the squareroot of the precision matrix of the Gaussian likelihood.
-        P_mean: is the prior mean.
-        P_sqrtprec: is the squareroot of the precision matrix of the Gaussian mean.
-
-    initial_point : `np.ndarray` 
-        Initial point for the sampler. *Optional*.
-
-    maxit : int
-        Maximum number of iterations of the inner CGLS solver. *Optional*.
-
-    tol : float
-        Tolerance of the inner CGLS solver. *Optional*.
-
-    callback : callable, optional
-        A function that will be called after each sampling step. It can be useful for monitoring the sampler during sampling.
-        The function should take three arguments: the sampler object, the index of the current sampling step, the total number of requested samples. The last two arguments are integers. An example of the callback function signature is: `callback(sampler, sample_index, num_of_samples)`.
-        
-    """
-    def __init__(self, target=None, initial_point=None, maxit=10, tol=1e-6, **kwargs):
-
-        super().__init__(target=target, initial_point=initial_point, **kwargs)
-
-        # Other parameters
-        self.maxit = maxit
-        self.tol = tol
-
-    def _initialize(self):
-        self._precompute()
-
-    @property
-    def prior(self):
-        return self.target.prior
-
-    @property
-    def likelihood(self):
-        return self.target.likelihood
-    
-    @property
-    def likelihoods(self):
-        if isinstance(self.target, cuqi.distribution.Posterior):
-            return [self.target.likelihood]
-        elif isinstance(self.target, cuqi.distribution.MultipleLikelihoodPosterior):
-            return self.target.likelihoods
-
-    @property
-    def model(self):
-        return self.target.model 
-
-    @property
-    def models(self):
-        if isinstance(self.target, cuqi.distribution.Posterior):
-            return [self.target.model]
-        elif isinstance(self.target, cuqi.distribution.MultipleLikelihoodPosterior):
-            return self.target.models    
-
-    def _precompute(self):
-        L1 = [likelihood.distribution.sqrtprec for likelihood in self.likelihoods]
-        L2 = self.prior.sqrtprec
-        L2mu = self.prior.sqrtprecTimesMean
-
-        # pre-computations
-        self.n = self.prior.dim
-        self.b_tild = np.hstack([L@(likelihood.data - model._shift) for (L, likelihood, model) in zip(L1, self.likelihoods, self.models)]+ [L2mu]) # With shift from AffineModel
-        callability = [callable(likelihood.model) for likelihood in self.likelihoods]
-        notcallability = [not c for c in callability]
-        if all(notcallability):
-            self.M = sp.sparse.vstack([L@likelihood.model for (L, likelihood) in zip(L1, self.likelihoods)] + [L2])
-        elif all(callability):
-            # in this case, model is a function doing forward and backward operations
-            def M(x, flag):
-                if flag == 1:
-                    out1 = [L @ likelihood.model._forward_func_no_shift(x) for (L, likelihood) in zip(L1, self.likelihoods)] # Use forward function which excludes shift
-                    out2 = L2 @ x
-                    out  = np.hstack(out1 + [out2])
-                elif flag == 2:
-                    idx_start = 0
-                    idx_end = 0
-                    out1 = np.zeros(self.n)
-                    for likelihood in self.likelihoods:
-                        idx_end += len(likelihood.data)
-                        out1 += likelihood.model._adjoint_func_no_shift(likelihood.distribution.sqrtprec.T@x[idx_start:idx_end])
-                        idx_start = idx_end
-                    out2 = L2.T @ x[idx_end:]
-                    out  = out1 + out2                
-                return out   
-            self.M = M  
-        else:
-            raise TypeError("All likelihoods need to be callable or none need to be callable.")
-
-    def step(self):
-        y = self.b_tild + np.random.randn(len(self.b_tild))
-        sim = CGLS(self.M, y, self.current_point, self.maxit, self.tol)            
-        self.current_point, _ = sim.solve()
-        acc = 1
-        return acc
-
-    def tune(self, skip_len, update_count):
-        pass
-    
-    def validate_target(self):
-        # Check target type
-        if not isinstance(self.target, (cuqi.distribution.Posterior, cuqi.distribution.MultipleLikelihoodPosterior)):
-            raise ValueError(f"To initialize an object of type {self.__class__}, 'target' need to be of type 'cuqi.distribution.Posterior' or 'cuqi.distribution.MultipleLikelihoodPosterior'.")       
-
-        # Check Linear model and Gaussian likelihood(s)
-        if isinstance(self.target, cuqi.distribution.Posterior):
-            if not isinstance(self.model, cuqi.model.AffineModel):
-                raise TypeError("Model needs to be linear or more generally affine")
-
-            if not hasattr(self.likelihood.distribution, "sqrtprec"):
-                raise TypeError("Distribution in Likelihood must contain a sqrtprec attribute")
-            
-        elif isinstance(self.target, cuqi.distribution.MultipleLikelihoodPosterior): # Elif used for further alternatives, e.g., stacked posterior
-            for likelihood in self.likelihoods:
-                if not isinstance(likelihood.model, cuqi.model.AffineModel):
-                    raise TypeError("Model needs to be linear or more generally affine")
-
-                if not hasattr(likelihood.distribution, "sqrtprec"):
-                    raise TypeError("Distribution in Likelihood must contain a sqrtprec attribute")
-        
-        # Check Gaussian prior
-        if not hasattr(self.prior, "sqrtprec"):
-            raise TypeError("prior must contain a sqrtprec attribute")
-
-        if not hasattr(self.prior, "sqrtprecTimesMean"):
-            raise TypeError("Prior must contain a sqrtprecTimesMean attribute")
-    
-    def _get_default_initial_point(self, dim):
-        """ Get the default initial point for the sampler. Defaults to an array of zeros. """
-        return np.zeros(dim)
-
-class RegularizedLinearRTO(LinearRTO):
-    """
-    Regularized Linear RTO (Randomize-Then-Optimize) sampler.
-
-    Samples posterior related to the inverse problem with Gaussian likelihood and implicit Gaussian prior, and where the forward model is Linear.
-    The sampler works by repeatedly solving regularized linear least squares problems for perturbed data.
-    The solver for these optimization problems is chosen based on how the regularized is provided in the implicit Gaussian prior.
-    Currently we use the following solvers:
-    FISTA: [1] Beck, Amir, and Marc Teboulle. "A fast iterative shrinkage-thresholding algorithm for linear inverse problems." SIAM journal on imaging sciences 2.1 (2009): 183-202.
-           Used when prior.proximal is callable.
-    ADMM:  [2] Boyd et al. "Distributed optimization and statistical learning via the alternating direction method of multipliers."Foundations and Trends® in Machine learning, 2011.
-           Used when prior.proximal is a list of penalty terms.
-    ScipyLinearLSQ: Wrapper for Scipy's lsq_linear for the Trust Region Reflective algorithm. Optionally used when the constraint is either "nonnegativity" or "box".
-    ScipyMinimizer: Wrapper for Scipy's minimize. Optionally used when the constraint is either "nonnegativity" or "box".
-
-    Parameters
-    ------------
-    target : `cuqi.distribution.Posterior`
-        See `cuqi.sampler.LinearRTO`
-
-    initial_point : `np.ndarray` 
-        Initial point for the sampler. *Optional*.
-
-    maxit : int
-        Maximum number of iterations of the FISTA/ADMM/ScipyLinearLSQ/ScipyMinimizer solver. *Optional*.
-
-    inner_max_it : int
-        Maximum number of iterations of the CGLS solver used within the ADMM solver. *Optional*.
-        
-    stepsize : string or float
-        If stepsize is a string and equals either "automatic", then the stepsize is automatically estimated based on the spectral norm.
-        If stepsize is a float, then this stepsize is used.
-
-    penalty_parameter : int
-        Penalty parameter of the ADMM solver. *Optional*.
-        See [2] or `cuqi.solver.ADMM`
-
-    abstol : float
-        Absolute tolerance of the FISTA/ScipyLinearLSQ/ScipyMinimizer solver. *Optional*.
-    
-    inner_abstol : float
-        Tolerance parameter for ScipyLinearLSQ's inner solve of the unbounded least-squares problem. *Optional*.
-    
-    adaptive : bool
-        If True, FISTA is used as solver, otherwise ISTA is used. *Optional*.
-    
-    solver : string
-        Options are "FISTA" (default for a single constraint or regularization), "ADMM" (default and the only option for multiple constraints or regularizations), "ScipyLinearLSQ" and "ScipyMinimizer". Note "ScipyLinearLSQ" and "ScipyMinimizer" can only be used with `RegularizedGaussian` of a single `box` or `nonnegativity` constraint. *Optional*.
-
-    callback : callable, optional
-        A function that will be called after each sampling step. It can be useful for monitoring the sampler during sampling.
-        The function should take three arguments: the sampler object, the index of the current sampling step, the total number of requested samples. The last two arguments are integers. An example of the callback function signature is: `callback(sampler, sample_index, num_of_samples)`.
-        
-    """
-    def __init__(self, target=None, initial_point=None, maxit=100, inner_max_it=10, stepsize="automatic", penalty_parameter=10, abstol=1e-10, adaptive=True, solver=None, inner_abstol=None, **kwargs):
-        
-        super().__init__(target=target, initial_point=initial_point, **kwargs)
-
-        # Other parameters
-        self.stepsize = stepsize
-        self.abstol = abstol
-        self.inner_abstol = inner_abstol
-        self.adaptive = adaptive
-        self.maxit = maxit
-        self.inner_max_it = inner_max_it
-        self.penalty_parameter = penalty_parameter
-        self.solver = solver
-
-    def _initialize(self):
-        super()._initialize()
-        if self.solver is None:
-            self.solver = "FISTA" if callable(self.proximal) else "ADMM"
-        if self.solver == "FISTA":
-            self._stepsize = self._choose_stepsize()
-
-    @property
-    def solver(self):
-        return self._solver
-
-    @solver.setter
-    def solver(self, value):
-        if value == "ScipyLinearLSQ" or value == "ScipyMinimizer":
-            if (self.target.prior.preset["constraint"] == "nonnegativity" or self.target.prior.preset["constraint"] == "box"):
-                self._solver = value
-            else:
-                raise ValueError("ScipyLinearLSQ and ScipyMinimizer only support RegularizedGaussian with box or nonnegativity constraint.")
-        else:
-            self._solver = value
-
-    @property
-    def proximal(self):
-        return self.target.prior.proximal
-    
-    def validate_target(self):
-        super().validate_target()
-        if not isinstance(self.target.prior, (cuqi.implicitprior.RegularizedGaussian, cuqi.implicitprior.RegularizedGMRF)):
-            raise TypeError("Prior needs to be RegularizedGaussian or RegularizedGMRF")
-
-    def _choose_stepsize(self):
-        if isinstance(self.stepsize, str):
-            if self.stepsize in ["automatic"]:
-                if not callable(self.M):
-                    M_op = scipyLinearOperator(self.M.shape, matvec = lambda v: self.M@v, rmatvec = lambda w: self.M.T@w)
-                else:
-                    M_op = scipyLinearOperator((len(self.b_tild), self.n), matvec = lambda v: self.M(v,1), rmatvec = lambda w: self.M(w,2))
-                    
-                _stepsize = 0.99/(estimate_spectral_norm(M_op)**2)
-                # print(f"Estimated stepsize for regularized Linear RTO: {_stepsize}")
-            else:
-                raise ValueError("Stepsize choice not supported")
-        else:
-            _stepsize = self.stepsize
-        return _stepsize
-
-    @property
-    def prior(self):
-        return self.target.prior.gaussian
-
-    def step(self):
-        y = self.b_tild + np.random.randn(len(self.b_tild))
-
-        if self.solver == "FISTA":
-            sim = FISTA(self.M, y, self.proximal,
-                        self.current_point, maxit = self.maxit, stepsize = self._stepsize, abstol = self.abstol, adaptive = self.adaptive)         
-        elif self.solver == "ADMM":
-            sim = ADMM(self.M, y, self.proximal,
-                        self.current_point, self.penalty_parameter, maxit = self.maxit, inner_max_it = self.inner_max_it, adaptive = self.adaptive)
-        elif self.solver == "ScipyLinearLSQ":
-            A_op = sp.sparse.linalg.LinearOperator((sum([llh.distribution.dim for llh in self.likelihoods])+self.target.prior.dim, self.target.prior.dim),
-                                    matvec=lambda x: self.M(x, 1),
-                                    rmatvec=lambda x: self.M(x, 2)
-                                    )
-            sim = ScipyLinearLSQ(A_op, y, self.target.prior._box_bounds, 
-                                    max_iter = self.maxit,
-                                    lsmr_maxiter = self.inner_max_it, 
-                                    tol = self.abstol,
-                                    lsmr_tol = self.inner_abstol)
-        elif self.solver == "ScipyMinimizer":
-            # Adapt bounds format, as scipy.minimize requires a bounds format 
-            # different than that in scipy.lsq_linear.
-            bounds = [(self.target.prior._box_bounds[0][i], self.target.prior._box_bounds[1][i]) for i in range(self.target.prior.dim)]
-            # Note that the objective function is defined as 0.5*||Mx-y||^2, 
-            # and the corresponding gradient (gradfunc) is given by M^T(Mx-y).
-            sim = ScipyMinimizer(lambda x: 0.5*np.sum((self.M(x, 1)-y)**2), self.current_point, gradfunc=lambda x: self.M(self.M(x, 1) - y, 2), bounds=bounds, tol=self.abstol, options={"maxiter": self.maxit})
-        else:
-            raise ValueError("Choice of solver not supported.")
-
-        self.current_point, _ = sim.solve()
-        acc = 1
-        return acc