aspire-inference 0.1.0a2__py3-none-any.whl

aspire/samples.py

@@ -0,0 +1,476 @@
+from __future__ import annotations
+
+import copy
+import logging
+import math
+from dataclasses import dataclass, field
+from typing import Any, Callable
+
+import numpy as np
+from array_api_compat import (
+    array_namespace,
+    is_numpy_namespace,
+    to_device,
+)
+from array_api_compat import device as api_device
+from array_api_compat.common._typing import Array
+
+from .utils import asarray, logsumexp, recursively_save_to_h5_file, to_numpy
+
+logger = logging.getLogger(__name__)
+
+
+@dataclass
+class BaseSamples:
+    """Class for storing samples and corresponding weights.
+
+    If :code:`xp` is not specified, all inputs will be converted to match
+    the array type of :code:`x`.
+    """
+
+    x: Array
+    log_likelihood: Array | None = None
+    log_prior: Array | None = None
+    log_q: Array | None = None
+    parameters: list[str] | None = None
+    xp: Callable | None = None
+    device: Any = None
+
+    def __post_init__(self):
+        if self.xp is None:
+            self.xp = array_namespace(self.x)
+        # Numpy arrays need to be on the CPU before being converted
+        if is_numpy_namespace(self.xp):
+            self.device = "cpu"
+        self.x = self.array_to_namespace(self.x)
+        if self.device is None:
+            self.device = api_device(self.x)
+        if self.log_likelihood is not None:
+            self.log_likelihood = self.array_to_namespace(self.log_likelihood)
+        if self.log_prior is not None:
+            self.log_prior = self.array_to_namespace(self.log_prior)
+        if self.log_q is not None:
+            self.log_q = self.array_to_namespace(self.log_q)
+
+        if self.parameters is None:
+            self.parameters = [f"x_{i}" for i in range(self.dims)]
+
+    @property
+    def dims(self):
+        """Number of dimensions (parameters) in the samples."""
+        if self.x is None:
+            return 0
+        return self.x.shape[1] if self.x.ndim > 1 else 1
+
+    def to_numpy(self):
+        logger.debug("Converting samples to numpy arrays")
+        return self.__class__(
+            x=to_numpy(self.x),
+            parameters=self.parameters,
+            log_likelihood=to_numpy(self.log_likelihood)
+            if self.log_likelihood is not None
+            else None,
+            log_prior=to_numpy(self.log_prior)
+            if self.log_prior is not None
+            else None,
+            log_q=to_numpy(self.log_q) if self.log_q is not None else None,
+        )
+
+    def to_namespace(self, xp):
+        logger.debug("Converting samples to {} namespace", xp)
+        return self.__class__(
+            x=asarray(self.x, xp),
+            parameters=self.parameters,
+            log_likelihood=asarray(self.log_likelihood, xp)
+            if self.log_likelihood is not None
+            else None,
+            log_prior=asarray(self.log_prior, xp)
+            if self.log_prior is not None
+            else None,
+            log_q=asarray(self.log_q, xp) if self.log_q is not None else None,
+        )
+
+    def array_to_namespace(self, x):
+        """Convert an array to the same namespace as the samples"""
+        x = asarray(x, self.xp)
+        if self.device:
+            x = to_device(x, self.device)
+        return x
+
+    def to_dict(self, flat: bool = True):
+        samples = dict(zip(self.parameters, self.x.T, strict=True))
+        out = {
+            "log_likelihood": self.log_likelihood,
+            "log_prior": self.log_prior,
+            "log_q": self.log_q,
+        }
+        if flat:
+            out.update(samples)
+        else:
+            out["samples"] = samples
+        return out
+
+    def to_dataframe(self, flat: bool = True):
+        import pandas as pd
+
+        return pd.DataFrame(self.to_dict(flat=flat))
+
+    def plot_corner(self, parameters: list[str] | None = None, **kwargs):
+        import corner
+
+        kwargs = copy.deepcopy(kwargs)
+        kwargs.setdefault("labels", self.parameters)
+
+        if parameters is not None:
+            indices = [self.parameters.index(p) for p in parameters]
+            kwargs["labels"] = parameters
+            x = self.x[:, indices] if self.x.ndim > 1 else self.x[indices]
+        else:
+            x = self.x
+        fig = corner.corner(to_numpy(x), **kwargs)
+        return fig
+
+    def __str__(self):
+        out = (
+            f"No. samples: {len(self.x)}\n"
+            f"No. parameters: {len(self.parameters)}\n"
+        )
+        return out
+
+    def save(self, h5_file, path="samples", flat=False):
+        """Save the samples to an HDF5 file.
+
+        This converts the samples to numpy and then to a dictionary.
+
+        Parameters
+        ----------
+        h5_file : h5py.File
+            The HDF5 file to save to.
+        path : str
+            The path in the HDF5 file to save to.
+        flat : bool
+            If True, save the samples as a flat dictionary.
+            If False, save the samples as a nested dictionary.
+        """
+        dictionary = self.to_numpy().to_dict(flat=flat)
+        recursively_save_to_h5_file(h5_file, path, dictionary)
+
+    def __len__(self):
+        return len(self.x)
+
+    def __getitem__(self, idx) -> BaseSamples:
+        return self.__class__(
+            x=self.x[idx],
+            log_likelihood=self.log_likelihood[idx]
+            if self.log_likelihood is not None
+            else None,
+            log_prior=self.log_prior[idx]
+            if self.log_prior is not None
+            else None,
+            log_q=self.log_q[idx] if self.log_q is not None else None,
+            parameters=self.parameters,
+        )
+
+    def __setitem__(self, idx, value: BaseSamples):
+        raise NotImplementedError("Setting items is not supported")
+
+    @classmethod
+    def concatenate(cls, samples: list[BaseSamples]) -> BaseSamples:
+        """Concatenate multiple Samples objects."""
+        if not samples:
+            raise ValueError("No samples to concatenate")
+        if not all(s.parameters == samples[0].parameters for s in samples):
+            raise ValueError("Parameters do not match")
+        if not all(s.xp == samples[0].xp for s in samples):
+            raise ValueError("Array namespaces do not match")
+        xp = samples[0].xp
+        return cls(
+            x=xp.concatenate([s.x for s in samples], axis=0),
+            log_likelihood=xp.concatenate(
+                [s.log_likelihood for s in samples], axis=0
+            )
+            if all(s.log_likelihood is not None for s in samples)
+            else None,
+            log_prior=xp.concatenate([s.log_prior for s in samples], axis=0)
+            if all(s.log_prior is not None for s in samples)
+            else None,
+            log_q=xp.concatenate([s.log_q for s in samples], axis=0)
+            if all(s.log_q is not None for s in samples)
+            else None,
+            parameters=samples[0].parameters,
+        )
+
+    @classmethod
+    def from_samples(cls, samples: BaseSamples, **kwargs) -> BaseSamples:
+        """Create a Samples object from a BaseSamples object."""
+        xp = kwargs.pop("xp", samples.xp)
+        device = kwargs.pop("device", samples.device)
+        return cls(
+            x=samples.x,
+            log_likelihood=samples.log_likelihood,
+            log_prior=samples.log_prior,
+            log_q=samples.log_q,
+            parameters=samples.parameters,
+            xp=xp,
+            device=device,
+            **kwargs,
+        )
+
+
+@dataclass
+class Samples(BaseSamples):
+    """Class for storing samples and corresponding weights.
+
+    If :code:`xp` is not specified, all inputs will be converted to match
+    the array type of :code:`x`.
+    """
+
+    log_w: Array = field(init=False)
+    weights: Array = field(init=False)
+    evidence: float = field(init=False)
+    evidence_error: float = field(init=False)
+    log_evidence: float | None = None
+    log_evidence_error: float | None = None
+    effective_sample_size: float = field(init=False)
+
+    def __post_init__(self):
+        super().__post_init__()
+
+        if all(
+            x is not None
+            for x in [self.log_likelihood, self.log_prior, self.log_q]
+        ):
+            self.compute_weights()
+        else:
+            self.log_w = None
+            self.weights = None
+            self.evidence = None
+            self.evidence_error = None
+            self.effective_sample_size = None
+
+    @property
+    def efficiency(self):
+        """Efficiency of the weighted samples.
+
+        Defined as ESS / number of samples.
+        """
+        if self.log_w is None:
+            raise RuntimeError("Samples do not contain weights!")
+        return self.effective_sample_size / len(self.x)
+
+    def compute_weights(self):
+        """Compute the posterior weights."""
+        self.log_w = self.log_likelihood + self.log_prior - self.log_q
+        self.log_evidence = asarray(logsumexp(self.log_w), self.xp) - math.log(
+            len(self.x)
+        )
+        self.weights = self.xp.exp(self.log_w)
+        self.evidence = self.xp.exp(self.log_evidence)
+        n = len(self.x)
+        self.evidence_error = self.xp.sqrt(
+            self.xp.sum((self.weights - self.evidence) ** 2) / (n * (n - 1))
+        )
+        self.log_evidence_error = self.xp.abs(
+            self.evidence_error / self.evidence
+        )
+        log_w = self.log_w - self.xp.max(self.log_w)
+        self.effective_sample_size = self.xp.exp(
+            asarray(logsumexp(log_w) * 2 - logsumexp(log_w * 2), self.xp)
+        )
+
+    @property
+    def scaled_weights(self):
+        return self.xp.exp(self.log_w - self.xp.max(self.log_w))
+
+    def rejection_sample(self, rng=None):
+        if rng is None:
+            rng = np.random.default_rng()
+        log_u = asarray(
+            np.log(rng.uniform(size=len(self.x))), self.xp, device=self.device
+        )
+        log_w = self.log_w - self.xp.max(self.log_w)
+        accept = log_w > log_u
+        return self.__class__(
+            x=self.x[accept],
+            log_likelihood=self.log_likelihood[accept],
+            log_prior=self.log_prior[accept],
+        )
+
+    def to_dict(self, flat: bool = True):
+        samples = dict(zip(self.parameters, self.x.T, strict=True))
+        out = super().to_dict(flat=flat)
+        other = {
+            "log_w": self.log_w,
+            "weights": self.weights,
+            "evidence": self.evidence,
+            "log_evidence": self.log_evidence,
+            "evidence_error": self.evidence_error,
+            "log_evidence_error": self.log_evidence_error,
+            "effective_sample_size": self.effective_sample_size,
+        }
+        out.update(other)
+        if flat:
+            out.update(samples)
+        else:
+            out["samples"] = samples
+        return out
+
+    def plot_corner(self, include_weights: bool = True, **kwargs):
+        kwargs = copy.deepcopy(kwargs)
+        if (
+            include_weights
+            and self.weights is not None
+            and "weights" not in kwargs
+        ):
+            kwargs["weights"] = to_numpy(self.scaled_weights)
+        return super().plot_corner(**kwargs)
+
+    def __str__(self):
+        out = super().__str__()
+        if self.log_evidence is not None:
+            out += f"Log evidence: {self.log_evidence:.2f} +/- {self.log_evidence_error:.2f}\n"
+        if self.log_w is not None:
+            out += (
+                f"Effective sample size: {self.effective_sample_size:.1f}\n"
+                f"Efficiency: {self.efficiency:.2f}\n"
+            )
+        return out
+
+    def to_namespace(self, xp):
+        return self.__class__(
+            x=asarray(self.x, xp),
+            parameters=self.parameters,
+            log_likelihood=asarray(self.log_likelihood, xp)
+            if self.log_likelihood is not None
+            else None,
+            log_prior=asarray(self.log_prior, xp)
+            if self.log_prior is not None
+            else None,
+            log_q=asarray(self.log_q, xp) if self.log_q is not None else None,
+            log_evidence=asarray(self.log_evidence, xp)
+            if self.log_evidence is not None
+            else None,
+            log_evidence_error=asarray(self.log_evidence_error, xp)
+            if self.log_evidence_error is not None
+            else None,
+        )
+
+    def to_numpy(self):
+        return self.__class__(
+            x=to_numpy(self.x),
+            parameters=self.parameters,
+            log_likelihood=to_numpy(self.log_likelihood)
+            if self.log_likelihood is not None
+            else None,
+            log_prior=to_numpy(self.log_prior)
+            if self.log_prior is not None
+            else None,
+            log_q=to_numpy(self.log_q) if self.log_q is not None else None,
+            log_evidence=self.log_evidence
+            if self.log_evidence is not None
+            else None,
+            log_evidence_error=self.log_evidence_error
+            if self.log_evidence_error is not None
+            else None,
+        )
+
+    def __getitem__(self, idx):
+        sliced = super().__getitem__(idx)
+        return self.__class__.from_samples(
+            sliced,
+            log_evidence=self.log_evidence,
+            log_evidence_error=self.log_evidence_error,
+        )
+
+
+@dataclass
+class SMCSamples(BaseSamples):
+    beta: float | None = None
+    log_evidence: float | None = None
+    """Temperature parameter for the current samples."""
+
+    def log_p_t(self, beta):
+        log_p_T = self.log_likelihood + self.log_prior
+        return (1 - beta) * self.log_q + beta * log_p_T
+
+    def unnormalized_log_weights(self, beta: float) -> Array:
+        return (self.beta - beta) * self.log_q + (beta - self.beta) * (
+            self.log_likelihood + self.log_prior
+        )
+
+    def log_evidence_ratio(self, beta: float) -> float:
+        log_w = self.unnormalized_log_weights(beta)
+        return logsumexp(log_w) - math.log(len(self.x))
+
+    def log_evidence_ratio_variance(self, beta: float) -> float:
+        """Estimate the variance of the log evidence ratio using the delta method.
+
+        Defined as Var(log Z) = Var(w) / (E[w])^2 where w are the unnormalized weights.
+        """
+        log_w = self.unnormalized_log_weights(beta)
+        m = self.xp.max(log_w)
+        u = self.xp.exp(log_w - m)
+        mean_w = self.xp.mean(u)
+        var_w = self.xp.var(u)
+        return (
+            var_w / (len(self) * (mean_w**2)) if mean_w != 0 else self.xp.nan
+        )
+
+    def log_weights(self, beta: float) -> Array:
+        log_w = self.unnormalized_log_weights(beta)
+        if self.xp.isnan(log_w).any():
+            raise ValueError(f"Log weights contain NaN values for beta={beta}")
+        log_evidence_ratio = logsumexp(log_w) - math.log(len(self.x))
+        return log_w + log_evidence_ratio
+
+    def resample(
+        self,
+        beta,
+        n_samples: int | None = None,
+        rng: np.random.Generator = None,
+    ) -> "SMCSamples":
+        if beta == self.beta and n_samples is None:
+            logger.warning(
+                "Resampling with the same beta value, returning identical samples"
+            )
+            return self
+        if rng is None:
+            rng = np.random.default_rng()
+        if n_samples is None:
+            n_samples = len(self.x)
+        log_w = self.log_weights(beta)
+        w = to_numpy(self.xp.exp(log_w - logsumexp(log_w)))
+        idx = rng.choice(len(self.x), size=n_samples, replace=True, p=w)
+        return self.__class__(
+            x=self.x[idx],
+            log_likelihood=self.log_likelihood[idx],
+            log_prior=self.log_prior[idx],
+            log_q=self.log_q[idx],
+            beta=beta,
+        )
+
+    def __str__(self):
+        out = super().__str__()
+        if self.log_evidence is not None:
+            out += f"Log evidence: {self.log_evidence:.2f}\n"
+        return out
+
+    def to_standard_samples(self):
+        """Convert the samples to standard samples."""
+        return Samples(
+            x=self.x,
+            log_likelihood=self.log_likelihood,
+            log_prior=self.log_prior,
+            xp=self.xp,
+            parameters=self.parameters,
+            log_evidence=self.log_evidence,
+            log_evidence_error=self.log_evidence_error,
+        )
+
+    def __getitem__(self, idx):
+        sliced = super().__getitem__(idx)
+        return self.__class__.from_samples(
+            sliced,
+            beta=self.beta,
+            log_evidence=self.log_evidence,
+        )