copulas 0.10.1.dev0__py3-none-any.whl

copulas/multivariate/tree.py

@@ -0,0 +1,693 @@
+"""Multivariate trees module."""
+
+import logging
+from enum import Enum
+
+import numpy as np
+import scipy
+
+from copulas import EPSILON, get_qualified_name
+from copulas.bivariate.base import Bivariate
+from copulas.multivariate.base import Multivariate
+
+LOGGER = logging.getLogger(__name__)
+
+
+class TreeTypes(Enum):
+    """The available types of trees."""
+
+    CENTER = 0
+    DIRECT = 1
+    REGULAR = 2
+
+
+class Tree(Multivariate):
+    """Helper class to instantiate a single tree in the vine model."""
+
+    tree_type = None
+    fitted = False
+
+    def fit(self, index, n_nodes, tau_matrix, previous_tree, edges=None):
+        """Fit this tree object.
+
+        Args:
+            index (int):
+                index of the tree.
+            n_nodes (int):
+                number of nodes in the tree.
+            tau_matrix (numpy.array):
+                kendall's tau matrix of the data, shape (n_nodes, n_nodes).
+            previous_tree (Tree):
+                tree object of previous level.
+        """
+        self.level = index + 1
+        self.n_nodes = n_nodes
+        self.tau_matrix = tau_matrix
+        self.previous_tree = previous_tree
+        self.edges = edges or []
+
+        if not self.edges:
+            if self.level == 1:
+                self.u_matrix = previous_tree
+                self._build_first_tree()
+
+            else:
+                self._build_kth_tree()
+
+            self.prepare_next_tree()
+
+        self.fitted = True
+
+    def _check_constraint(self, edge1, edge2):
+        """Check if two edges satisfy vine constraint.
+
+        Args:
+            edge1 (Edge):
+                edge object representing edge1
+            edge2 (Edge):
+                edge object representing edge2
+
+        Returns:
+            bool:
+                True if the two edges satisfy vine constraints
+        """
+        full_node = {edge1.L, edge1.R, edge2.L, edge2.R}
+        full_node.update(edge1.D)
+        full_node.update(edge2.D)
+        return len(full_node) == (self.level + 1)
+
+    def _get_constraints(self):
+        """Get neighboring edges for each edge in the edges."""
+        num_edges = len(self.edges)
+        for k in range(num_edges):
+            for i in range(num_edges):
+                # add to constraints if i shared an edge with k
+                if k != i and self.edges[k].is_adjacent(self.edges[i]):
+                    self.edges[k].neighbors.append(i)
+
+    def _sort_tau_by_y(self, y):
+        """Sort tau matrix by dependece with variable y.
+
+        Args:
+            y (int):
+                index of variable of intrest
+
+        Returns:
+            numpy.ndarray:
+                sorted tau matrix.
+        """
+        # first column is the variable of interest
+        tau_y = self.tau_matrix[:, y]
+        tau_y[y] = np.NaN
+
+        temp = np.empty([self.n_nodes, 3])
+        temp[:, 0] = np.arange(self.n_nodes)
+        temp[:, 1] = tau_y
+        temp[:, 2] = abs(tau_y)
+        temp[np.isnan(temp)] = -10
+        sort_temp = temp[:, 2].argsort()[::-1]
+        tau_sorted = temp[sort_temp]
+
+        return tau_sorted
+
+    def get_tau_matrix(self):
+        """Get tau matrix for adjacent pairs.
+
+        Returns:
+            tau (numpy.ndarray):
+                tau matrix for the current tree
+        """
+        num_edges = len(self.edges)
+        tau = np.empty([num_edges, num_edges])
+
+        for i in range(num_edges):
+            edge = self.edges[i]
+            for j in edge.neighbors:
+                if self.level == 1:
+                    left_u = self.u_matrix[:, edge.L]
+                    right_u = self.u_matrix[:, edge.R]
+
+                else:
+                    left_parent, right_parent = edge.parents
+                    left_u, right_u = Edge.get_conditional_uni(left_parent, right_parent)
+
+                tau[i, j], pvalue = scipy.stats.kendalltau(left_u, right_u)
+
+        return tau
+
+    def get_adjacent_matrix(self):
+        """Get adjacency matrix.
+
+        Returns:
+            numpy.ndarray:
+                adjacency matrix
+        """
+        edges = self.edges
+        num_edges = len(edges) + 1
+        adj = np.zeros([num_edges, num_edges])
+
+        for k in range(num_edges - 1):
+            adj[edges[k].L, edges[k].R] = 1
+            adj[edges[k].R, edges[k].L] = 1
+
+        return adj
+
+    def prepare_next_tree(self):
+        """Prepare conditional U matrix for next tree."""
+        for edge in self.edges:
+            copula_theta = edge.theta
+
+            if self.level == 1:
+                left_u = self.u_matrix[:, edge.L]
+                right_u = self.u_matrix[:, edge.R]
+
+            else:
+                left_parent, right_parent = edge.parents
+                left_u, right_u = Edge.get_conditional_uni(left_parent, right_parent)
+
+            # compute conditional cdfs C(i|j) = dC(i,j)/duj and dC(i,j)/du
+            left_u = [x for x in left_u if x is not None]
+            right_u = [x for x in right_u if x is not None]
+            X_left_right = np.array([[x, y] for x, y in zip(left_u, right_u)])
+            X_right_left = np.array([[x, y] for x, y in zip(right_u, left_u)])
+
+            copula = Bivariate(copula_type=edge.name)
+            copula.theta = copula_theta
+            left_given_right = copula.partial_derivative(X_left_right)
+            right_given_left = copula.partial_derivative(X_right_left)
+
+            # correction of 0 or 1
+            left_given_right[left_given_right == 0] = EPSILON
+            right_given_left[right_given_left == 0] = EPSILON
+            left_given_right[left_given_right == 1] = 1 - EPSILON
+            right_given_left[right_given_left == 1] = 1 - EPSILON
+            edge.U = np.array([left_given_right, right_given_left])
+
+    def get_likelihood(self, uni_matrix):
+        """Compute likelihood of the tree given an U matrix.
+
+        Args:
+            uni_matrix (numpy.array):
+                univariate matrix to evaluate likelihood on.
+
+        Returns:
+            tuple[float, numpy.array]:
+                likelihood of the current tree, next level conditional univariate matrix
+        """
+        uni_dim = uni_matrix.shape[1]
+        num_edge = len(self.edges)
+        values = np.zeros([1, num_edge])
+        new_uni_matrix = np.empty([uni_dim, uni_dim])
+
+        for i in range(num_edge):
+            edge = self.edges[i]
+            value, left_u, right_u = edge.get_likelihood(uni_matrix)
+            new_uni_matrix[edge.L, edge.R] = left_u
+            new_uni_matrix[edge.R, edge.L] = right_u
+            values[0, i] = np.log(value)
+
+        return np.sum(values), new_uni_matrix
+
+    def __str__(self):
+        """Produce printable representation of the class."""
+        template = 'L:{} R:{} D:{} Copula:{} Theta:{}'
+        return '\n'.join([
+            template.format(edge.L, edge.R, edge.D, edge.name, edge.theta)
+            for edge in self.edges
+        ])
+
+    def _serialize_previous_tree(self):
+        if self.level == 1:
+            return self.previous_tree.tolist()
+
+        return None
+
+    @classmethod
+    def _deserialize_previous_tree(cls, tree_dict, previous):
+        if tree_dict['level'] == 1:
+            return np.array(tree_dict['previous_tree'])
+
+        return previous
+
+    def to_dict(self):
+        """Return a `dict` with the parameters to replicate this Tree.
+
+        Returns:
+            dict:
+                Parameters of this Tree.
+        """
+        fitted = self.fitted
+        result = {
+            'tree_type': self.tree_type,
+            'type': get_qualified_name(self),
+            'fitted': fitted
+        }
+
+        if not fitted:
+            return result
+
+        result.update({
+            'level': self.level,
+            'n_nodes': self.n_nodes,
+            'tau_matrix': self.tau_matrix.tolist(),
+            'previous_tree': self._serialize_previous_tree(),
+            'edges': [edge.to_dict() for edge in self.edges],
+        })
+
+        return result
+
+    @classmethod
+    def from_dict(cls, tree_dict, previous=None):
+        """Create a new instance from a parameters dictionary.
+
+        Args:
+            params (dict):
+                Parameters of the Tree, in the same format as the one
+                returned by the ``to_dict`` method.
+
+        Returns:
+            Tree:
+                Instance of the tree defined on the parameters.
+        """
+        instance = get_tree(tree_dict['tree_type'])
+
+        fitted = tree_dict['fitted']
+        instance.fitted = fitted
+        if fitted:
+            instance.level = tree_dict['level']
+            instance.n_nodes = tree_dict['n_nodes']
+            instance.tau_matrix = np.array(tree_dict['tau_matrix'])
+            instance.previous_tree = cls._deserialize_previous_tree(tree_dict, previous)
+            instance.edges = [Edge.from_dict(edge) for edge in tree_dict['edges']]
+
+        return instance
+
+
+class CenterTree(Tree):
+    """Tree for a C-vine copula."""
+
+    tree_type = TreeTypes.CENTER
+
+    def _build_first_tree(self):
+        """Build first level tree."""
+        tau_sorted = self._sort_tau_by_y(0)
+        for itr in range(self.n_nodes - 1):
+            ind = int(tau_sorted[itr, 0])
+            copula = Bivariate.select_copula(self.u_matrix[:, (0, ind)])
+            name, theta = copula.copula_type, copula.theta
+
+            new_edge = Edge(itr, 0, ind, name, theta)
+            new_edge.tau = self.tau_matrix[0, ind]
+            self.edges.append(new_edge)
+
+    def _build_kth_tree(self):
+        """Build k-th level tree."""
+        anchor = self.get_anchor()
+        aux_sorted = self._sort_tau_by_y(anchor)
+        edges = self.previous_tree.edges
+
+        for itr in range(self.n_nodes - 1):
+            right = int(aux_sorted[itr, 0])
+            left_parent, right_parent = Edge.sort_edge([edges[anchor], edges[right]])
+            new_edge = Edge.get_child_edge(itr, left_parent, right_parent)
+            new_edge.tau = aux_sorted[itr, 1]
+            self.edges.append(new_edge)
+
+    def get_anchor(self):
+        """Find anchor variable with highest sum of dependence with the rest.
+
+        Returns:
+            int:
+                Anchor variable.
+        """
+        temp = np.empty([self.n_nodes, 2])
+        temp[:, 0] = np.arange(self.n_nodes, dtype=int)
+        temp[:, 1] = np.sum(abs(self.tau_matrix), 1)
+        anchor = int(temp[0, 0])
+        return anchor
+
+
+class DirectTree(Tree):
+    """DirectTree class."""
+
+    tree_type = TreeTypes.DIRECT
+
+    def _build_first_tree(self):
+        # find the pair of maximum tau
+        tau_matrix = self.tau_matrix
+        tau_sorted = self._sort_tau_by_y(0)
+        left_ind = tau_sorted[0, 0]
+        right_ind = tau_sorted[1, 0]
+        T1 = np.array([left_ind, 0, right_ind]).astype(int)
+        tau_T1 = tau_sorted[:2, 1]
+
+        # replace tau matrix of the selected variables as a negative number
+        tau_matrix[:, [T1]] = -10
+        for k in range(2, self.n_nodes - 1):
+            left = np.argmax(tau_matrix[T1[0], :])
+            right = np.argmax(tau_matrix[T1[-1], :])
+            valL = np.max(tau_matrix[T1[0], :])
+            valR = np.max(tau_matrix[T1[-1], :])
+
+            if valL > valR:
+                # add nodes to the left
+                T1 = np.append(int(left), T1)
+                tau_T1 = np.append(valL, tau_T1)
+                tau_matrix[:, left] = -10
+
+            else:
+                # add node to the right
+                T1 = np.append(T1, int(right))
+                tau_T1 = np.append(tau_T1, valR)
+                tau_matrix[:, right] = -10
+
+        for k in range(self.n_nodes - 1):
+            copula = Bivariate.select_copula(self.u_matrix[:, (T1[k], T1[k + 1])])
+            name, theta = copula.copula_type, copula.theta
+
+            left, right = sorted([T1[k], T1[k + 1]])
+            new_edge = Edge(k, left, right, name, theta)
+            new_edge.tau = tau_T1[k]
+            self.edges.append(new_edge)
+
+    def _build_kth_tree(self):
+        edges = self.previous_tree.edges
+        for k in range(self.n_nodes - 1):
+            left_parent, right_parent = Edge.sort_edge([edges[k], edges[k + 1]])
+            new_edge = Edge.get_child_edge(k, left_parent, right_parent)
+            new_edge.tau = self.tau_matrix[k, k + 1]
+            self.edges.append(new_edge)
+
+
+class RegularTree(Tree):
+    """RegularTree class."""
+
+    tree_type = TreeTypes.REGULAR
+
+    def _build_first_tree(self):
+        """Build the first tree with n-1 variable."""
+        # Prim's algorithm
+        neg_tau = -1.0 * abs(self.tau_matrix)
+        X = {0}
+
+        while len(X) != self.n_nodes:
+            adj_set = set()
+            for x in X:
+                for k in range(self.n_nodes):
+                    if k not in X and k != x:
+                        adj_set.add((x, k))  # noqa: PD005
+
+            # find edge with maximum
+            edge = sorted(adj_set, key=lambda e: neg_tau[e[0]][e[1]])[0]
+            copula = Bivariate.select_copula(self.u_matrix[:, (edge[0], edge[1])])
+            name, theta = copula.copula_type, copula.theta
+
+            left, right = sorted([edge[0], edge[1]])
+            new_edge = Edge(len(X) - 1, left, right, name, theta)
+            new_edge.tau = self.tau_matrix[edge[0], edge[1]]
+            self.edges.append(new_edge)
+            X.add(edge[1])  # noqa: PD005
+
+    def _build_kth_tree(self):
+        """Build tree for level k."""
+        neg_tau = -1.0 * abs(self.tau_matrix)
+        edges = self.previous_tree.edges
+        visited = {0}
+        unvisited = set(range(self.n_nodes))
+
+        while len(visited) != self.n_nodes:
+            adj_set = set()
+            for x in visited:
+                for k in range(self.n_nodes):
+                    # check if (x,k) is a valid edge in the vine
+                    if k not in visited and k != x and self._check_constraint(edges[x], edges[k]):
+                        adj_set.add((x, k))  # noqa: PD005
+
+            # find edge with maximum tau
+            if len(adj_set) == 0:
+                visited.add(list(unvisited)[0])  # noqa: PD005
+                continue
+
+            pairs = sorted(adj_set, key=lambda e: neg_tau[e[0]][e[1]])[0]
+            left_parent, right_parent = Edge.sort_edge([edges[pairs[0]], edges[pairs[1]]])
+
+            new_edge = Edge.get_child_edge(len(visited) - 1, left_parent, right_parent)
+            new_edge.tau = self.tau_matrix[pairs[0], pairs[1]]
+            self.edges.append(new_edge)
+
+            visited.add(pairs[1])  # noqa: PD005
+            unvisited.remove(pairs[1])
+
+
+def get_tree(tree_type):
+    """Get a Tree instance of the specified type.
+
+    Args:
+        tree_type (str or TreeTypes):
+            Type of tree of which to get an instance.
+
+    Returns:
+        Tree:
+            Instance of a Tree of the specified type.
+    """
+    if not isinstance(tree_type, TreeTypes):
+        if (isinstance(tree_type, str) and tree_type.upper() in TreeTypes.__members__):
+            tree_type = TreeTypes[tree_type.upper()]
+        else:
+            raise ValueError(f'Invalid tree type {tree_type}')
+
+    if tree_type == TreeTypes.CENTER:
+        return CenterTree()
+    if tree_type == TreeTypes.REGULAR:
+        return RegularTree()
+    if tree_type == TreeTypes.DIRECT:
+        return DirectTree()
+
+
+class Edge(object):
+    """Represents an edge in the copula."""
+
+    def __init__(self, index, left, right, copula_name, copula_theta):
+        """Initialize an Edge object.
+
+        Args:
+            left (int):
+                left_node index (smaller)
+            right (int):
+                right_node index (larger)
+            copula_name (str):
+                name of the fitted copula class
+            copula_theta (float):
+                parameters of the fitted copula class
+        """
+        self.index = index
+        self.L = left
+        self.R = right
+        self.D = set()  # dependence_set
+        self.parents = None
+        self.neighbors = []
+
+        self.name = copula_name
+        self.theta = copula_theta
+        self.tau = None
+        self.U = None
+        self.likelihood = None
+
+    @staticmethod
+    def _identify_eds_ing(first, second):
+        """Find nodes connecting adjacent edges.
+
+        Args:
+            first (Edge):
+                Edge object representing the first edge.
+            second (Edge):
+                Edge object representing the second edge.
+
+        Returns:
+            tuple[int, int, set[int]]:
+                The first two values represent left and right node
+                indicies of the new edge. The third value is the new dependence set.
+        """
+        A = {first.L, first.R}
+        A.update(first.D)
+
+        B = {second.L, second.R}
+        B.update(second.D)
+
+        depend_set = A & B
+        left, right = sorted(A ^ B)
+
+        return left, right, depend_set
+
+    def is_adjacent(self, another_edge):
+        """Check if two edges are adjacent.
+
+        Args:
+            another_edge (Edge):
+                edge object of another edge
+
+        Returns:
+            bool:
+                True if the two edges are adjacent.
+        """
+        return (
+            self.L == another_edge.L
+            or self.L == another_edge.R
+            or self.R == another_edge.L
+            or self.R == another_edge.R
+        )
+
+    @staticmethod
+    def sort_edge(edges):
+        """Sort iterable of edges first by left node indices then right.
+
+        Args:
+            edges (list[Edge]):
+                List of edges to be sorted.
+
+        Returns:
+            list[Edge]:
+                Sorted list by left and right node indices.
+        """
+        return sorted(edges, key=lambda x: (x.L, x.R))
+
+    @classmethod
+    def get_conditional_uni(cls, left_parent, right_parent):
+        """Identify pair univariate value from parents.
+
+        Args:
+            left_parent (Edge):
+                left parent
+            right_parent (Edge):
+                right parent
+
+        Returns:
+            tuple[np.ndarray, np.ndarray]:
+                left and right parents univariate.
+        """
+        left, right, _ = cls._identify_eds_ing(left_parent, right_parent)
+
+        left_u = left_parent.U[0] if left_parent.L == left else left_parent.U[1]
+        right_u = right_parent.U[0] if right_parent.L == right else right_parent.U[1]
+
+        return left_u, right_u
+
+    @classmethod
+    def get_child_edge(cls, index, left_parent, right_parent):
+        """Construct a child edge from two parent edges.
+
+        Args:
+            index (int):
+                Index of the new Edge.
+            left_parent (Edge):
+                Left parent
+            right_parent (Edge):
+                Right parent
+
+        Returns:
+            Edge:
+                The new child edge.
+        """
+        [ed1, ed2, depend_set] = cls._identify_eds_ing(left_parent, right_parent)
+        left_u, right_u = cls.get_conditional_uni(left_parent, right_parent)
+        X = np.array([[x, y] for x, y in zip(left_u, right_u)])
+        copula = Bivariate.select_copula(X)
+        name, theta = copula.copula_type, copula.theta
+        new_edge = Edge(index, ed1, ed2, name, theta)
+        new_edge.D = depend_set
+        new_edge.parents = [left_parent, right_parent]
+        return new_edge
+
+    def get_likelihood(self, uni_matrix):
+        """Compute likelihood given a U matrix.
+
+        Args:
+            uni_matrix (numpy.array):
+                Matrix to compute the likelihood.
+
+        Return:
+            tuple (np.ndarray, np.ndarray, np.array):
+                likelihood and conditional values.
+        """
+        if self.parents is None:
+            left_u = uni_matrix[:, self.L]
+            right_u = uni_matrix[:, self.R]
+
+        else:
+            left_ing = list(self.D - self.parents[0].D)[0]
+            right_ing = list(self.D - self.parents[1].D)[0]
+            left_u = uni_matrix[self.L, left_ing]
+            right_u = uni_matrix[self.R, right_ing]
+
+        copula = Bivariate(copula_type=self.name)
+        copula.theta = self.theta
+
+        X_left_right = np.array([[left_u, right_u]])
+        X_right_left = np.array([[right_u, left_u]])
+
+        value = np.sum(copula.probability_density(X_left_right))
+        left_given_right = copula.partial_derivative(X_left_right)
+        right_given_left = copula.partial_derivative(X_right_left)
+
+        return value, left_given_right, right_given_left
+
+    def to_dict(self):
+        """Return a `dict` with the parameters to replicate this Edge.
+
+        Returns:
+            dict:
+                Parameters of this Edge.
+        """
+        parents = None
+        if self.parents:
+            parents = [parent.to_dict() for parent in self.parents]
+
+        U = None
+        if self.U is not None:
+            U = self.U.tolist()
+
+        return {
+            'index': self.index,
+            'L': self.L,
+            'R': self.R,
+            'D': self.D,
+            'parents': parents,
+            'neighbors': self.neighbors,
+            'name': self.name,
+            'theta': self.theta,
+            'tau': self.tau,
+            'U': U,
+            'likelihood': self.likelihood
+        }
+
+    @classmethod
+    def from_dict(cls, edge_dict):
+        """Create a new instance from a parameters dictionary.
+
+        Args:
+            params (dict):
+                Parameters of the Edge, in the same format as the one
+                returned by the ``to_dict`` method.
+
+        Returns:
+            Edge:
+                Instance of the edge defined on the parameters.
+        """
+        instance = cls(
+            edge_dict['index'], edge_dict['L'], edge_dict['R'],
+            edge_dict['name'], edge_dict['theta']
+        )
+        instance.U = np.array(edge_dict['U'])
+        parents = edge_dict['parents']
+
+        if parents:
+            instance.parents = []
+            for parent in parents:
+                edge = Edge.from_dict(parent)
+                instance.parents.append(edge)
+
+        regular_attributes = ['D', 'tau', 'likelihood', 'neighbors']
+        for key in regular_attributes:
+            setattr(instance, key, edge_dict[key])
+
+        return instance