cuthbert 0.0.0__py3-none-any.whl → 0.0.1__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- cuthbert/__init__.py +12 -0
- cuthbert/filtering.py +81 -0
- cuthbert/inference.py +220 -0
- cuthbert/smoothing.py +128 -0
- cuthbert/utils.py +32 -0
- cuthbert-0.0.1.dist-info/METADATA +136 -0
- cuthbert-0.0.1.dist-info/RECORD +12 -0
- {cuthbert-0.0.0.dist-info → cuthbert-0.0.1.dist-info}/WHEEL +1 -1
- cuthbert-0.0.1.dist-info/licenses/LICENSE +201 -0
- cuthbert-0.0.1.dist-info/top_level.txt +2 -0
- cuthbertlib/__init__.py +0 -0
- cuthbertlib/types.py +20 -0
- cuthbert-0.0.0.dist-info/METADATA +0 -6
- cuthbert-0.0.0.dist-info/RECORD +0 -5
- cuthbert-0.0.0.dist-info/top_level.txt +0 -1
cuthbert/__init__.py
CHANGED
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from cuthbert import discrete, gaussian, smc
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from cuthbert.filtering import filter
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from cuthbert.inference import (
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Filter,
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FilterCombine,
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FilterPrepare,
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InitPrepare,
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Smoother,
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SmootherCombine,
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SmootherPrepare,
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)
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from cuthbert.smoothing import smoother
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cuthbert/filtering.py
ADDED
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"""Unified cuthbert filtering interface."""
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import warnings
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from jax import numpy as jnp
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from jax import random, tree, vmap
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from jax.lax import associative_scan, scan
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from cuthbert.inference import Filter
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from cuthbertlib.types import ArrayTree, ArrayTreeLike, KeyArray
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def filter(
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filter_obj: Filter,
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model_inputs: ArrayTreeLike,
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parallel: bool = False,
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key: KeyArray | None = None,
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) -> ArrayTree:
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"""Applies offline filtering given a filter object and model inputs.
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`model_inputs` should have leading temporal dimension of length T + 1,
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where T is the number of time steps excluding the initial state.
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Args:
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filter_obj: The filter inference object.
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model_inputs: The model inputs (with leading temporal dimension of length T + 1).
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parallel: Whether to run the filter in parallel.
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Requires `filter.associative_filter` to be `True`.
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key: The key for the random number generator.
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Returns:
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The filtered states (NamedTuple with leading temporal dimension of length T + 1).
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"""
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if parallel and not filter_obj.associative:
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warnings.warn(
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f"Parallel filtering attempted but filter.associative is False for {filter_obj}"
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)
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T = tree.leaves(model_inputs)[0].shape[0] - 1
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if key is None:
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# This will throw error if used as a key, which is desired behavior
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# (albeit not a useful error, we could improve this)
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prepare_keys = jnp.empty(T + 1)
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else:
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prepare_keys = random.split(key, T + 1)
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init_model_input = tree.map(lambda x: x[0], model_inputs)
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init_state = filter_obj.init_prepare(init_model_input, key=prepare_keys[0])
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prep_model_inputs = tree.map(lambda x: x[1:], model_inputs)
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if parallel:
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other_prep_states = vmap(lambda inp, k: filter_obj.filter_prepare(inp, key=k))(
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prep_model_inputs, prepare_keys[1:]
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)
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prep_states = tree.map(
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lambda x, y: jnp.concatenate([x[None], y]), init_state, other_prep_states
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)
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states = associative_scan(
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vmap(filter_obj.filter_combine),
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prep_states,
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)
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else:
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def body(prev_state, prep_inp_and_k):
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prep_inp, k = prep_inp_and_k
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prep_state = filter_obj.filter_prepare(prep_inp, key=k)
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state = filter_obj.filter_combine(prev_state, prep_state)
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return state, state
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_, states = scan(
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body,
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init_state,
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(prep_model_inputs, prepare_keys[1:]),
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)
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states = tree.map(
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lambda x, y: jnp.concatenate([x[None], y]), init_state, states
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)
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return states
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cuthbert/inference.py
ADDED
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"""Provides protocols and types for representing unified inference objects."""
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from typing import NamedTuple, Protocol
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from cuthbertlib.types import ArrayTree, ArrayTreeLike, KeyArray
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class InitPrepare(Protocol):
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"""Protocol for preparing the initial state for the inference."""
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def __call__(
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self,
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model_inputs: ArrayTreeLike,
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key: KeyArray | None = None,
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) -> ArrayTree:
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"""Prepare the initial state for the inference.
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The state at the first time point, prior to any observations.
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Args:
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model_inputs: The model inputs at the first time point.
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key: The key for the random number generator.
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Optional, as only used for stochastic inference methods
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Returns:
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The initial state, a NamedTuple with inference-specific fields.
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"""
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...
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class FilterPrepare(Protocol):
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"""Protocol for preparing the state for the filter at the next time point."""
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def __call__(
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self,
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model_inputs: ArrayTreeLike,
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key: KeyArray | None = None,
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) -> ArrayTree:
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"""Prepare the state for the filter at the next time point.
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Converts the model inputs (and any stochasticity) into a unified state
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object which can be combined with a state (of the same form) from the
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previous time point with FilterCombine.
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state = FilterCombine(prev_state, FilterPrepare(model_inputs, key))
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Args:
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model_inputs: The model inputs at the next time point.
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key: The key for the random number generator.
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Optional, as only used for stochastic inference methods
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Returns:
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The state prepared for FilterCombine,
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a NamedTuple with inference-specific fields.
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"""
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...
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class FilterCombine(Protocol):
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"""Protocol for combining the previous state with the state from FilterPrepare."""
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def __call__(
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self,
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state_1: ArrayTreeLike,
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state_2: ArrayTreeLike,
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) -> ArrayTree:
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"""Combine state from previous time point with state from FilterPrepare.
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```python
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state = FilterCombine(prev_state, FilterPrepare(model_inputs, key))
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```
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Args:
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state_1: The state from the previous time point.
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state_2: The state from FilterPrepare for the current time point.
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Returns:
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The combined filter state, a NamedTuple with inference-specific fields.
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"""
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...
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class SmootherPrepare(Protocol):
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"""Protocol for preparing the state for the smoother."""
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def __call__(
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self,
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filter_state: ArrayTreeLike,
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model_inputs: ArrayTreeLike,
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key: KeyArray | None = None,
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) -> ArrayTree:
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"""Prepare the state for the smoother at the next time point.
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Converts `filter_state` with `model_inputs` (and any stochasticity) into a
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unified state object which can be combined with a state (of the same form)
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from the next time point with `SmootherCombine`.
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Remember smoothing iterates backwards in time.
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```python
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state = SmootherCombine(
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SmootherPrepare(filter_state, model_inputs, key), next_smoother_state
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)
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```
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Note that the `model_inputs` here are different to `filter_state.model_inputs`.
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The `model_inputs` required here are for the transition from t to t+1.
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`filter_state.model_inputs` represents the transition from t-1 to t.
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Args:
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filter_state: The state from the filter at the previous time point.
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model_inputs: Model inputs for the transition from t to t+1.
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key: The key for the random number generator.
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Optional, as only used for stochastic inference methods
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Returns:
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The state prepared for `SmootherCombine`,
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a NamedTuple with inference-specific fields.
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"""
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...
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class SmootherCombine(Protocol):
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"""Protocol for combining the next smoother state with the state prepared with latest model inputs."""
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def __call__(
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self,
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state_1: ArrayTreeLike,
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state_2: ArrayTreeLike,
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) -> ArrayTree:
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"""Combine the state from the next time point with the state from `SmootherPrepare`.
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Remember smoothing iterates backwards in time.
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```python
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state = SmootherCombine(
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SmootherPrepare(filter_state, model_inputs, key), next_smoother_state
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)
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```
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Args:
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state_1: The state from `SmootherPrepare` for the current time point.
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state_2: The state from the next time point.
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Returns:
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The combined smoother state, a NamedTuple with inference-specific fields.
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"""
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...
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class ConvertFilterToSmootherState(Protocol):
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"""Protocol for converting a filter state to a smoother state."""
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def __call__(
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self,
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filter_state: ArrayTreeLike,
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model_inputs: ArrayTreeLike | None = None,
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key: KeyArray | None = None,
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) -> ArrayTree:
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"""Convert the filter state to a smoother state.
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Useful for offline smoothing where the final filter state is statistically
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equivalent to the final smoother state.
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This function converts the filter state to the smoother state data structure.
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Args:
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filter_state: The filter state.
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model_inputs: Only used to create an empty `model_inputs` tree
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(the values are ignored).
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Useful so that the final smoother state has the same structure as the rest.
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By default, `filter_state.model_inputs` is used. So this
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is only needed if the smoother `model_inputs` have a different tree
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structure to `filter_state.model_inputs`.
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key: The key for the random number generator.
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Optional, as only used for stochastic inference methods
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Returns:
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The smoother state.
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"""
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...
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class Filter(NamedTuple):
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"""Filter object.
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Typically passed to [cuthbert.filtering.filter][].
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Attributes:
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init_prepare: Function to prepare the initial state for the filter.
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filter_prepare: Function to prepare intermediate states for the filter.
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filter_combine: Function that combines two filter states to produce another.
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associative: Whether `filter_combine` is an associative operator. Temporally
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parallelized filters are guaranteed to produce correct results only if
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`associative=True`.
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"""
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init_prepare: InitPrepare
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filter_prepare: FilterPrepare
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filter_combine: FilterCombine
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associative: bool = False
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class Smoother(NamedTuple):
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"""Smoother object.
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Typically passed to [cuthbert.smoothing.smoother][].
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Attributes:
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convert_filter_to_smoother_state: Function to convert the final filter state to a smoother state.
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smoother_prepare: Function to prepare intermediate states for the smoother.
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smoother_combine: Function that combines two smoother states to produce another.
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associative: Whether `smoother_combine` is an associative operator. Temporally
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parallelized smoothers are guaranteed to produce correct results only if
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`associative=True`.
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"""
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convert_filter_to_smoother_state: ConvertFilterToSmootherState
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smoother_prepare: SmootherPrepare
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smoother_combine: SmootherCombine
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associative: bool = False
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cuthbert/smoothing.py
ADDED
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@@ -0,0 +1,128 @@
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1
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+
"""Unified cuthbert smoothing interface."""
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2
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+
|
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3
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import warnings
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4
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5
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from jax import numpy as jnp
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6
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from jax import random, tree, vmap
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7
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from jax.lax import associative_scan, scan
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8
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from cuthbert.inference import Smoother
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from cuthbert.utils import dummy_tree_like
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from cuthbertlib.types import ArrayTree, ArrayTreeLike, KeyArray
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+
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+
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def smoother(
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smoother_obj: Smoother,
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filter_states: ArrayTreeLike,
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model_inputs: ArrayTreeLike | None = None,
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parallel: bool = False,
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key: KeyArray | None = None,
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) -> ArrayTree:
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"""Applies offline smoothing given a smoother object, output from filter, and model inputs.
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+
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`filter_states` should have leading temporal dimension of length T + 1, where
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T is the number of time steps excluding the initial state.
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+
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Each element of `model_inputs` refers to the transition from t to t+1, except for the
|
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first element which refers to the initial state. The initial state `model_inputs`
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are not used for smoothing. Thus the `model_inputs` used here have length T.
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By default, `filter_states.model_inputs[1:]` are used (i.e. the `model_inputs`
|
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used for the initial state is ignored).
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Args:
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smoother_obj: The smoother inference object.
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filter_states: The filtered states (with leading temporal dimension of length T + 1).
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model_inputs: The model inputs (with leading temporal dimension of length T).
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Optional, if None then `filter_states.model_inputs[1:]` are used.
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parallel: Whether to run the smoother in parallel.
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Requires `smoother_obj.associative_smoother` to be `True`.
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key: The key for the random number generator.
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+
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Returns:
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The smoothed states (NamedTuple with leading temporal dimension of length T + 1).
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"""
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+
if parallel and not smoother_obj.associative:
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warnings.warn(
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"Parallel smoothing attempted but smoother.associative is False "
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f"for {smoother}"
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+
)
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+
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if model_inputs is None:
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model_inputs = filter_states.model_inputs
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+
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T = tree.leaves(filter_states)[0].shape[0] - 1
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+
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+
# model_inputs for the dynamics distribution from t-1 to t is stored
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# in model_inputs[t] thus we need model_inputs[1:]
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# model_inputs[0] is only used for init_prepare and not for smoothing.
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# Therefore, we allow model_inputs to be either of length T + 1 or T
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# where if length is T + 1 then we simply discard model_inputs[0]
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+
model_inputs_length = tree.leaves(model_inputs)[0].shape[0]
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if model_inputs_length == T + 1:
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+
model_inputs = tree.map(lambda x: x[1:], model_inputs)
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+
elif model_inputs_length != T:
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raise ValueError(
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"model_inputs must have length T + 1 or T, got length "
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+
f"{model_inputs_length}"
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+
)
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+
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+
if key is None:
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# This will throw error if used as a key, which is desired
|
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+
# (albeit not a useful error, we could improve this)
|
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+
prepare_keys = jnp.empty(T + 1)
|
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+
else:
|
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+
prepare_keys = random.split(key, T + 1)
|
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+
|
|
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+
final_filter_state = tree.map(lambda x: x[-1], filter_states)
|
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+
other_filter_states = tree.map(lambda x: x[:-1], filter_states)
|
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+
|
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+
# Final smoother state doesn't need model inputs, so we create a dummy one
|
|
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|
+
# with the same structure as model_inputs but with all values set to dummy values.
|
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+
dummy_single_model_inputs = dummy_tree_like(tree.map(lambda x: x[0], model_inputs))
|
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82
|
+
|
|
83
|
+
final_smoother_state = smoother_obj.convert_filter_to_smoother_state(
|
|
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|
+
final_filter_state, model_inputs=dummy_single_model_inputs, key=prepare_keys[0]
|
|
85
|
+
)
|
|
86
|
+
|
|
87
|
+
if parallel:
|
|
88
|
+
prep_states = vmap(
|
|
89
|
+
lambda fs, inp, k: smoother_obj.smoother_prepare(
|
|
90
|
+
fs, model_inputs=inp, key=k
|
|
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|
+
)
|
|
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|
+
)(other_filter_states, model_inputs, prepare_keys[1:])
|
|
93
|
+
prep_states = tree.map(
|
|
94
|
+
lambda x, y: jnp.concatenate([x, y[None]]),
|
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+
prep_states,
|
|
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|
+
final_smoother_state,
|
|
97
|
+
)
|
|
98
|
+
|
|
99
|
+
states = associative_scan(
|
|
100
|
+
vmap(lambda current, next: smoother_obj.smoother_combine(next, current)),
|
|
101
|
+
# TODO: Maybe change cuthbertlib direction so that this lambda isn't needed
|
|
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|
+
prep_states,
|
|
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|
+
reverse=True,
|
|
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|
+
)
|
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|
+
else:
|
|
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|
+
|
|
107
|
+
def body(next_state, filt_state_and_prep_inp_and_k):
|
|
108
|
+
filt_state, prep_inp, k = filt_state_and_prep_inp_and_k
|
|
109
|
+
prep_state = smoother_obj.smoother_prepare(
|
|
110
|
+
filt_state, model_inputs=prep_inp, key=k
|
|
111
|
+
)
|
|
112
|
+
state = smoother_obj.smoother_combine(prep_state, next_state)
|
|
113
|
+
return state, state
|
|
114
|
+
|
|
115
|
+
_, states = scan(
|
|
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|
+
body,
|
|
117
|
+
final_smoother_state,
|
|
118
|
+
(other_filter_states, model_inputs, prepare_keys[1:]),
|
|
119
|
+
reverse=True,
|
|
120
|
+
)
|
|
121
|
+
|
|
122
|
+
states = tree.map(
|
|
123
|
+
lambda x, y: jnp.concatenate([x, y[None]]),
|
|
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|
+
states,
|
|
125
|
+
final_smoother_state,
|
|
126
|
+
)
|
|
127
|
+
|
|
128
|
+
return states
|
cuthbert/utils.py
ADDED
|
@@ -0,0 +1,32 @@
|
|
|
1
|
+
"""Utility functions (filling dummy arrays and trees) for cuthbert."""
|
|
2
|
+
|
|
3
|
+
import jax
|
|
4
|
+
import jax.numpy as jnp
|
|
5
|
+
|
|
6
|
+
from cuthbertlib.types import Array, ArrayLike, ArrayTree, ArrayTreeLike
|
|
7
|
+
|
|
8
|
+
|
|
9
|
+
def _dummy_array(leaf: ArrayLike | jax.ShapeDtypeStruct) -> Array:
|
|
10
|
+
"""Returns an array of the same shape and dtype filled with dummy values."""
|
|
11
|
+
if isinstance(leaf, jax.ShapeDtypeStruct):
|
|
12
|
+
leaf = jnp.empty_like(leaf)
|
|
13
|
+
|
|
14
|
+
leaf = jnp.asarray(leaf)
|
|
15
|
+
dtype = leaf.dtype
|
|
16
|
+
shape = leaf.shape
|
|
17
|
+
|
|
18
|
+
if jnp.issubdtype(dtype, jnp.integer):
|
|
19
|
+
min_val = jnp.iinfo(dtype).min
|
|
20
|
+
elif jnp.issubdtype(dtype, jnp.floating):
|
|
21
|
+
min_val = jnp.finfo(dtype).min
|
|
22
|
+
elif jnp.issubdtype(dtype, jnp.bool_):
|
|
23
|
+
min_val = False
|
|
24
|
+
else:
|
|
25
|
+
raise ValueError(f"Unsupported dtype: {dtype}")
|
|
26
|
+
|
|
27
|
+
return jnp.full(shape, min_val, dtype=dtype)
|
|
28
|
+
|
|
29
|
+
|
|
30
|
+
def dummy_tree_like(pytree: ArrayTreeLike) -> ArrayTree:
|
|
31
|
+
"""Returns a pytree with the same structure filled with dummy values."""
|
|
32
|
+
return jax.tree.map(_dummy_array, pytree)
|
|
@@ -0,0 +1,136 @@
|
|
|
1
|
+
Metadata-Version: 2.4
|
|
2
|
+
Name: cuthbert
|
|
3
|
+
Version: 0.0.1
|
|
4
|
+
Summary: State-space model inference with JAX
|
|
5
|
+
Author-email: Sam Duffield <s@mduffield.com>, Sahel Iqbal <sahel13miqbal@proton.me>, Adrien Corenflos <adrien.corenflos.stats@gmail.com>
|
|
6
|
+
License: Apache-2.0
|
|
7
|
+
Requires-Python: >=3.10
|
|
8
|
+
Description-Content-Type: text/markdown
|
|
9
|
+
License-File: LICENSE
|
|
10
|
+
Requires-Dist: jax>=0.4.35
|
|
11
|
+
Requires-Dist: numba>=0.60.0
|
|
12
|
+
Provides-Extra: tests
|
|
13
|
+
Requires-Dist: chex; extra == "tests"
|
|
14
|
+
Requires-Dist: pre-commit; extra == "tests"
|
|
15
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+
Requires-Dist: ruff; extra == "tests"
|
|
16
|
+
Requires-Dist: pyright; extra == "tests"
|
|
17
|
+
Requires-Dist: pytest; extra == "tests"
|
|
18
|
+
Requires-Dist: pytest-xdist; extra == "tests"
|
|
19
|
+
Requires-Dist: entangled-cli; python_version >= "3.12" and extra == "tests"
|
|
20
|
+
Provides-Extra: docs
|
|
21
|
+
Requires-Dist: mkdocs-material; extra == "docs"
|
|
22
|
+
Requires-Dist: mkdocs-include-markdown-plugin; extra == "docs"
|
|
23
|
+
Requires-Dist: mkdocstrings-python; extra == "docs"
|
|
24
|
+
Provides-Extra: examples
|
|
25
|
+
Requires-Dist: matplotlib; extra == "examples"
|
|
26
|
+
Requires-Dist: pandas; extra == "examples"
|
|
27
|
+
Requires-Dist: pandas-stubs; extra == "examples"
|
|
28
|
+
Requires-Dist: yfinance; extra == "examples"
|
|
29
|
+
Requires-Dist: dynamax; extra == "examples"
|
|
30
|
+
Requires-Dist: ipython; extra == "examples"
|
|
31
|
+
Requires-Dist: tfp-nightly[jax]; extra == "examples"
|
|
32
|
+
Dynamic: license-file
|
|
33
|
+
|
|
34
|
+
<!--intro-start-->
|
|
35
|
+
<div align="center">
|
|
36
|
+
<img src="docs/assets/cuthbert.png" alt="logo"></img>
|
|
37
|
+
</div>
|
|
38
|
+
|
|
39
|
+
A JAX library for state-space model inference
|
|
40
|
+
(filtering, smoothing, static parameter estimation).
|
|
41
|
+
|
|
42
|
+
> Disclaimer: The name `cuthbert` was chosen as a playful nod to the well-known
|
|
43
|
+
> caterpillar cake rivalry between Aldi and M&S in the UK, as the classic state-space
|
|
44
|
+
> model diagram looks vaguely like a caterpillar. However, this software project
|
|
45
|
+
> has no formal connection to Aldi, M&S, or any food products (notwithstanding the coffee drunk during its writeup).
|
|
46
|
+
> `cuthbert` is simply a fun name for this state-space model library and should not be interpreted as an
|
|
47
|
+
> endorsement, association, or affiliation with any brand or animal themed baked goods.
|
|
48
|
+
|
|
49
|
+
[](https://discord.gg/sBnr6JhT)
|
|
50
|
+
[](https://github.com/state-space-models/cuthbert)
|
|
51
|
+
[](https://pypi.org/project/cuthbert/)
|
|
52
|
+
[](https://state-space-models.github.io/cuthbert/)
|
|
53
|
+
<!--intro-end-->
|
|
54
|
+
|
|
55
|
+
<!--goals-start-->
|
|
56
|
+
### Goals
|
|
57
|
+
- Simple, flexible and performant interface for state-space model inference.
|
|
58
|
+
- Decoupling of model specification and inference. `cuthbert` is built to swap between
|
|
59
|
+
different **inference** methods without be tied to a specific model specification.
|
|
60
|
+
- Compose with the [JAX ecosystem](#ecosystem) for extensive external tools.
|
|
61
|
+
- Functional API: The only classes in `cuthbert` are `NamedTuple`s and `Protocol`s.
|
|
62
|
+
All functions are pure and work seamlessly with `jax.grad`, `jax.jit`, `jax.vmap` etc.
|
|
63
|
+
- Methods for filtering: $p(x_t \mid y_{0:t}, \theta)$.
|
|
64
|
+
- Methods for smoothing: $p(x_{0:T} \mid y_{0:T}, \theta)$ or $p(x_{t} \mid y_{0:T}, \theta)$.
|
|
65
|
+
- Methods for static parameter estimation: $p(\theta \mid y_{0:T})$
|
|
66
|
+
or $\text{argmax} p(y_{0:T} \mid \theta)$.
|
|
67
|
+
- This includes support for forward-backward/Baum-Welch, particle filtering/sequential Monte Carlo,
|
|
68
|
+
Kalman filtering (+ extended/unscented/ensemble), expectation-maximization and more!
|
|
69
|
+
|
|
70
|
+
### Non-goals
|
|
71
|
+
- Tools for defining models and distributions. `cuthbert` is not a probabilistic programming language (PPL).
|
|
72
|
+
But can easily compose with [`dynamax`](https://github.com/probml/dynamax), [`distrax`](https://github.com/google-deepmind/distrax), [`numpyro`](https://github.com/pyro-ppl/numpyro) and [`pymc`](https://github.com/pymc-devs/pymc) in a similar way to how [`blackjax` does](https://blackjax-devs.github.io/blackjax/).
|
|
73
|
+
- ["SMC Samplers"](https://www.stats.ox.ac.uk/~doucet/delmoral_doucet_jasra_sequentialmontecarlosamplersJRSSB.pdf) which sample from a posterior
|
|
74
|
+
distribution which is not (necessarily) a state-space model - [`blackjax` is great for this](https://github.com/blackjax-devs/blackjax/tree/main/blackjax/smc).
|
|
75
|
+
<!--goals-end-->
|
|
76
|
+
|
|
77
|
+
<!--codebase-structure-start-->
|
|
78
|
+
### Codebase structure
|
|
79
|
+
|
|
80
|
+
The codebase is structured as follows:
|
|
81
|
+
|
|
82
|
+
- `cuthbert`: The main package with unified interface for filtering and smoothing.
|
|
83
|
+
- `cuthbertlib`: A collection of atomic, smaller-scoped tools useful for state-space model inference,
|
|
84
|
+
that represent the building blocks that power the main `cuthbert` package.
|
|
85
|
+
<!--codebase-structure-end-->
|
|
86
|
+
- `docs`: Source code for the documentation for `cuthbert` and `cuthbertlib`.
|
|
87
|
+
- `tests`: Tests for the `cuthbert` and `cuthbertlib` packages.
|
|
88
|
+
|
|
89
|
+
|
|
90
|
+
<!--installation-start-->
|
|
91
|
+
## Installation
|
|
92
|
+
|
|
93
|
+
`cuthbert` depends on JAX, so you'll need to [install JAX](https://docs.jax.dev/en/latest/installation.html) for the available hardware (CPU, GPU, or TPU).
|
|
94
|
+
For example, on computers with NVIDIA GPUs:
|
|
95
|
+
|
|
96
|
+
```bash
|
|
97
|
+
pip install -U "jax[cuda13]"
|
|
98
|
+
```
|
|
99
|
+
|
|
100
|
+
Now install `cuthbert` from PyPI:
|
|
101
|
+
|
|
102
|
+
```bash
|
|
103
|
+
pip install -U cuthbert
|
|
104
|
+
```
|
|
105
|
+
|
|
106
|
+
Installing `cuthbert` will also install `cuthbertlib`.
|
|
107
|
+
|
|
108
|
+
<!--installation-end-->
|
|
109
|
+
|
|
110
|
+
<!--ecosystem-start-->
|
|
111
|
+
## Ecosystem
|
|
112
|
+
- `cuthbert` is built on top of [`jax`](https://github.com/google/jax) and composes
|
|
113
|
+
easily with other JAX packages, e.g. [`optax`](https://github.com/google-deepmind/optax)
|
|
114
|
+
for optimization, [`flax`](https://github.com/google/flax) for neural networks, and
|
|
115
|
+
[`blackjax`](https://github.com/blackjax-devs/blackjax) for (SG)MCMC as well as the PPLs
|
|
116
|
+
mentioned [above](#non-goals).
|
|
117
|
+
- What about [`dynamax`](https://github.com/probml/dynamax)?
|
|
118
|
+
- `dynamax` is a great library for state-space model specification and inference with
|
|
119
|
+
discrete or Gaussian state-space models. `cuthbert` is focused on inference
|
|
120
|
+
with arbitrary state-space models via e.g. SMC that is not supported in `dynamax`.
|
|
121
|
+
However as they are both built on [`jax`](https://github.com/google/jax)
|
|
122
|
+
they can be used together! A `dynamax`
|
|
123
|
+
model can be passed to `cuthbert` for inference.
|
|
124
|
+
- And [`particles`](https://github.com/nchopin/particles)?
|
|
125
|
+
- [`particles`](https://github.com/nchopin/particles) and the accompanying book
|
|
126
|
+
[Sequential Monte Carlo Methods in Practice](https://link.springer.com/book/10.1007/978-3-030-47845-2)
|
|
127
|
+
are wonderful learning materials for state-space models and SMC.
|
|
128
|
+
`cuthbert` is more focused on performance and composability with the JAX ecosystem.
|
|
129
|
+
- Much of the code in `cuthbert` is built on work from [`sqrt-parallel-smoothers`](https://github.com/EEA-sensors/sqrt-parallel-smoothers), [`mocat`](https://github.com/SamDuffield/mocat) and [`abile`](https://github.com/SamDuffield/abile).
|
|
130
|
+
<!--ecosystem-end-->
|
|
131
|
+
|
|
132
|
+
## Contributing
|
|
133
|
+
|
|
134
|
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We're always looking for contributions!
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cuthbert-0.0.1.dist-info/RECORD,,
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ADDED
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"""Type aliases for common types used in the library."""
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KeyArray: TypeAlias = Array # No native JAX type annotation for keys https://jax.readthedocs.io/en/latest/changelog.html#jax-0-4-16-sept-18-2023
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ArrayTree: TypeAlias = Any # No native JAX type annotation for PyTrees https://github.com/google/jax/issues/3340
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ArrayTreeLike: TypeAlias = Any # Tree with all leaves castable to jax.Array https://jax.readthedocs.io/en/latest/jax.typing.html#module-jax.typing
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