likelihood 2.2.0.dev1__cp312-cp312-manylinux_2_28_x86_64.whl

likelihood/models/hmm.py

@@ -0,0 +1,163 @@
+import logging
+import os
+import pickle
+from typing import List
+
+import numpy as np
+from IPython.display import clear_output
+
+
+class HMM:
+    def __init__(self, n_states: int, n_observations: int):
+        self.n_states = n_states
+        self.n_observations = n_observations
+
+        # Initialize parameters with random values
+        self.pi = np.random.dirichlet(np.ones(n_states), size=1)[0]
+        self.A = np.random.dirichlet(np.ones(n_states), size=n_states)
+        self.B = np.random.dirichlet(np.ones(n_observations), size=n_states)
+
+    def save_model(self, filename: str = "./hmm") -> None:
+        filename = filename if filename.endswith(".pkl") else filename + ".pkl"
+        with open(filename, "wb") as f:
+            pickle.dump(self, f)
+
+    @staticmethod
+    def load_model(filename: str = "./hmm") -> "HMM":
+        filename = filename + ".pkl" if not filename.endswith(".pkl") else filename
+        with open(filename, "rb") as f:
+            return pickle.load(f)
+
+    def forward(self, sequence: List[int]) -> np.ndarray:
+        T = len(sequence)
+        alpha = np.zeros((T, self.n_states))
+
+        # Add a small constant (smoothing) to avoid log(0)
+        epsilon = 1e-10  # Small value to avoid taking log(0)
+
+        # Initialization (log-space)
+        alpha[0] = np.log(self.pi + epsilon) + np.log(self.B[:, sequence[0]] + epsilon)
+        alpha[0] -= np.log(np.sum(np.exp(alpha[0])))  # Normalization (log-space)
+
+        # Recursion (log-space)
+        for t in range(1, T):
+            for i in range(self.n_states):
+                alpha[t, i] = np.log(
+                    np.sum(np.exp(alpha[t - 1] + np.log(self.A[:, i] + epsilon)))
+                ) + np.log(self.B[i, sequence[t]] + epsilon)
+            alpha[t] -= np.log(np.sum(np.exp(alpha[t])))  # Normalization
+
+        return alpha
+
+    def backward(self, sequence: List[int]) -> np.ndarray:
+        T = len(sequence)
+        beta = np.ones((T, self.n_states))
+
+        # Backward recursion
+        for t in range(T - 2, -1, -1):
+            for i in range(self.n_states):
+                beta[t, i] = np.sum(self.A[i] * self.B[:, sequence[t + 1]] * beta[t + 1])
+
+        return beta
+
+    def viterbi(self, sequence: List[int]) -> np.ndarray:
+        T = len(sequence)
+        delta = np.zeros((T, self.n_states))
+        psi = np.zeros((T, self.n_states), dtype=int)
+
+        # Initialization
+        delta[0] = self.pi * self.B[:, sequence[0]]
+
+        # Recursion
+        for t in range(1, T):
+            for i in range(self.n_states):
+                delta[t, i] = np.max(delta[t - 1] * self.A[:, i]) * self.B[i, sequence[t]]
+                psi[t, i] = np.argmax(delta[t - 1] * self.A[:, i])
+
+        # Reconstruct the most probable path
+        state_sequence = np.zeros(T, dtype=int)
+        state_sequence[T - 1] = np.argmax(delta[T - 1])
+        for t in range(T - 2, -1, -1):
+            state_sequence[t] = psi[t + 1, state_sequence[t + 1]]
+
+        return state_sequence
+
+    def baum_welch(
+        self, sequences: List[List[int]], n_iterations: int, verbose: bool = False
+    ) -> None:
+        for iteration in range(n_iterations):
+            # Initialize accumulators
+            A_num = np.zeros((self.n_states, self.n_states))
+            B_num = np.zeros((self.n_states, self.n_observations))
+            pi_num = np.zeros(self.n_states)
+
+            for sequence in sequences:
+                T = len(sequence)
+                alpha = self.forward(sequence)
+                beta = self.backward(sequence)
+
+                # Update pi
+                gamma = (alpha * beta) / np.sum(alpha * beta, axis=1, keepdims=True)
+                pi_num += gamma[0]
+
+                # Update A and B
+                for t in range(T - 1):
+                    xi = np.zeros((self.n_states, self.n_states))
+                    denom = np.sum(alpha[t] * self.A * self.B[:, sequence[t + 1]] * beta[t + 1])
+
+                    for i in range(self.n_states):
+                        for j in range(self.n_states):
+                            xi[i, j] = (
+                                alpha[t, i]
+                                * self.A[i, j]
+                                * self.B[j, sequence[t + 1]]
+                                * beta[t + 1, j]
+                            ) / denom
+                        A_num[i] += xi[i]
+
+                    B_num[:, sequence[t]] += gamma[t]
+
+                # For the last step of the sequence
+                B_num[:, sequence[-1]] += gamma[-1]
+
+            # Normalize and update parameters
+            self.pi = pi_num / len(sequences)
+            self.A = A_num / np.sum(A_num, axis=1, keepdims=True)
+            self.B = B_num / np.sum(B_num, axis=1, keepdims=True)
+
+            # Logging parameters every 10 iterations
+            if iteration % 10 == 0 and verbose:
+                os.system("cls" if os.name == "nt" else "clear")
+                clear_output(wait=True)
+                logging.info(f"Iteration {iteration}:")
+                logging.info("Pi: %s", self.pi)
+                logging.info("A:\n%s", self.A)
+                logging.info("B:\n%s", self.B)
+
+    def decoding_accuracy(self, sequences: List[List[int]], true_states: List[List[int]]) -> float:
+        correct_predictions = 0
+        total_predictions = 0
+
+        for sequence, true_state in zip(sequences, true_states):
+            predicted_states = self.viterbi(sequence)
+            correct_predictions += np.sum(predicted_states == true_state)
+            total_predictions += len(sequence)
+
+        accuracy = (correct_predictions / total_predictions) * 100
+        return accuracy
+
+    def state_probabilities(self, sequence: List[int]) -> np.ndarray:
+        """
+        Returns the smoothed probabilities of the hidden states at each time step.
+        This is done by using both forward and backward probabilities.
+        """
+        alpha = self.forward(sequence)
+        beta = self.backward(sequence)
+
+        # Compute smoothed probabilities (gamma)
+        smoothed_probs = (alpha * beta) / np.sum(alpha * beta, axis=1, keepdims=True)
+
+        return smoothed_probs
+
+    def sequence_probability(self, sequence: List[int]) -> np.ndarray:
+        return self.state_probabilities(sequence)[-1]

likelihood/models/regression.py

@@ -0,0 +1,451 @@
+import pickle
+
+import matplotlib.pyplot as plt
+import numpy as np
+import seaborn as sns
+
+from likelihood.main import *
+from likelihood.models.utils import FeaturesArima
+from likelihood.tools import *
+
+# -------------------------------------------------------------------------
+
+
+class AbstractArima(FeaturesArima):
+    """A class that implements the auto-regressive arima (1, 0, 0) model
+
+    Parameters
+    ----------
+    datapoints : `np.ndarray`
+        The input data points for training.
+    noise : `float`, optional
+        Noise level for the model, by default 0
+    tol : `float`, optional
+        Tolerance for convergence, by default 1e-4
+
+    Attributes
+    ----------
+    datapoints : `np.ndarray`
+        The input data points for training.
+    n_steps : `int`
+        Number of steps to predict.
+    noise : `float`
+        Noise level for the model.
+    p : `int`
+        Order of autoregressive part.
+    q : `int`
+        Order of moving average part.
+    tol : `float`
+        Tolerance for convergence.
+    nwalkers : `int`
+        Number of walkers for sampling.
+    mov : `int`
+        Maximum number of iterations.
+    theta_trained : `np.ndarray`
+        Trained parameters of the model.
+    """
+
+    __slots__ = [
+        "datapoints",
+        "n_steps",
+        "noise",
+        "p",
+        "q",
+        "tol",
+        "nwalkers",
+        "mov",
+        "theta_trained",
+    ]
+
+    def __init__(self, datapoints: np.ndarray, noise: float = 0, tol: float = 1e-4):
+        """Initialize the ARIMA model.
+
+        Parameters
+        ----------
+        datapoints : `np.ndarray`
+            The input data points for training.
+        noise : `float`, optional
+            Noise level for the model, by default 0
+        tol : `float`, optional
+            Tolerance for convergence, by default 1e-4
+        """
+        self.datapoints = datapoints
+        self.noise = noise
+        self.p = datapoints.shape[0]
+        self.q = 0
+        self.tol = tol
+        self.n_steps = 0
+
+    def model(self, datapoints: np.ndarray, theta: list, mode=True):
+        """Compute the model forward pass.
+
+        Parameters
+        ----------
+        datapoints : `np.ndarray`
+            The input data points.
+        theta : `list`
+            Model parameters.
+        mode : `bool`, optional
+            Forward pass mode, by default True
+
+        Returns
+        -------
+        `np.ndarray`
+            Model output.
+        """
+        datapoints = self.datapoints
+        noise = self.noise
+        self.theta_trained = theta
+
+        return super().forward(datapoints, theta, mode, noise)
+
+    def xvec(self, datapoints: np.ndarray, n_steps: int = 0):
+        """Extract vector of data points.
+
+        Parameters
+        ----------
+        datapoints : `np.ndarray`
+            The input data points.
+        n_steps : `int`, optional
+            Number of steps to consider, by default 0
+
+        Returns
+        -------
+        `np.ndarray`
+            Extracted data points vector.
+        """
+        datapoints = self.datapoints
+        self.n_steps = n_steps
+
+        return datapoints[n_steps:]
+
+    def train(self, nwalkers: int = 10, mov: int = 200, weights: bool = False):
+        """Train the model using sampling method.
+
+        Parameters
+        ----------
+        nwalkers : `int`, optional
+            Number of walkers for sampling, by default 10
+        mov : `int`, optional
+            Maximum number of iterations, by default 200
+        weights : `bool`, optional
+            Whether to use weights in sampling, by default False
+        """
+        datapoints = self.datapoints
+        xvec = self.xvec
+        self.nwalkers = nwalkers
+        self.mov = mov
+
+        assert self.nwalkers <= self.mov, "n_walkers must be less or equal than mov"
+        model = self.model
+        n = self.p + self.q
+        theta = np.random.rand(n)
+        x_vec = xvec(datapoints)
+
+        if weights:
+            par, error = walkers(
+                nwalkers,
+                x_vec,
+                datapoints,
+                model,
+                theta=self.theta_trained,
+                mov=mov,
+                tol=self.tol,
+                figname=None,
+            )
+        else:
+            par, error = walkers(
+                nwalkers, x_vec, datapoints, model, theta, mov=mov, tol=self.tol, figname=None
+            )
+
+        index = np.where(error == np.min(error))[0][0]
+        trained = np.array(par[index])
+
+        self.theta_trained = trained
+
+    def predict(self, n_steps: int = 0):
+        """Make predictions for future steps.
+
+        Parameters
+        ----------
+        n_steps : `int`, optional
+            Number of steps to predict, by default 0
+
+        Returns
+        -------
+        `np.ndarray`
+            Predicted values.
+        """
+        self.n_steps = n_steps
+        datapoints = self.datapoints
+        model = self.model
+        theta_trained = self.theta_trained
+        y_pred = model(datapoints, theta_trained)
+
+        for i in range(n_steps):
+            self.datapoints = y_pred[i:]
+            y_new = model(datapoints, theta_trained, mode=False)
+            y_pred = y_pred.tolist()
+            y_pred.append(y_new)
+            y_pred = np.array(y_pred)
+
+        return np.array(y_pred)
+
+    def save_model(self, name: str = "model"):
+        with open(name + ".pkl", "wb") as file:
+            pickle.dump(self.theta_trained, file)
+
+    def load_model(self, name: str = "model"):
+        with open(name + ".pkl", "rb") as file:
+            self.theta_trained = pickle.load(file)
+
+    def eval(self, y_val: np.ndarray, y_pred: np.ndarray):
+        rmse = np.sqrt(np.mean((y_pred - y_val) ** 2))
+        square_error = np.sqrt((y_pred - y_val) ** 2)
+        accuracy = np.sum(square_error[np.where(square_error < rmse)])
+        accuracy /= np.sum(square_error)
+        print("Accuracy: {:.4f}".format(accuracy))
+        print("RMSE: {:.4f}".format(rmse))
+
+    def plot_pred(
+        self, y_real: np.ndarray, y_pred: np.ndarray, ci: float = 0.90, mode: bool = True
+    ):
+        sns.set_theme(style="whitegrid")
+        plt.figure(figsize=(5, 3))
+        n = self.n_steps
+        y_mean = np.mean(y_pred, axis=0)
+        y_std = np.std(y_pred, axis=0)
+        if ci < 0.95:
+            Z = (ci / 0.90) * 1.64
+        else:
+            Z = (ci / 0.95) * 1.96
+        plt.plot(y_pred, label="Predicted", linewidth=2, color=sns.color_palette("deep")[1])
+        plt.plot(
+            y_real, ".--", label="Real", color=sns.color_palette("deep")[0], alpha=0.6, markersize=6
+        )
+        plt.fill_between(
+            range(y_pred.shape[0])[-n:],
+            (y_pred - Z * y_std)[-n:],
+            (y_pred + Z * y_std)[-n:],
+            alpha=0.2,
+            color=sns.color_palette("deep")[1],
+        )
+        plt.title("Predicted vs Real Values with Confidence Interval", fontsize=12)
+        plt.xlabel("Time Steps", fontsize=12)
+        plt.ylabel("y", fontsize=12)
+        plt.grid(True, linestyle="--", alpha=0.7)
+        plt.xticks(fontsize=10)
+        plt.yticks(fontsize=10)
+        print(f"Confidence Interval: ±{Z * y_std:.4f}")
+        plt.legend(loc="upper left", fontsize=9)
+        if mode:
+            plt.savefig(f"pred_{n}.png", dpi=300)
+        plt.tight_layout()
+        plt.show()
+
+    def summary(self):
+        print("\nSummary:")
+        print("-----------------------")
+        print("Lenght of theta: {}".format(len(self.theta_trained)))
+        print("Mean of theta: {:.4f}".format(np.mean(self.theta_trained)))
+        print("-----------------------")
+
+
+class FourierRegression(AbstractArima):
+    """A class that implements the arima model with FFT noise filtering
+
+    Parameters
+    ----------
+    datapoints : np.ndarray
+        A set of points to train the arima model.
+
+    Returns
+    -------
+    new_datapoints : np.ndarray
+        It is the number of predicted points. It is necessary
+        to apply predict(n_steps) followed by fit()
+
+    """
+
+    __slots__ = ["datapoints_", "sigma", "mode", "mov", "n_walkers", "name"]
+
+    def __init__(self, datapoints: np.ndarray):
+        self.datapoints_ = datapoints
+
+    def fit(self, sigma: int = 0, mov: int = 200, mode: bool = False):
+        self.sigma = sigma
+        self.mode = mode
+        self.mov = mov
+
+        datapoints = self.datapoints_
+        self.datapoints_, _ = fft_denoise(datapoints, sigma, mode)
+
+    def predict(
+        self, n_steps: int, n_walkers: int = 1, name: str = "fourier_model", save: bool = True
+    ):
+        self.n_walkers = n_walkers
+        self.name = name
+        mov = self.mov
+
+        assert self.n_walkers <= mov, "n_walkers must be less or equal than mov"
+
+        new_datapoints = []
+        for i in range(self.datapoints_.shape[0]):
+            super().__init__(self.datapoints_[i, :])
+            super().train(n_walkers, mov)
+            if save:
+                super().save_model(str(i) + "_" + name)
+            y_pred_ = super().predict(n_steps)
+            new_datapoints.append(y_pred_)
+
+        new_datapoints = np.array(new_datapoints)
+        new_datapoints = np.reshape(new_datapoints, (len(new_datapoints), -1))
+
+        return new_datapoints
+
+    def load_predict(self, n_steps: int, name: str = "fourier_model"):
+        new_datapoints = []
+
+        for i in range(self.datapoints_.shape[0]):
+            super().__init__(self.datapoints_[i, :])
+            super().load_model(str(i) + "_" + name)
+            y_pred_ = super().predict(n_steps)
+            new_datapoints.append(y_pred_)
+
+        new_datapoints = np.array(new_datapoints)
+        new_datapoints = np.reshape(new_datapoints, (len(new_datapoints), -1))
+
+        return new_datapoints
+
+
+class Arima(AbstractArima):
+    """A class that implements the (p, d, q) ARIMA model.
+
+    Parameters
+    ----------
+    datapoints : np.ndarray
+        A set of points to train the ARIMA model.
+    p : float
+        Number of auto-regressive terms (ratio). By default it is set to `1`.
+    d : int
+        Degree of differencing. By default it is set to `0`.
+    q : float
+        Number of forecast errors in the model (ratio). By default it is set to `0`.
+    n_steps : int
+        Number of steps to predict ahead.
+    noise : float
+        Amount of noise added during training.
+    tol : float
+        Tolerance for convergence checks.
+
+    Returns
+    -------
+    None
+
+    Notes
+    -----
+    The values of `p`, `q` are scaled based on the length of `datapoints`.
+    """
+
+    __slots__ = ["datapoints", "noise", "p", "d", "q", "tol", "theta_trained"]
+
+    def __init__(
+        self,
+        datapoints: np.ndarray,
+        p: float = 1,
+        d: int = 0,
+        q: float = 0,
+        noise: float = 0,
+        tol: float = 1e-5,
+    ):
+        """Initializes the ARIMA model with given parameters.
+
+        Parameters
+        ----------
+        datapoints : np.ndarray
+            A set of points to train the ARIMA model.
+        p : float
+            Auto-regressive term (scaled by length of data).
+        d : int
+            Degree of differencing.
+        q : float
+            Moving average term (scaled by length of data).
+        noise : float
+            Noise level for training.
+        tol : float
+            Tolerance for numerical convergence.
+
+        Returns
+        -------
+        None
+        """
+        self.datapoints = datapoints
+        self.noise = noise
+        assert p > 0 and p <= 1, "p must be less than 1 but greater than 0"
+        self.p = int(p * len(datapoints))
+        assert d >= 0 and d <= 1, "p must be less than 1 but greater than or equal to 0"
+        self.d = d
+        self.q = int(q * len(datapoints))
+        self.tol = tol
+
+    def model(self, datapoints: np.ndarray, theta: list, mode: bool = True):
+        """Computes the prior probability or prediction based on ARIMA model.
+
+        Parameters
+        ----------
+        datapoints : np.ndarray
+            The input data used for modeling.
+        theta : list
+            Model parameters.
+        mode : bool
+            If True, computes in forward mode; otherwise in backward mode.
+
+        Returns
+        -------
+        y_vec : np.ndarray
+            Predicted values according to the ARIMA model.
+        """
+        datapoints = self.datapoints
+        noise = self.noise
+        self.theta_trained = theta
+
+        assert type(self.d) == int, "d must be 0 or 1"
+
+        if self.d != 0 or self.q != 0:
+            if self.d != 0:
+                y_sum = super().integrated(datapoints)
+                norm_datapoints = np.linalg.norm(datapoints)
+                norm_y_sum = np.linalg.norm(y_sum)
+                if norm_y_sum != 0 and norm_datapoints != 0:
+                    y_sum = cal_average(
+                        np.abs(y_sum * (norm_datapoints / norm_y_sum)) * np.sign(datapoints), 0.05
+                    )
+            else:
+                y_sum = datapoints.copy()
+
+            y_sum_regr = y_sum[-self.p :]
+            y_regr_vec = super().forward(y_sum_regr, theta[0 : self.p], mode, 0)
+            if self.q != 0:
+                y_sum_average = super().average(y_sum[-self.q :])
+                y_vec_magnitude = np.linalg.norm(y_regr_vec.copy())
+                y_sum_average_magnitude = np.linalg.norm(y_sum_average)
+
+                if y_sum_average_magnitude > y_vec_magnitude:
+                    scaling_factor = y_vec_magnitude / y_sum_average_magnitude
+                    y_sum_average = y_sum_average * scaling_factor
+                theta_mean = np.mean(theta[-self.q :])
+                if abs(theta_mean) > 1:
+                    additional_scaling_factor = 1.0 - abs(theta_mean)
+                    y_sum_average = y_sum_average * additional_scaling_factor
+                y_average_vec = super().forward(y_sum_average, theta[-self.q :], mode, 0)
+                if mode:
+                    y_vec = y_regr_vec.copy()
+                    for i in reversed(range(y_average_vec.shape[0])):
+                        y_vec[i] += y_average_vec[i]
+                else:
+                    y_vec = y_regr_vec + y_average_vec
+            else:
+                y_vec = y_regr_vec
+            return y_vec
+        else:
+            return super().forward(datapoints, theta, mode, noise)