pymc-extras 0.2.6__py3-none-any.whl → 0.3.1__py3-none-any.whl

pymc_extras/inference/laplace_approx/idata.py

@@ -0,0 +1,392 @@
+from itertools import product
+from typing import Literal
+
+import arviz as az
+import numpy as np
+import pymc as pm
+import xarray as xr
+
+from arviz import dict_to_dataset
+from better_optimize.constants import minimize_method
+from pymc.backends.arviz import coords_and_dims_for_inferencedata, find_constants, find_observations
+from pymc.blocking import RaveledVars
+from pymc.util import get_default_varnames
+from scipy.optimize import OptimizeResult
+from scipy.sparse.linalg import LinearOperator
+
+
+def make_default_labels(name: str, shape: tuple[int, ...]) -> list:
+    if len(shape) == 0:
+        return [name]
+
+    return [list(range(dim)) for dim in shape]
+
+
+def make_unpacked_variable_names(names: list[str], model: pm.Model) -> list[str]:
+    coords = model.coords
+    initial_point = model.initial_point()
+
+    value_to_dim = {
+        value.name: model.named_vars_to_dims.get(model.values_to_rvs[value].name, None)
+        for value in model.value_vars
+    }
+    value_to_dim = {k: v for k, v in value_to_dim.items() if v is not None}
+
+    rv_to_dim = model.named_vars_to_dims
+    dims_dict = rv_to_dim | value_to_dim
+
+    unpacked_variable_names = []
+    for name in names:
+        shape = initial_point[name].shape
+        if shape:
+            dims = dims_dict.get(name)
+            if dims:
+                labels_by_dim = [
+                    coords[dim] if shape[i] == len(coords[dim]) else np.arange(shape[i])
+                    for i, dim in enumerate(dims)
+                ]
+            else:
+                labels_by_dim = make_default_labels(name, shape)
+            labels = product(*labels_by_dim)
+            unpacked_variable_names.extend(
+                [f"{name}[{','.join(map(str, label))}]" for label in labels]
+            )
+        else:
+            unpacked_variable_names.extend([name])
+    return unpacked_variable_names
+
+
+def map_results_to_inference_data(
+    map_point: dict[str, float | int | np.ndarray],
+    model: pm.Model | None = None,
+):
+    """
+    Add the MAP point to an InferenceData object in the posterior group.
+
+    Unlike a typical posterior, the MAP point is a single point estimate rather than a distribution. As a result, it
+    does not have a chain or draw dimension, and is stored as a single point in the posterior group.
+
+    Parameters
+    ----------
+    idata: az.InferenceData
+        An InferenceData object to which the MAP point will be added.
+    map_point: dict
+        A dictionary containing the MAP point estimates for each variable. The keys should be the variable names, and
+        the values should be the corresponding MAP estimates.
+    model: Model, optional
+        A PyMC model. If None, the model is taken from the current model context.
+
+    Returns
+    -------
+    idata: az.InferenceData
+        The provided InferenceData, with the MAP point added to the posterior group.
+    """
+
+    model = pm.modelcontext(model) if model is None else model
+    coords, dims = coords_and_dims_for_inferencedata(model)
+    initial_point = model.initial_point()
+
+    # The MAP point will have both the transformed and untransformed variables, so we need to ensure that
+    # we have the correct dimensions for each variable.
+    var_name_to_value_name = {
+        rv.name: value.name
+        for rv, value in model.rvs_to_values.items()
+        if rv not in model.observed_RVs
+    }
+    dims.update(
+        {
+            value_name: dims[var_name]
+            for var_name, value_name in var_name_to_value_name.items()
+            if var_name in dims and (initial_point[value_name].shape == map_point[var_name].shape)
+        }
+    )
+
+    constrained_names = [
+        x.name for x in get_default_varnames(model.unobserved_value_vars, include_transformed=False)
+    ]
+    all_varnames = [
+        x.name for x in get_default_varnames(model.unobserved_value_vars, include_transformed=True)
+    ]
+
+    unconstrained_names = set(all_varnames) - set(constrained_names)
+
+    idata = az.from_dict(
+        posterior={
+            k: np.expand_dims(v, (0, 1)) for k, v in map_point.items() if k in constrained_names
+        },
+        coords=coords,
+        dims=dims,
+    )
+
+    if unconstrained_names:
+        unconstrained_posterior = az.from_dict(
+            posterior={
+                k: np.expand_dims(v, (0, 1))
+                for k, v in map_point.items()
+                if k in unconstrained_names
+            },
+            coords=coords,
+            dims=dims,
+        )
+
+        idata["unconstrained_posterior"] = unconstrained_posterior.posterior
+
+    return idata
+
+
+def add_fit_to_inference_data(
+    idata: az.InferenceData, mu: RaveledVars, H_inv: np.ndarray, model: pm.Model | None = None
+) -> az.InferenceData:
+    """
+    Add the mean vector and covariance matrix of the Laplace approximation to an InferenceData object.
+
+    Parameters
+    ----------
+    idata: az.InfereceData
+        An InferenceData object containing the approximated posterior samples.
+    mu: RaveledVars
+        The MAP estimate of the model parameters.
+    H_inv: np.ndarray
+        The inverse Hessian matrix of the log-posterior evaluated at the MAP estimate.
+    model: Model, optional
+        A PyMC model. If None, the model is taken from the current model context.
+
+    Returns
+    -------
+    idata: az.InferenceData
+        The provided InferenceData, with the mean vector and covariance matrix added to the "fit" group.
+    """
+    model = pm.modelcontext(model) if model is None else model
+
+    variable_names, *_ = zip(*mu.point_map_info)
+
+    unpacked_variable_names = make_unpacked_variable_names(variable_names, model)
+
+    mean_dataarray = xr.DataArray(mu.data, dims=["rows"], coords={"rows": unpacked_variable_names})
+
+    data = {"mean_vector": mean_dataarray}
+
+    if H_inv is not None:
+        cov_dataarray = xr.DataArray(
+            H_inv,
+            dims=["rows", "columns"],
+            coords={"rows": unpacked_variable_names, "columns": unpacked_variable_names},
+        )
+        data["covariance_matrix"] = cov_dataarray
+
+    dataset = xr.Dataset(data)
+    idata.add_groups(fit=dataset)
+
+    return idata
+
+
+def add_data_to_inference_data(
+    idata: az.InferenceData,
+    progressbar: bool = True,
+    model: pm.Model | None = None,
+    compile_kwargs: dict | None = None,
+) -> az.InferenceData:
+    """
+    Add observed and constant data to an InferenceData object.
+
+    Parameters
+    ----------
+    idata: az.InferenceData
+        An InferenceData object containing the approximated posterior samples.
+    progressbar: bool
+        Whether to display a progress bar during computations. Default is True.
+    model: Model, optional
+        A PyMC model. If None, the model is taken from the current model context.
+    compile_kwargs: dict, optional
+        Additional keyword arguments to pass to pytensor.function.
+
+    Returns
+    -------
+    idata: az.InferenceData
+        The provided InferenceData, with observed and constant data added.
+    """
+    model = pm.modelcontext(model) if model is None else model
+
+    if model.deterministics:
+        expand_dims = {}
+        if "chain" not in idata.posterior.coords:
+            expand_dims["chain"] = [0]
+        if "draw" not in idata.posterior.coords:
+            expand_dims["draw"] = [0]
+
+        idata.posterior = pm.compute_deterministics(
+            idata.posterior.expand_dims(expand_dims),
+            model=model,
+            merge_dataset=True,
+            progressbar=progressbar,
+            compile_kwargs=compile_kwargs,
+        )
+
+    coords, dims = coords_and_dims_for_inferencedata(model)
+
+    observed_data = dict_to_dataset(
+        find_observations(model),
+        library=pm,
+        coords=coords,
+        dims=dims,
+        default_dims=[],
+    )
+
+    constant_data = dict_to_dataset(
+        find_constants(model),
+        library=pm,
+        coords=coords,
+        dims=dims,
+        default_dims=[],
+    )
+
+    idata.add_groups(
+        {"observed_data": observed_data, "constant_data": constant_data},
+        coords=coords,
+        dims=dims,
+    )
+
+    return idata
+
+
+def optimizer_result_to_dataset(
+    result: OptimizeResult,
+    method: minimize_method | Literal["basinhopping"],
+    mu: RaveledVars | None = None,
+    model: pm.Model | None = None,
+) -> xr.Dataset:
+    """
+    Convert an OptimizeResult object to an xarray Dataset object.
+
+    Parameters
+    ----------
+    result: OptimizeResult
+        The result of the optimization process.
+    method: minimize_method or "basinhopping"
+        The optimization method used.
+
+    Returns
+    -------
+    dataset: xr.Dataset
+        An xarray Dataset containing the optimization results.
+    """
+    if not isinstance(result, OptimizeResult):
+        raise TypeError("result must be an instance of OptimizeResult")
+
+    model = pm.modelcontext(model) if model is None else model
+    variable_names, *_ = zip(*mu.point_map_info)
+    unpacked_variable_names = make_unpacked_variable_names(variable_names, model)
+
+    data_vars = {}
+
+    if hasattr(result, "lowest_optimization_result"):
+        # If we did basinhopping, there's a results inside the results. We want to pop this out and collapse them,
+        # overwriting outer keys with the inner keys
+        inner_res = result.pop("lowest_optimization_result")
+        for key in inner_res.keys():
+            result[key] = inner_res[key]
+
+    if hasattr(result, "x"):
+        data_vars["x"] = xr.DataArray(
+            result.x, dims=["variables"], coords={"variables": unpacked_variable_names}
+        )
+    if hasattr(result, "fun"):
+        data_vars["fun"] = xr.DataArray(result.fun, dims=[])
+    if hasattr(result, "success"):
+        data_vars["success"] = xr.DataArray(result.success, dims=[])
+    if hasattr(result, "message"):
+        data_vars["message"] = xr.DataArray(str(result.message), dims=[])
+    if hasattr(result, "jac") and result.jac is not None:
+        jac = np.asarray(result.jac)
+        if jac.ndim == 1:
+            data_vars["jac"] = xr.DataArray(
+                jac, dims=["variables"], coords={"variables": unpacked_variable_names}
+            )
+        else:
+            data_vars["jac"] = xr.DataArray(
+                jac,
+                dims=["variables", "variables_aux"],
+                coords={
+                    "variables": unpacked_variable_names,
+                    "variables_aux": unpacked_variable_names,
+                },
+            )
+
+    if hasattr(result, "hess_inv") and result.hess_inv is not None:
+        hess_inv = result.hess_inv
+        if isinstance(hess_inv, LinearOperator):
+            n = hess_inv.shape[0]
+            eye = np.eye(n)
+            hess_inv_mat = np.column_stack([hess_inv.matvec(eye[:, i]) for i in range(n)])
+            hess_inv = hess_inv_mat
+        else:
+            hess_inv = np.asarray(hess_inv)
+        data_vars["hess_inv"] = xr.DataArray(
+            hess_inv,
+            dims=["variables", "variables_aux"],
+            coords={"variables": unpacked_variable_names, "variables_aux": unpacked_variable_names},
+        )
+
+    if hasattr(result, "nit"):
+        data_vars["nit"] = xr.DataArray(result.nit, dims=[])
+    if hasattr(result, "nfev"):
+        data_vars["nfev"] = xr.DataArray(result.nfev, dims=[])
+    if hasattr(result, "njev"):
+        data_vars["njev"] = xr.DataArray(result.njev, dims=[])
+    if hasattr(result, "status"):
+        data_vars["status"] = xr.DataArray(result.status, dims=[])
+
+    # Add any other fields present in result
+    for key, value in result.items():
+        if key in data_vars:
+            continue  # already added
+        if value is None:
+            continue
+        arr = np.asarray(value)
+
+        # TODO: We can probably do something smarter here with a dictionary of all possible values and their expected
+        #  dimensions.
+        dims = [f"{key}_dim_{i}" for i in range(arr.ndim)]
+        data_vars[key] = xr.DataArray(
+            arr,
+            dims=dims,
+            coords={f"{key}_dim_{i}": np.arange(arr.shape[i]) for i in range(len(dims))},
+        )
+
+    data_vars["method"] = xr.DataArray(np.array(method), dims=[])
+
+    return xr.Dataset(data_vars)
+
+
+def add_optimizer_result_to_inference_data(
+    idata: az.InferenceData,
+    result: OptimizeResult,
+    method: minimize_method | Literal["basinhopping"],
+    mu: RaveledVars | None = None,
+    model: pm.Model | None = None,
+) -> az.InferenceData:
+    """
+    Add the optimization result to an InferenceData object.
+
+    Parameters
+    ----------
+    idata: az.InferenceData
+        An InferenceData object containing the approximated posterior samples.
+    result: OptimizeResult
+        The result of the optimization process.
+    method: minimize_method or "basinhopping"
+        The optimization method used.
+    mu: RaveledVars, optional
+        The MAP estimate of the model parameters.
+    model: Model, optional
+        A PyMC model. If None, the model is taken from the current model context.
+
+    Returns
+    -------
+    idata: az.InferenceData
+        The provided InferenceData, with the optimization results added to the "optimizer" group.
+    """
+    dataset = optimizer_result_to_dataset(result, method=method, mu=mu, model=model)
+    idata.add_groups({"optimizer_result": dataset})
+
+    return idata