solarwindpy 0.0.1.dev0__py3-none-any.whl → 0.1.0__py3-none-any.whl

solarwindpy/fitfunctions/core.py

@@ -0,0 +1,734 @@
+#!/usr/bin/env python
+r"""Base classes used to implement specific fit functions.
+
+The :class:`FitFunction` abstract base class handles selecting the
+observations to include in a fit, running SciPy optimizers and
+providing convenient plotting helpers.  Subclasses need only define
+the functional form and an initial parameter guess.
+"""
+
+import pdb  # noqa: F401
+import logging  # noqa: F401
+import warnings
+import numpy as np
+
+from abc import ABC, abstractproperty
+from collections import namedtuple
+from inspect import getfullargspec
+
+# from scipy.optimize import curve_fit
+from scipy.optimize import least_squares, OptimizeWarning
+
+try:
+    from scipy.optimize._minpack_py import (
+        _wrap_func,
+        _wrap_jac,
+        _initialize_feasible,
+    )
+except ImportError:  # pragma: no cover - fall back for older SciPy versions
+    from scipy.optimize.minpack import (
+        _wrap_func,
+        _wrap_jac,
+        _initialize_feasible,
+    )
+from scipy.optimize._lsq.least_squares import prepare_bounds
+from scipy.linalg import svd, cholesky, LinAlgError
+
+from .tex_info import TeXinfo
+from .plots import FFPlot
+
+Observations = namedtuple("Observations", "x,y,w")
+UsedRawObs = namedtuple("UsedRawObs", "used,raw,tk_observed")
+InitialGuessInfo = namedtuple("InitialGuessInfo", "p0,bounds")
+ChisqPerDegreeOfFreedom = namedtuple("ChisqPerDegreeOfFreedom", "linear,robust")
+FitBounds = namedtuple("FitBounds", "lower,upper")
+
+# def __huber(z):
+#     cost = np.array(z)
+#     mask = z <= 1
+#     cost[~mask] = 2 * z[~mask]**0.5 - 1
+#     return cost
+#
+# def __soft_l1(z):
+#     t = 1 + z
+#     cost = 2 * (t**0.5 - 1)
+#     return cost
+#
+# _loss_fcns = {"huber": __huber,
+# "soft_l1": __soft_l1,
+# "cauchy": np.log1p,
+# "arctan": np.arctan}
+
+
+class FitFunction(ABC):
+    r"""Assuming that you don't want special formatting, call order is:
+
+        fit_function = FitFunction(function, TeX_string)
+        fit_function.make_fit()
+
+    Instances are callable. If the fit fails, calling the instance will return
+    an array of NaNs the same shape as the x-values.
+    """
+
+    def __init__(
+        self,
+        xobs,
+        yobs,
+        xmin=None,
+        xmax=None,
+        xoutside=None,
+        ymin=None,
+        ymax=None,
+        youtside=None,
+        weights=None,
+        wmin=None,
+        wmax=None,
+        logx=False,
+        logy=False,
+    ):
+        """Initialize a ``FitFunction`` with observed data.
+
+        Parameters
+        ----------
+        xobs, yobs : array-like
+            Observed ``x`` and ``y`` values.
+        xmin, xmax : float, optional
+            Range limits for ``x`` used in fitting.
+        xoutside : tuple(float, float), optional
+            Include data outside this range in the fit.
+        ymin, ymax : float, optional
+            Range limits for ``y`` used in fitting.
+        youtside : tuple(float, float), optional
+            Include data outside this range.
+        weights : array-like, optional
+            Uncertainties associated with ``y``.
+        wmin, wmax : float, optional
+            Weight limits.
+        logx, logy : bool, default False
+            Whether to interpret ``x`` or ``y`` on a log10 scale.
+        """
+
+        self._init_logger()
+        self._set_argnames()
+
+        if weights is None:
+            assert wmin is None
+            assert wmax is None
+
+        self.set_fit_obs(
+            xobs,
+            yobs,
+            weights,
+            xmin=xmin,
+            xmax=xmax,
+            xoutside=xoutside,
+            ymin=ymin,
+            ymax=ymax,
+            youtside=youtside,
+            wmin=wmin,
+            wmax=wmax,
+            logx=logx,
+            logy=logy,
+        )
+
+    def __str__(self):
+        return f"{self.__class__.__name__} ({self.TeX_function})"
+
+    def __call__(self, x):
+        """Evaluate the fitted model at ``x``."""
+
+        # TODO
+        # Do you want to have this function accept optional kwarg parameters?
+        # It adds a layer of complexity, but could be helfpul.
+
+        # Sort the parameter keywords into the proper order to pass to the
+        # numerical function.
+
+        #         try:
+        popt_ = self.popt
+        popt_ = [popt_[k] for k in self.argnames]
+
+        # NOTE
+        # An instance of FitFunction is for a given function. To change the
+        # function itself, a new instance of FitFunction should be required.
+        # Therefore, we access the function directly.
+        y = self.function(x, *popt_)
+
+        #         except AttributeError as e:
+        #             if "'PowerLaw' object has no attribute '_popt'" in str(e):
+        #                 y = np.full_like(x, np.nan, dtype=np.float64)
+
+        return y
+
+    @property
+    def logger(self):
+        return self._logger
+
+    def _init_logger(self):
+        """Create a module-level logger for the instance."""
+
+        logger = logging.getLogger(f"{__name__}.{self.__class__.__name__}")
+        self._logger = logger
+
+    @abstractproperty
+    def function(self):
+        r"""Get the function that`curve_fit` fits.
+
+        The function is set at instantiation. It doesn't make sense to change
+        it unless you redefine the entire FitFunction, so there is no `new`
+        kwarg.
+        """
+        pass
+
+    @abstractproperty
+    def p0(self):
+        r"""The initial guess for the FitFunction."""
+        pass
+
+    @abstractproperty
+    def TeX_function(self):
+        r"""Function written in LaTeX."""
+        pass
+
+    @property
+    def argnames(self):
+        r"""The names of the actual function arguments pulled by getfullargspec."""
+        return self._argnames
+
+    @property
+    def fit_bounds(self):
+        r"""Bounds used when running the fit."""
+        return dict(self._fit_bounds)
+
+    @property
+    def chisq_dof(self):
+        r"""Chisq per degree of freedom :math:`\chi^2_\nu`.
+
+        If None, not calculated by `make_fit_old`. If `np.nan`, fit failed.
+        """
+        #         r = self.residuals(pct=False)
+        #         sigma = self.observations.used.w
+        #         if sigma is not None:
+        #             r = r / sigma
+        #
+        #         chisq = (r ** 2).sum()
+        #         dof = r.size - len(self.p0)
+        #         chisq_dof = chisq / dof
+        #         return chisq_dof
+        try:
+            return self._chisq_dof
+        except AttributeError:
+            return None
+
+    @property
+    def dof(self):
+        r"""Degrees of freedom in the fit."""
+        return self.observations.used.y.size - len(self.p0)
+
+    @property
+    def fit_result(self):
+        return self._fit_result
+
+    @property
+    def initial_guess_info(self):
+
+        # If failed to make an initial guess, then don't build the info.
+        try:
+            p0 = self.p0
+            bounds = self.fit_bounds
+        except AttributeError:
+            return None
+
+        names = self.argnames
+        info = {
+            name: InitialGuessInfo(guess, tuple(bounds[name]))
+            for name, guess in zip(names, p0)
+        }
+
+        #         info = ["\n".join(param) for param in info]
+        #         info = "\n\n".join(info)
+
+        return info
+
+    @property
+    def nobs(self):
+        r"""The total number of observations used in the fit."""
+        return self.observations.tk_observed.sum()
+
+    @property
+    def observations(self):
+        return self._observations
+
+    @property
+    def plotter(self):
+        #         try:
+        return self._plotter
+
+    #         except AttributeError:
+    #             return self.build_plotter()
+
+    @property
+    def popt(self):
+        r"""Optimized fit parameters."""
+        return dict(self._popt)
+
+    @property
+    def psigma(self):
+        return dict(self._psigma)
+
+    @property
+    def psigma_relative(self):
+        return {k: v / self.popt[k] for k, v in self.psigma.items()}
+
+    @property
+    def combined_popt_psigma(self):
+        r"""Convenience to extract all versions of the optimized parameters."""
+        #         try:
+        popt = self.popt
+        psigma = self.psigma
+        prel = self.psigma_relative
+        #         except AttributeError:
+        #             popt = {k: np.nan for k in self.argnames}
+        #             psigma = {k: np.nan for k in self.argnames}
+        #             prel = {k: np.nan for k in self.argnames}
+
+        return {"popt": popt, "psigma": psigma, "psigma_relative": prel}
+
+    @property
+    def pcov(self):
+        r"""Returns a copy so that the matrix isn't accidentally edited."""
+        return self._pcov.copy()
+
+    @property
+    def rsq(self):
+        r"""Coefficient of determination.
+
+        Source: <en.wikipedia.org/wiki/Coefficient_of_determination#Definitions>
+        """
+        y = self.observations.used.y
+        ybar = y.mean()
+        yfit = self(self.observations.used.x)
+        sum_squares_total = ((y - ybar) ** 2).sum()
+        sum_squares_residual = ((y - yfit) ** 2).sum()
+        rsq = 1 - (sum_squares_residual / sum_squares_total)
+
+        return rsq
+
+    @property
+    def sufficient_data(self):
+        r"""Ensure that we can fit the data before doing any computations."""
+        chk = self.nobs >= len(self.argnames)
+        if not chk:
+            msg = "There is insufficient data to fit the model."
+            raise ValueError(msg)
+        else:
+            return True
+
+    @property
+    def TeX_info(self):
+        #         try:
+        return self._TeX_info
+
+    #         except AttributeError:
+    #             return self.build_TeX_info()
+
+    def _clean_raw_obs(self, xobs, yobs, weights):
+        r"""Set the raw x- and y-values along with weights for the fit.
+
+        Doesn't account for extrema, finite data, etc.
+        """
+        xobs = np.asarray(xobs)
+        yobs = np.asarray(yobs)
+        if weights is not None:
+            weights = np.asarray(weights)
+
+        if xobs.shape != yobs.shape:
+            raise ValueError(
+                f"""xobs and yobs must have the same shape.,
+xobs: {xobs.shape},
+yobs: {yobs.shape}"""
+            )
+
+        if weights is not None and weights.shape != xobs.shape:
+            raise ValueError(
+                f"""weights and xobs must have the same shape.,
+weighs: {weights.shape}",
+xobs: {xobs.shape}"""
+            )
+
+        return xobs, yobs, weights
+
+    def _build_one_obs_mask(self, axis, x, xmin, xmax):
+        #         mask = np.full_like(x, True, dtype=bool)
+
+        mask = np.isfinite(x)
+
+        if xmin is not None:
+            xmin_mask = x >= xmin
+            mask = mask & xmin_mask
+
+        if xmax is not None:
+            xmax_mask = x <= xmax
+            mask = mask & xmax_mask
+
+        return mask
+
+    def _build_outside_mask(self, axis, x, outside):
+        r"""Take data outside of the range `outside[0]:outside[1]`."""
+
+        if outside is None:
+            return np.full_like(x, True, dtype=bool)
+
+        lower, upper = outside
+        assert lower < upper
+        l_mask = x <= lower
+        u_mask = x >= upper
+        mask = l_mask | u_mask
+
+        return mask
+
+    def _set_argnames(self):
+        r"""Set the arguments of the function/
+
+        Assume that the first is dependent variable.
+        Should be called after function is set.
+        """
+        args = getfullargspec(self.function).args[1:]
+        self._argnames = args
+
+    def build_plotter(self):
+        obs = self.observations
+        try:
+            yfit = self(self.observations.raw.x)
+        except AttributeError:
+            yfit = np.full_like(self.observations.raw.x, np.nan)
+        #         robust_residuals = self.fit_result.fun
+        tex_info = self.TeX_info
+        fit_result = self.fit_result
+
+        #         try:
+        #             fit_result = self.fit_result
+        #         except AttributeError:
+        #             fit_result = None
+
+        plotter = FFPlot(
+            obs,
+            yfit,
+            #             robust_residuals,
+            tex_info,
+            fit_result,
+            fitfunction_name=self.__class__.__name__,
+        )
+        self._plotter = plotter
+        return plotter
+
+    def build_TeX_info(self):
+
+        # Allows annotating of TeX_info when fit fails in a manner
+        # that is easily identifiable.
+        try:
+            popt = self.popt
+        except AttributeError:
+            popt = {k: np.nan for k in self.argnames}
+
+        try:
+            psigma = self.psigma
+        except AttributeError:
+            psigma = {k: np.nan for k in self.argnames}
+
+        tex_info = TeXinfo(
+            popt,
+            psigma,
+            self.TeX_function,
+            self.chisq_dof,
+            self.rsq,
+            initial_guess_info=self.initial_guess_info,
+        )
+        self._TeX_info = tex_info
+        return tex_info
+
+    def residuals(self, pct=False):
+        r"""Calculate the fit residuals.
+
+        If pct, normalize by fit yvalues.
+        """
+
+        # TODO: calculate with all values
+        # Make it an option to calculate with either
+        # the values used in the fit or all the values,
+        # including those excluded by `set_extrema`.
+
+        r = self(self.observations.used.x) - self.observations.used.y
+        #         r = self.fit_result.fun
+
+        if pct:
+            r = 100.0 * (r / self(self.observations.used.x))
+
+        return r
+
+    def set_fit_obs(
+        self,
+        xobs_raw,
+        yobs_raw,
+        weights_raw,
+        xmin=None,
+        xmax=None,
+        xoutside=None,
+        ymin=None,
+        ymax=None,
+        youtside=None,
+        wmin=None,
+        wmax=None,
+        logx=False,
+        logy=False,
+    ):
+        r"""Set the observed values we'll actually use in the fit.
+
+        By applying limits to xobs_raw and yobs_raw and checking for finite values.
+
+        All boundaries are inclusive <= or >=.
+
+        If logy, then make selection of `wmin` and `wmax` based on :math:`w/(y \ln(10))`.
+        """
+
+        xobs_raw, yobs_raw, weights_raw = self._clean_raw_obs(
+            xobs_raw, yobs_raw, weights_raw
+        )
+
+        xmask = self._build_one_obs_mask("xobs", xobs_raw, xmin, xmax)
+        ymask = self._build_one_obs_mask("yobs", yobs_raw, ymin, ymax)
+        xout_mask = self._build_outside_mask("xobs", xobs_raw, xoutside)
+        yout_mask = self._build_outside_mask("yobs", yobs_raw, youtside)
+
+        mask = xmask & ymask & xout_mask & yout_mask
+        if weights_raw is not None:
+            weights_for_mask = weights_raw
+
+            if logy:
+                # Enables picking weights based on normalized scale for log stuff
+                weights_for_mask = weights_for_mask / (yobs_raw * np.log(10))
+
+            wmask = self._build_one_obs_mask("weights", weights_for_mask, wmin, wmax)
+            mask = mask & wmask
+
+        xobs = xobs_raw[mask]
+        yobs = yobs_raw[mask]
+        weights = None
+        if weights_raw is not None:
+            weights = weights_raw[mask]
+
+        used = Observations(xobs, yobs, weights)
+        raw = Observations(xobs_raw, yobs_raw, weights_raw)
+        usedrawobs = UsedRawObs(used, raw, mask)
+        self._observations = usedrawobs
+
+    def _run_least_squares(self, **kwargs):
+        """Execute :func:`scipy.optimize.least_squares` with defaults."""
+
+        p0 = kwargs.pop("p0", self.p0)
+        bounds = kwargs.pop("bounds", (-np.inf, np.inf))
+        method = kwargs.pop("method", "trf")
+        loss = kwargs.pop("loss", "huber")
+        max_nfev = kwargs.pop("max_nfev", 10000)
+        f_scale = kwargs.pop("f_scale", 0.1)
+        jac = kwargs.pop("jac", "2-point")
+
+        #         loss_fcn = _loss_fcns.pop(loss, loss)
+
+        # Copied from `curve_fit` line 704 (20200527)
+        if p0 is None:
+            # determine number of parameters by inspecting the function
+            from scipy._lib._util import getargspec_no_self as _getargspec
+
+            args, varargs, varkw, defaults = _getargspec(self.function)
+            if len(args) < 2:
+                raise ValueError("Unable to determine number of fit parameters.")
+            n = len(args) - 1
+        else:
+            p0 = np.atleast_1d(p0)
+            n = p0.size
+
+        if isinstance(bounds, dict):
+            # Monkey patch to work with bounds being stored as
+            # dict for TeX_info. (20201202)
+            bounds = [bounds[k] for k in self.argnames]
+            bounds = np.array(bounds).T
+
+        # Copied from `curve_fit` line 715 (20200527)
+        lb, ub = prepare_bounds(bounds, n)
+        if p0 is None:
+            p0 = _initialize_feasible(lb, ub)
+
+        if "args" in kwargs:
+            raise ValueError(
+                "Adopted `curve_fit` convention for which'args' is not a supported keyword argument."
+            )
+
+        xdata = self.observations.used.x
+        ydata = self.observations.used.y
+        sigma = self.observations.used.w
+
+        # Copied from `curve_fit` line 749 (20200527)
+        # Determine type of sigma
+        if sigma is not None:
+            sigma = np.asarray(sigma)
+            # sigma = sigma / np.nansum(sigma)
+
+            # if 1-d, sigma are errors, define transform = 1/sigma
+            if sigma.shape == (ydata.size,):
+                transform = 1.0 / sigma
+            # if 2-d, sigma is the covariance matrix,
+            # define transform = L such that L L^T = C
+            elif sigma.shape == (ydata.size, ydata.size):
+                try:
+                    # scipy.linalg.cholesky requires lower=True to return L L^T = A
+                    transform = cholesky(sigma, lower=True)
+                except LinAlgError:
+                    raise ValueError("`sigma` must be positive definite.")
+            else:
+                raise ValueError("`sigma` has incorrect shape.")
+        else:
+            transform = None
+
+        # Copied from `curve_fit` line 769 (20200527)
+        loss_func = _wrap_func(self.function, xdata, ydata, transform)
+        # Already define default `jac` with `kwargs`. Don't need ELSE clause.
+        if callable(jac):
+            jac = _wrap_jac(jac, xdata, transform)
+
+        res = least_squares(
+            loss_func,
+            p0,
+            jac=jac,
+            bounds=bounds,
+            method=method,
+            loss=loss,
+            max_nfev=max_nfev,
+            f_scale=f_scale,
+            **kwargs,
+        )
+
+        if not res.success:
+            raise RuntimeError("Optimal parameters not found: " + res.message)
+
+        fit_bounds = np.concatenate([lb, ub]).reshape((2, -1)).T
+        fit_bounds = {k: FitBounds(*b) for k, b in zip(self.argnames, fit_bounds)}
+        fit_bounds = tuple(fit_bounds.items())
+        self._fit_bounds = fit_bounds
+
+        #         self._loss_fcn = loss_fcn
+        return res, p0
+
+    def _calc_popt_pcov_psigma_chisq(self, res, p0):
+        """Compute optimized parameters and statistics from the result."""
+
+        xdata = self.observations.used.x
+        ydata = self.observations.used.y
+        sigma = self.observations.used.w
+
+        # The following is from `curve_fit` line 801 and following. (20200625)
+        # `cost` is the robust loss, i.e. residuals passed through loss funciton.
+        ysize = len(res.fun)
+        cost = 2 * res.cost  # res.cost is half sum of squares!
+        popt = res.x
+
+        # Linear chisq_dof value.
+        dof = ydata.size - len(p0)
+        chisq_dof = np.inf  # Divide by zero => infinity
+        if dof:
+            r = self.function(xdata, *popt) - ydata
+            if sigma is not None:
+                r /= sigma
+            chisq_dof = (r**2).sum() / dof
+
+        # Do Moore-Penrose inverse discarding zero singular values.
+        _, s, VT = svd(res.jac, full_matrices=False)
+        threshold = np.finfo(float).eps * max(res.jac.shape) * s[0]
+        s = s[s > threshold]
+        VT = VT[: s.size]
+        pcov = np.dot(VT.T / (s**2), VT)
+
+        warn_cov = False
+        if ysize > p0.size:
+            # Cost is robust residuals, so this is robust chisq per dof.
+            s_sq = cost / (ysize - p0.size)
+            pcov = pcov * s_sq
+        else:
+            s_sq = np.nan
+            pcov.fill(np.inf)
+            warn_cov = True
+
+        if warn_cov:
+            warnings.warn(
+                "Covariance of the parameters could not be estimated",
+                category=OptimizeWarning,
+            )
+
+        psigma = np.sqrt(np.diag(pcov))
+
+        # Based on `curve_fit`'s `absolute_sigma` documentation and reading
+        # `least_square`, `s_sq` should be chisq_nu based on robust residuals
+        # that account for `f_scale`(20200527).
+        all_chisq = ChisqPerDegreeOfFreedom(chisq_dof, s_sq)
+
+        return popt, pcov, psigma, all_chisq
+
+    def make_fit(self, return_exception=False, **kwargs):
+        """Fit the function with the independent `xobs` and dependent `yobs`.
+
+        Uses `least_squares` and returns the `OptimizeResult` object, but
+        treats weights as in `curve_fit`.
+
+        Parameters
+        ----------
+        return_exception: bool
+            If True, return exceptions from fitting routine, instead of raising.
+            This is useful when looping through many fits and wanting to
+            identify failed fits after the fact.
+
+        kwargs:
+            Unless specified here, defaults are as defined by `curve_fit`.
+
+                ============= ======================================
+                    kwarg                    default
+                ============= ======================================
+                 p0            Setup by `{self.__class__.__name__}`
+                 return_full   False
+                 method        "trf"
+                 loss          "huber"
+                 max_nfev      10000
+                 f_scale       0.1
+                ============= ======================================
+        """
+        try:
+            assert self.sufficient_data  # Check we have enough data to fit.
+        except (AssertionError, ValueError) as e:
+            #             raise
+            if isinstance(e, AssertionError):
+                e = ValueError("Insufficient data to fit the model")
+            return e
+
+        absolute_sigma = kwargs.pop("absolute_sigma", False)
+        if absolute_sigma:
+            raise NotImplementedError("We want to rescale fit errors by chisq_dof")
+
+        try:
+            res, p0 = self._run_least_squares(**kwargs)
+        except (RuntimeError, ValueError) as e:
+            #             print("fitting failed", flush=True)
+            #             raise
+            if return_exception:
+                return e
+            else:
+                raise
+
+        popt, pcov, psigma, all_chisq = self._calc_popt_pcov_psigma_chisq(res, p0)
+
+        self._popt = list(zip(self.argnames, popt))
+        self._psigma = list(zip(self.argnames, psigma))
+        self._pcov = pcov
+        self._chisq_dof = all_chisq
+        self._fit_result = res
+
+        self.build_TeX_info()
+        self.build_plotter()