views-frames 1.2.0__tar.gz → 1.6.0__tar.gz
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.
- {views_frames-1.2.0 → views_frames-1.6.0}/PKG-INFO +18 -9
- {views_frames-1.2.0 → views_frames-1.6.0}/README.md +17 -8
- {views_frames-1.2.0 → views_frames-1.6.0}/pyproject.toml +1 -1
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/conformance/__init__.py +40 -10
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/metadata.py +7 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/__init__.py +5 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/config.py +6 -3
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/conformance.py +32 -0
- views_frames-1.6.0/src/views_frames_summarize/exceedance.py +96 -0
- views_frames-1.6.0/src/views_frames_summarize/expected_shortfall.py +88 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/tower.py +22 -11
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/tower_point.py +6 -5
- {views_frames-1.2.0 → views_frames-1.6.0}/.gitignore +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/LICENSE +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/__init__.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/_typing.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/_validation.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/feature_frame.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/index.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/io/__init__.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/io/arrow.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/io/npz.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/prediction_frame.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/protocols.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/py.typed +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/spatial_level.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames/target_frame.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/_common.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/aggregate.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/bimodality.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/collapse.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/interval.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/point.py +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/py.typed +0 -0
- {views_frames-1.2.0 → views_frames-1.6.0}/src/views_frames_summarize/summarize_tower.py +0 -0
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Metadata-Version: 2.4
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Name: views-frames
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Version: 1.
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Version: 1.6.0
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Summary: The VIEWS platform data-contract layer: immutable array+identifier frames (numpy only, root of the dependency DAG).
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Project-URL: Homepage, https://github.com/views-platform/views-frames
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Project-URL: Repository, https://github.com/views-platform/views-frames
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> containers (`FeatureFrame`, `PredictionFrame`, and their anticipated siblings)
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> that every other repo depends on and that depends on nothing internal.
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>
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> **Status:** **v1.
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> purely additive — the coherent posterior summary, ADR-019; v1.2.0
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> `outside-in
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> **Status:** **v1.6.0 — frozen API** (frozen since v1.0.0, ADR-018; the v1.1 surface is
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> purely additive — the coherent posterior summary, ADR-019; v1.2.0 rebuilt the tower
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> `outside-in`, C-44; v1.3.0 makes the tower summary distribution-agnostic — no magnitude
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> zeroing by default, register C-45; v1.4.0 adds generic provenance to `FrameMetadata`
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> (`run_id`/`data_version`) and publishes the shared `assert_frame_envelope` checker,
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> ADR-020; v1.5.0 adds the threshold **exceedance** estimator `P(Y > c)`, ADR-021; v1.6.0
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> adds the worst-case **expected_shortfall** estimator, ADR-022). This
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> README is the design
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> bible; the contract it specifies is realised in `src/views_frames/` (index, frames,
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> io, conformance suite) plus the `src/views_frames_summarize/` sibling package
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> (sample-axis summarization — `collapse`/MAP/HDI/quantiles, the coherent-tower estimators
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`aggregate_distributions` (`HDI(sum) ≠ sum(HDI)`) — see
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[`examples/cross_level.py`](examples/cross_level.py).
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**Which estimator? (two coherent paths, v1.
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**Which estimator? (two coherent paths, v1.3.0).** Each frozen estimator has a
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coherent-tower sibling (ADR-019): `map_estimate` ↔ `tower_point` (an unbinned
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median-of-the-`tip_mass`-floor point — the "shorth", free of `map_estimate`'s histogram
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tie-break bias **and** robust to minority duplicated draws, register C-44), and
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`hdi`/`quantiles` ↔ `hdi_tower(masses=…)` (HDIs built **outside-in**, nested **by
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construction** and reproducible — a mass's interval is identical regardless of which others
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you request), with `summarize_tower` returning all three in one pass. The tower
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you request), with `summarize_tower` returning all three in one pass. The tower path is
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**distribution-agnostic** — it works for counts, continuous, normal, and `[0,1]`
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(rate/probability) targets, with **no magnitude zeroing by default** (zero-inflation is read
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off the floor's density, register C-45); a count consumer that wants "sub-1 ⇒ 0" opts in via
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`config['zero_cutoff']`. The tower's tunables live in `views_frames_summarize.config`
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(fail-loud, no silent defaults). Use the **frozen** estimators for parity with existing
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pipelines; use the **tower** path when you need coherent, reproducible bands plus a matching,
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duplicate-robust point.
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**Reading the `bimodality` flag.** It is a *deliberately conservative* heuristic, **not** a
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formal multimodality test — tuned for **zero false positives** at the cost of recall on
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> containers (`FeatureFrame`, `PredictionFrame`, and their anticipated siblings)
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> that every other repo depends on and that depends on nothing internal.
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>
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> **Status:** **v1.
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> purely additive — the coherent posterior summary, ADR-019; v1.2.0
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> `outside-in
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> **Status:** **v1.6.0 — frozen API** (frozen since v1.0.0, ADR-018; the v1.1 surface is
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> purely additive — the coherent posterior summary, ADR-019; v1.2.0 rebuilt the tower
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> `outside-in`, C-44; v1.3.0 makes the tower summary distribution-agnostic — no magnitude
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> zeroing by default, register C-45; v1.4.0 adds generic provenance to `FrameMetadata`
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> (`run_id`/`data_version`) and publishes the shared `assert_frame_envelope` checker,
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> ADR-020; v1.5.0 adds the threshold **exceedance** estimator `P(Y > c)`, ADR-021; v1.6.0
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> adds the worst-case **expected_shortfall** estimator, ADR-022). This
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> README is the design
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> bible; the contract it specifies is realised in `src/views_frames/` (index, frames,
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> io, conformance suite) plus the `src/views_frames_summarize/` sibling package
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> (sample-axis summarization — `collapse`/MAP/HDI/quantiles, the coherent-tower estimators
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`aggregate_distributions` (`HDI(sum) ≠ sum(HDI)`) — see
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[`examples/cross_level.py`](examples/cross_level.py).
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**Which estimator? (two coherent paths, v1.
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**Which estimator? (two coherent paths, v1.3.0).** Each frozen estimator has a
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coherent-tower sibling (ADR-019): `map_estimate` ↔ `tower_point` (an unbinned
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median-of-the-`tip_mass`-floor point — the "shorth", free of `map_estimate`'s histogram
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tie-break bias **and** robust to minority duplicated draws, register C-44), and
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`hdi`/`quantiles` ↔ `hdi_tower(masses=…)` (HDIs built **outside-in**, nested **by
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construction** and reproducible — a mass's interval is identical regardless of which others
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you request), with `summarize_tower` returning all three in one pass. The tower
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you request), with `summarize_tower` returning all three in one pass. The tower path is
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**distribution-agnostic** — it works for counts, continuous, normal, and `[0,1]`
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(rate/probability) targets, with **no magnitude zeroing by default** (zero-inflation is read
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off the floor's density, register C-45); a count consumer that wants "sub-1 ⇒ 0" opts in via
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`config['zero_cutoff']`. The tower's tunables live in `views_frames_summarize.config`
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(fail-loud, no silent defaults). Use the **frozen** estimators for parity with existing
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pipelines; use the **tower** path when you need coherent, reproducible bands plus a matching,
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duplicate-robust point.
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**Reading the `bimodality` flag.** It is a *deliberately conservative* heuristic, **not** a
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formal multimodality test — tuned for **zero false positives** at the cost of recall on
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[project]
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name = "views-frames"
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version = "1.
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version = "1.6.0"
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description = "The VIEWS platform data-contract layer: immutable array+identifier frames (numpy only, root of the dependency DAG)."
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authors = [
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{ name = "Simon Polichinel von der Maase", email = "simmaa@prio.org" },
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from views_frames.conformance import assert_frame_contract
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assert_frame_contract(my_adapter_output())
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A consumer whose type is **not** spatiotemporal (a string-keyed evaluation output, e.g.
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views-evaluation's ``MetricFrame``) validates against the shared envelope instead, so
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the envelope has one written authority rather than re-asserted copies that drift
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(ADR-020, register C-46)::
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from views_frames.conformance import assert_frame_envelope
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assert_frame_envelope(my_metric_frame())
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The floor is governed in ``GOVERNANCE.md``; ``CONFORMANCE_FLOOR`` records the version
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this suite belongs to.
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"""
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"CONFORMANCE_FLOOR",
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"assert_cross_level_alignment_law",
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"assert_frame_contract",
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"assert_frame_envelope",
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"assert_index_alignment_laws",
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"""Assert ``frame`` satisfies the
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def assert_frame_envelope(frame: Any) -> None:
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"""Assert ``frame`` satisfies the shared **frame envelope**.
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The envelope is the subset of the contract that applies to *any* frame-like value
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object, spatiotemporal or not: float32 values with no object dtype, an explicit
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trailing axis, rows equal to ``n_rows``, and a save/load round-trip that preserves
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the values and every identifier array. It deliberately says nothing about *which*
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identifiers exist or their dtype — that is the spatiotemporal layer's concern.
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package's concern, not the contract's — ADR-017.)
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it (views-evaluation's ``MetricFrame``, keyed by string axes — not ``(time, unit)``)
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validates against this checker rather than drifting from it (ADR-020, C-46).
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Raises:
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"""
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def assert_frame_contract(frame: Any) -> None:
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The shared envelope (:func:`assert_frame_envelope`) plus the spatiotemporal
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requirement: complete integer ``time``/``unit`` identifiers of length ``n_rows``.
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(Sample-axis reduction is the ``views_frames_summarize`` package's concern, not the
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contract's — ADR-017.)
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AssertionError: the envelope or the spatiotemporal identifier rule is violated.
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"""
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adding a field is a MINOR change and consumers cannot diverge on key names (the
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store-side cause of reporting's C-48). It is the typed home for run/eval identity.
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Provenance fields are **generic only** (``run_id``, ``data_version``): meaningful for
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any frame. Evaluation-specific provenance (``scoring_code_version``, full-precision
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``evaluation_timestamp``) stays in views-evaluation's ``MetricFrame`` and must not leak
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into this generic header (ADR-020, register C-47).
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run_type: str | None = None
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timestamp: int | None = None
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seed: int | None = None
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run_id: str | None = None
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data_version: str | None = None
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def to_dict(self) -> dict[str, Any]:
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from views_frames_summarize.exceedance import exceedance, exceedance_reducer
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from views_frames_summarize.expected_shortfall import expected_shortfall
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from views_frames_summarize.interval import hdi, quantiles
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from views_frames_summarize.point import map_estimate
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from views_frames_summarize.summarize_tower import TowerSummary, summarize_tower
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@@ -29,6 +31,9 @@ __all__ = [
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"aggregate_distributions_arrays",
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"bimodality",
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"collapse",
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"exceedance",
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"exceedance_reducer",
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"expected_shortfall",
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"hdi",
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"hdi_tower",
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"map_estimate",
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@@ -31,9 +31,12 @@ TOWER_CONFIG: Final[dict[str, Any]] = {
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# The tower-tip reads the median of the floor at this mass — the "shorth". 0.5 is
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# the maximally-robust choice: a duplicate would need ~half the draws to hijack it.
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"tip_mass": 0.5,
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-
#
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-
#
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-
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# Optional magnitude zero rule, OFF by default (``None``). When set to a float, a
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# row whose every draw is <= it collapses to 0 — a *count* opt-in (sub-1 ⇒ 0).
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# Left ``None`` for any non-count target: zero-inflation is otherwise handled by the
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# density of the ``tip_mass`` floor, not by magnitude (register C-45). The leaf
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# imposes no magnitude assumption by default; a consumer that wants it sets this.
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"zero_cutoff": None,
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# Bimodality detector (coarse histogram + light smoothing; see bimodality.py).
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"bimodality_bins": 16,
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"bimodality_prominence": 0.40,
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@@ -13,6 +13,8 @@ from views_frames_summarize import config
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from views_frames_summarize._common import AnyFrame
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from views_frames_summarize.bimodality import bimodality
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from views_frames_summarize.collapse import collapse
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from views_frames_summarize.exceedance import exceedance
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from views_frames_summarize.expected_shortfall import expected_shortfall
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from views_frames_summarize.interval import hdi, quantiles
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from views_frames_summarize.point import map_estimate
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from views_frames_summarize.summarize_tower import summarize_tower
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@@ -44,6 +46,36 @@ def assert_summarizer_contract(frame: AnyFrame) -> None:
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assert qs.shape[0] == n, "quantiles must be aligned to the frame's rows"
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assert qs.shape[-1] == 3, "quantiles must produce one column per quantile"
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# exceedance laws (ADR-021): a survival function — in [0, 1], non-increasing in the
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# threshold, with P(> -inf) = 1 and P(> +inf) = 0.
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thresholds = [-np.inf, 0.5, 1.5, np.inf]
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exc = exceedance(frame, thresholds)
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assert exc.shape[0] == n, "exceedance must be aligned to the frame's rows"
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assert exc.shape[-1] == len(thresholds), "exceedance → one column per threshold"
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assert ((exc >= 0.0) & (exc <= 1.0)).all(), (
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"exceedance must be a probability in [0, 1]"
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)
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assert (np.diff(exc, axis=-1) <= 1e-6).all(), (
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"exceedance must be non-increasing in the threshold"
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)
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assert (exc[..., 0] == 1.0).all(), "P(> -inf) must be 1"
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assert (exc[..., -1] == 0.0).all(), "P(> +inf) must be 0"
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# expected-shortfall laws (ADR-022): a tail mean — in [min, max], non-decreasing as
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# the tail deepens (t → 0), and dominating its VaR (ES(t) ≥ the (1 − t) quantile).
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tails = [1.0, 0.5, 0.1] # widening tails (deepening worst-case)
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es = expected_shortfall(frame, tails)
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lo = frame.values.min(axis=-1)[..., np.newaxis]
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hi = frame.values.max(axis=-1)[..., np.newaxis]
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assert es.shape[0] == n, "expected_shortfall must be aligned to the frame's rows"
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assert es.shape[-1] == len(tails), "expected_shortfall → one column per tail"
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assert ((es >= lo - 1e-6) & (es <= hi + 1e-6)).all(), "ES must lie in [min, max]"
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assert (np.diff(es, axis=-1) >= -1e-6).all(), (
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"ES must be non-decreasing as the tail deepens"
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)
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+
var = quantiles(frame, [0.0, 0.5, 0.9]) # the (1 − t) quantiles for t = 1, 0.5, 0.1
|
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+
assert (es >= var - 1e-6).all(), "ES(t) must dominate the (1 − t) quantile"
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+
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_assert_tower_contract(frame, n)
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@@ -0,0 +1,96 @@
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1
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+
"""Threshold exceedance probabilities over the sample axis (ADR-021).
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2
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+
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3
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+
`exceedance(frame, thresholds)` returns the per-row empirical **survival fraction**
|
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4
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+
`P(Y > c)` for each threshold — an index-aligned array `(N, …, K)`, the same shape/role
|
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5
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+
family as `quantiles`. `exceedance_reducer(c)` is a `collapse`-compatible factory for
|
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+
the single-threshold `(N, …, 1)` **frame** path.
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7
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+
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8
|
+
Distribution-agnostic (a counting reducer — no histogram, no config, no unimodality
|
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9
|
+
assumption), so it is robust where the tower is weakest (register C-34); the flagship
|
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10
|
+
is `P(Y > 0)` = probability of any activity (onset). Thresholds are **required**
|
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11
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+
per-call, in the frame's own units (an *input*, like `quantiles`' ``qs`` — never a
|
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12
|
+
tunable or a default). **Strict `>`** (register D-08). Fails loud on any non-finite
|
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13
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+
draw — NaN or ±inf (register C-50) — and on empty thresholds; the joint-sample
|
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+
requirement for aggregate exceedance is the consumer's (C-49).
|
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+
"""
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+
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+
from __future__ import annotations
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+
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+
from collections.abc import Sequence
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+
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21
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+
import numpy as np
|
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22
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+
from numpy.typing import NDArray
|
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23
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+
|
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24
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+
from views_frames_summarize._common import ROW_BLOCK, AnyFrame, block_apply
|
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+
from views_frames_summarize.collapse import Reducer
|
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+
|
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+
|
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28
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+
def _exceed(
|
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+
values: NDArray[np.float32], thresholds: NDArray[np.float64]
|
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+
) -> NDArray[np.float32]:
|
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+
"""Fraction of the trailing (sample) axis **strictly** greater than each threshold.
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+
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+
``values`` is ``(…, S)`` and ``thresholds`` is ``(K,)``; returns ``(…, K)``.
|
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+
|
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35
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+
Fails loud on any **non-finite** draw (NaN or ±inf): ``NaN > c`` is silently
|
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+
``False``, so a naive count would deflate ``P(Y > c)`` — worst on the ``P(Y > 0)``
|
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+
onset flagship; and an ±inf draw (always an upstream bug) silently blesses ``P``
|
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|
+
as a valid probability, masking the bug. A draw must be finite (C-50).
|
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39
|
+
"""
|
|
40
|
+
if not bool(np.isfinite(values).all()):
|
|
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|
+
raise ValueError(
|
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42
|
+
"exceedance is undefined on non-finite draws (NaN or ±inf); strip or "
|
|
43
|
+
"impute upstream (NaN > c is silently False and would deflate P(Y > c); "
|
|
44
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+
"an inf draw masks an upstream bug behind a valid-looking P; register C-50)"
|
|
45
|
+
)
|
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46
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+
# (…, S) vs (K,) → (…, K, S) by broadcasting; strict ">"; mean over the sample axis.
|
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47
|
+
above = values[..., np.newaxis, :] > thresholds[:, np.newaxis]
|
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48
|
+
return np.asarray(above.mean(axis=-1), dtype=np.float32)
|
|
49
|
+
|
|
50
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+
|
|
51
|
+
def exceedance(
|
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52
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+
frame: AnyFrame,
|
|
53
|
+
thresholds: Sequence[float],
|
|
54
|
+
*,
|
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55
|
+
block_rows: int = ROW_BLOCK,
|
|
56
|
+
) -> NDArray[np.float32]:
|
|
57
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+
"""Per-row exceedance probability `P(Y > c)` over the sample axis → `(N, …, K)`.
|
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58
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+
|
|
59
|
+
For each of the ``K`` caller-supplied ``thresholds`` (required, in the frame's own
|
|
60
|
+
units), the empirical fraction of draws **strictly** greater than it. An
|
|
61
|
+
index-aligned numpy array (the caller holds the index), vectorized in row-blocks of
|
|
62
|
+
``block_rows`` so peak memory is bounded by one block's working set (register C-25).
|
|
63
|
+
|
|
64
|
+
Raises:
|
|
65
|
+
ValueError: ``thresholds`` is empty (no default), or any draw is non-finite —
|
|
66
|
+
NaN or ±inf (C-50).
|
|
67
|
+
"""
|
|
68
|
+
thr = np.asarray(thresholds, dtype=np.float64)
|
|
69
|
+
if thr.size == 0:
|
|
70
|
+
raise ValueError(
|
|
71
|
+
"exceedance requires at least one threshold; there is no default "
|
|
72
|
+
"(thresholds are an input in the frame's units, not a tunable — ADR-021)."
|
|
73
|
+
)
|
|
74
|
+
|
|
75
|
+
def _block(vals: NDArray[np.float32]) -> NDArray[np.float32]:
|
|
76
|
+
return _exceed(vals, thr)
|
|
77
|
+
|
|
78
|
+
out = block_apply(frame.values, block_rows, _block)
|
|
79
|
+
return np.asarray(out, dtype=np.float32)
|
|
80
|
+
|
|
81
|
+
|
|
82
|
+
def exceedance_reducer(threshold: float) -> Reducer:
|
|
83
|
+
"""A `collapse`-compatible reducer for single-threshold exceedance.
|
|
84
|
+
|
|
85
|
+
``collapse(frame, exceedance_reducer(c))`` returns `P(Y > c)` as a `(N, …, 1)`
|
|
86
|
+
frame, sharing `exceedance`'s strict-`>` and fail-loud-non-finite policy (so a
|
|
87
|
+
consumer never re-implements ``np.mean(values > c)`` and drifts on the convention).
|
|
88
|
+
"""
|
|
89
|
+
thr = np.asarray([threshold], dtype=np.float64)
|
|
90
|
+
|
|
91
|
+
def _reducer(values: NDArray[np.float32], axis: int = -1) -> NDArray[np.float32]:
|
|
92
|
+
# `collapse` calls reducer(values, axis=-1) and appends the trailing axis
|
|
93
|
+
# itself, so drop the singleton K axis (collapse re-adds the sample-axis slot).
|
|
94
|
+
return _exceed(values, thr)[..., 0]
|
|
95
|
+
|
|
96
|
+
return _reducer
|
|
@@ -0,0 +1,88 @@
|
|
|
1
|
+
"""Worst-case scenario summary over the sample axis (ADR-022).
|
|
2
|
+
|
|
3
|
+
`expected_shortfall(frame, tails)` returns the per-row **mean of the worst `⌈t·S⌉`
|
|
4
|
+
draws** for each upper-tail fraction `t` — the tail mean / CVaR, a coherent worst-case
|
|
5
|
+
risk measure and the companion to `exceedance`. An index-aligned array `(N, …, K)`, the
|
|
6
|
+
same shape/role family as `quantiles`.
|
|
7
|
+
|
|
8
|
+
`max` is deliberately **not** offered — it is the highest-variance, non-reproducible
|
|
9
|
+
summary this replaces. Tails are **required** per-call, in `(0, 1]` (e.g. `0.01` = "the
|
|
10
|
+
worst 1%") — the consumer's policy, never a default or config. Fails loud on any
|
|
11
|
+
non-finite draw — NaN or ±inf (numpy sorts them *last*, so a naive top-`k` mean silently
|
|
12
|
+
selects them — register C-56), on empty `tails`, and on any `t` outside `(0, 1]`.
|
|
13
|
+
|
|
14
|
+
Written explicitly in its own module — it does **not** share a "tail reducer"
|
|
15
|
+
abstraction with `quantiles`/`exceedance` (the duplication is shallow and the concerns
|
|
16
|
+
change independently — WET before DRY). It reuses only the stable `_common` primitives.
|
|
17
|
+
"""
|
|
18
|
+
|
|
19
|
+
from __future__ import annotations
|
|
20
|
+
|
|
21
|
+
from collections.abc import Sequence
|
|
22
|
+
|
|
23
|
+
import numpy as np
|
|
24
|
+
from numpy.typing import NDArray
|
|
25
|
+
|
|
26
|
+
from views_frames_summarize._common import ROW_BLOCK, AnyFrame, block_apply
|
|
27
|
+
|
|
28
|
+
|
|
29
|
+
def _expected_shortfall(
|
|
30
|
+
values: NDArray[np.float32], tails: NDArray[np.float64]
|
|
31
|
+
) -> NDArray[np.float32]:
|
|
32
|
+
"""Mean of the worst ``⌈t·S⌉`` draws of the trailing (sample) axis, per tail.
|
|
33
|
+
|
|
34
|
+
``values`` is ``(…, S)``, ``tails`` is ``(K,)`` in ``(0, 1]``; returns ``(…, K)``.
|
|
35
|
+
|
|
36
|
+
Fails loud on any **non-finite** draw (NaN or ±inf): numpy sorts NaN *last*, so a
|
|
37
|
+
top-`k` mean would silently select the NaNs — a NaN/garbage worst-case; and an ±inf
|
|
38
|
+
draw (always an upstream bug) sorts last and contaminates the tail mean to ±inf — a
|
|
39
|
+
degenerate "worst case". A draw must be a usable finite number (register C-56).
|
|
40
|
+
"""
|
|
41
|
+
if not bool(np.isfinite(values).all()):
|
|
42
|
+
raise ValueError(
|
|
43
|
+
"expected_shortfall is undefined on non-finite draws (NaN or ±inf); strip "
|
|
44
|
+
"or impute upstream (numpy sorts NaN/+inf last, so the worst-k mean would "
|
|
45
|
+
"silently select them — a NaN/inf worst-case; register C-56)"
|
|
46
|
+
)
|
|
47
|
+
s = values.shape[-1]
|
|
48
|
+
srt = np.sort(values, axis=-1) # ascending: the worst (largest) draws are last
|
|
49
|
+
out = np.empty((*values.shape[:-1], tails.shape[0]), dtype=np.float32)
|
|
50
|
+
for i in range(tails.shape[0]):
|
|
51
|
+
k = int(np.ceil(float(tails[i]) * s)) # number of worst draws to average (≥ 1)
|
|
52
|
+
out[..., i] = srt[..., s - k :].mean(axis=-1)
|
|
53
|
+
return out
|
|
54
|
+
|
|
55
|
+
|
|
56
|
+
def expected_shortfall(
|
|
57
|
+
frame: AnyFrame,
|
|
58
|
+
tails: Sequence[float],
|
|
59
|
+
*,
|
|
60
|
+
block_rows: int = ROW_BLOCK,
|
|
61
|
+
) -> NDArray[np.float32]:
|
|
62
|
+
"""Per-row worst-case **expected shortfall** over the sample axis → `(N, …, K)`.
|
|
63
|
+
|
|
64
|
+
For each upper-tail fraction ``t`` in ``tails`` (required, in ``(0, 1]``), the mean
|
|
65
|
+
of the worst ``⌈t·S⌉`` draws — the average of the worst-case scenarios. An
|
|
66
|
+
index-aligned numpy array (the caller holds the index), block-applied in row-blocks.
|
|
67
|
+
|
|
68
|
+
Raises:
|
|
69
|
+
ValueError: ``tails`` is empty (no default), any ``t ∉ (0, 1]`` (a tail with no
|
|
70
|
+
samples), or any draw is non-finite — NaN or ±inf (register C-56).
|
|
71
|
+
"""
|
|
72
|
+
thr = np.asarray(tails, dtype=np.float64)
|
|
73
|
+
if thr.size == 0:
|
|
74
|
+
raise ValueError(
|
|
75
|
+
"expected_shortfall requires at least one tail level; there is no default "
|
|
76
|
+
"(the tail fraction is an input in (0, 1], not a tunable — ADR-022)."
|
|
77
|
+
)
|
|
78
|
+
if bool(((thr <= 0.0) | (thr > 1.0)).any()):
|
|
79
|
+
raise ValueError(
|
|
80
|
+
f"expected_shortfall tails must be in (0, 1]; got {thr.tolist()} "
|
|
81
|
+
"(a tail <= 0 contains no samples; > 1 is not a fraction)."
|
|
82
|
+
)
|
|
83
|
+
|
|
84
|
+
def _block(vals: NDArray[np.float32]) -> NDArray[np.float32]:
|
|
85
|
+
return _expected_shortfall(vals, thr)
|
|
86
|
+
|
|
87
|
+
out = block_apply(frame.values, block_rows, _block)
|
|
88
|
+
return np.asarray(out, dtype=np.float32)
|
|
@@ -13,9 +13,10 @@ nearest floor, never inserted — "the 50% HDI" is identical regardless of which
|
|
|
13
13
|
masses a caller asks for (reproducibility).
|
|
14
14
|
|
|
15
15
|
The construction is vectorized over the sample axis and runs in row-blocks (register
|
|
16
|
-
C-22/C-25): one sort per block, never a whole-grid sorted copy.
|
|
17
|
-
|
|
18
|
-
|
|
16
|
+
C-22/C-25): one sort per block, never a whole-grid sorted copy. Zero-inflation is read
|
|
17
|
+
off the *density* of the `tip_mass` floor (a zero-majority row reads 0); an
|
|
18
|
+
**optional, off-by-default** magnitude cutoff (`config['zero_cutoff']`, a count-domain
|
|
19
|
+
opt-in) can additionally force `max(row) <= cutoff` rows to 0 (C-45).
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All tunables (the grid, zero cutoff, row-block size) come from `config` with **no silent
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defaults** (ADR-009). The private engine (`_dense_tower`, `_median_in`, `_pin`,
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@@ -34,11 +35,10 @@ from numpy.typing import NDArray
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from views_frames_summarize import config
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from views_frames_summarize._common import AnyFrame, block_apply
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-
# The fixed canonical mass grid
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#
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#
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# The fixed canonical mass grid, sourced from the single config (no silent defaults —
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# ADR-009). The grid is reproducibility-fixed by design (ADR-019), so it is snapshotted
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# here; the *tunable* knobs (``zero_cutoff``, ``tip_mass``) are read live at call time.
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_CANONICAL_FLOORS: Final[NDArray[np.float64]] = config.canonical_floors()
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-
_ZERO_CUTOFF: Final[float] = float(config.get("zero_cutoff"))
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def _ks(sample_count: int) -> NDArray[np.intp]:
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@@ -65,8 +65,18 @@ def _pin(masses: Sequence[float]) -> NDArray[np.intp]:
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def _zero_mask(block: NDArray[np.float32]) -> NDArray[np.bool_]:
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"""Rows
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-
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+
"""Rows the optional magnitude cutoff zeroes — ``max(draws) <= zero_cutoff``.
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+
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**Off by default** (``zero_cutoff is None`` ⇒ no row is masked). A consumer that
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wants magnitude zeroing (a count target where a sub-1 posterior should read 0) sets
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``zero_cutoff`` to a float in ``config`` — read **live** here, so the knob takes
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+
effect at runtime. By default the leaf imposes **no** magnitude assumption; zero-
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inflation is handled by the density of the ``tip_mass`` floor instead (C-45).
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+
"""
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+
cutoff = config.get("zero_cutoff")
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+
if cutoff is None:
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+
return np.zeros(block.shape[0], dtype=np.bool_)
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+
return np.asarray(block.max(axis=-1) <= cutoff, dtype=np.bool_)
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def _in_range_span(
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@@ -203,8 +213,9 @@ def hdi_tower(
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Each requested mass is pinned to the nearest fixed canonical floor; the interval is
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read out of the full canonical tower (built once per block, outside-in). Nested by
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construction, robust to minority duplicates, and reproducible (a mass's interval is
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-
independent of the other requested masses).
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-
collapse to ``(0, 0)
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216
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+
independent of the other requested masses). If the optional ``zero_cutoff`` is set,
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217
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+
``max <= cutoff`` rows collapse to ``(0, 0)`` (off by default — C-45). Aligned to
|
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218
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+
``frame.index``. Tunables come from ``config``.
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"""
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values = frame.values
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lead = values.shape[:-1]
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@@ -2,8 +2,8 @@
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2
2
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3
3
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`tower_point` is the "most likely single value" we report to a consumer: the median of
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4
4
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the draws inside the **`tip_mass` floor** of the nested tower (config-driven, default
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5
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-
0.5 — the "shorth")
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6
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-
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5
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+
0.5 — the "shorth"). Zero-inflation is handled by that floor's density (a zero-majority
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6
|
+
row reads 0); the optional, off-by-default magnitude cutoff applies too if set (C-45).
|
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7
7
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|
8
8
|
It is a *new* estimator, deliberately distinct from the frozen `map_estimate` (ADR-018):
|
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9
9
|
`map_estimate` is a binned histogram mode with a zero-*mass*-fraction rule and a
|
|
@@ -34,9 +34,10 @@ from views_frames_summarize.tower import (
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34
34
|
def tower_point(frame: AnyFrame) -> AnyFrame:
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35
35
|
"""Per-row tower-tip point estimate over the sample axis → a `(N, …, 1)` frame.
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36
36
|
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37
|
-
The median of the ``tip_mass`` floor's samples
|
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38
|
-
|
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39
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-
|
|
37
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+
The median of the ``tip_mass`` floor's samples (``0`` when the zero atom dominates,
|
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38
|
+
by density); if the optional ``zero_cutoff`` is set, ``max <= cutoff`` rows are
|
|
39
|
+
forced to ``0`` (off by default — C-45). Returns the same frame type as ``frame``.
|
|
40
|
+
Tunables (``tip_mass``, grid, ``zero_cutoff``, row-block) come from ``config``.
|
|
40
41
|
"""
|
|
41
42
|
values = frame.values
|
|
42
43
|
lead = values.shape[:-1]
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