File: dirichlet.py

package info (click to toggle)
python-bayespy 0.6.2-1
  • links: PTS, VCS
  • area: main
  • in suites: forky, sid, trixie
  • size: 2,132 kB
  • sloc: python: 22,402; makefile: 156
file content (399 lines) | stat: -rw-r--r-- 11,102 bytes parent folder | download | duplicates (3)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
################################################################################
# Copyright (C) 2011-2012,2014 Jaakko Luttinen
#
# This file is licensed under the MIT License.
################################################################################


"""
Module for the Dirichlet distribution node.
"""

import numpy as np
from scipy import special

from bayespy.utils import random
from bayespy.utils import misc
from bayespy.utils import linalg

from .stochastic import Stochastic
from .expfamily import ExponentialFamily, ExponentialFamilyDistribution
from .constant import Constant
from .node import Node, Moments, ensureparents


class ConcentrationMoments(Moments):
    """
    Class for the moments of Dirichlet conjugate-prior variables.
    """


    def __init__(self, categories):
        self.categories = categories
        self.dims = ( (categories,), () )
        return


    def compute_fixed_moments(self, alpha):
        """
        Compute the moments for a fixed value
        """

        alpha = np.asanyarray(alpha)
        if np.ndim(alpha) < 1:
            raise ValueError("The prior sample sizes must be a vector")
        if np.any(alpha < 0):
            raise ValueError("The prior sample sizes must be non-negative")

        gammaln_sum = special.gammaln(np.sum(alpha, axis=-1))
        sum_gammaln = np.sum(special.gammaln(alpha), axis=-1)
        z = gammaln_sum - sum_gammaln
        return [alpha, z]


    @classmethod
    def from_values(cls, alpha):
        """
        Return the shape of the moments for a fixed value.
        """
        if np.ndim(alpha) < 1:
            raise ValueError("The array must be at least 1-dimensional array.")
        categories = np.shape(alpha)[-1]
        return cls(categories)


class DirichletMoments(Moments):
    """
    Class for the moments of Dirichlet variables.
    """


    def __init__(self, categories):
        self.categories = categories
        self.dims = ( (categories,), )


    def compute_fixed_moments(self, p):
        """
        Compute the moments for a fixed value
        """
        # Check that probabilities are non-negative
        p = np.asanyarray(p)
        if np.ndim(p) < 1:
            raise ValueError("Probabilities must be given as a vector")
        if np.any(p < 0) or np.any(p > 1):
            raise ValueError("Probabilities must be in range [0,1]")
        if not np.allclose(np.sum(p, axis=-1), 1.0):
            raise ValueError("Probabilities must sum to one")
        # Normalize probabilities
        p = p / np.sum(p, axis=-1, keepdims=True)
        # Message is log-probabilities
        logp = np.log(p)
        u = [logp]
        return u


    @classmethod
    def from_values(cls, x):
        """
        Return the shape of the moments for a fixed value.
        """
        if np.ndim(x) < 1:
            raise ValueError("Probabilities must be given as a vector")
        categories = np.shape(x)[-1]
        return cls(categories)


class DirichletDistribution(ExponentialFamilyDistribution):
    """
    Class for the VMP formulas of Dirichlet variables.
    """


    def compute_message_to_parent(self, parent, index, u_self, u_alpha):
        r"""
        Compute the message to a parent node.
        """
        logp = u_self[0]
        m0 = logp
        m1 = 1
        return [m0, m1]


    def compute_phi_from_parents(self, u_alpha, mask=True):
        r"""
        Compute the natural parameter vector given parent moments.
        """
        return [u_alpha[0]]

    
    def compute_moments_and_cgf(self, phi, mask=True):
        r"""
        Compute the moments and :math:`g(\phi)`.

        .. math::

           \overline{\mathbf{u}}  (\boldsymbol{\phi})
           &=
           \begin{bmatrix}
             \psi(\phi_1) - \psi(\sum_d \phi_{1,d})
           \end{bmatrix}
           \\
           g_{\boldsymbol{\phi}} (\boldsymbol{\phi})
           &=
           TODO
        """

        if np.any(np.asanyarray(phi) <= 0):
            raise ValueError("Natural parameters should be positive")

        sum_gammaln = np.sum(special.gammaln(phi[0]), axis=-1)
        gammaln_sum = special.gammaln(np.sum(phi[0], axis=-1))
        psi_sum = special.psi(np.sum(phi[0], axis=-1, keepdims=True))
        
        # Moments <log x>
        u0 = special.psi(phi[0]) - psi_sum
        u = [u0]
        # G
        g = gammaln_sum - sum_gammaln

        return (u, g)

    
    def compute_cgf_from_parents(self, u_alpha):
        r"""
        Compute :math:`\mathrm{E}_{q(p)}[g(p)]`
        """
        return u_alpha[1]

    
    def compute_fixed_moments_and_f(self, p, mask=True):
        r"""
        Compute the moments and :math:`f(x)` for a fixed value.

        .. math::

           u(p) =
           \begin{bmatrix}
             \log(p_1)
             \\
             \vdots
             \\
             \log(p_D)
           \end{bmatrix}

        .. math::

           f(p) = - \sum_d \log(p_d)
        """
        # Check that probabilities are non-negative
        p = np.asanyarray(p)
        if np.ndim(p) < 1:
            raise ValueError("Probabilities must be given as a vector")
        if np.any(p < 0) or np.any(p > 1):
            raise ValueError("Probabilities must be in range [0,1]")
        if not np.allclose(np.sum(p, axis=-1), 1.0):
            raise ValueError("Probabilities must sum to one")
        # Normalize probabilities
        p = p / np.sum(p, axis=-1, keepdims=True)
        # Message is log-probabilities
        logp = np.log(p)
        u = [logp]
        f = - np.sum(logp, axis=-1)
        return (u, f)

    
    def random(self, *phi, plates=None):
        r"""
        Draw a random sample from the distribution.
        """
        return random.dirichlet(phi[0], size=plates)
        

    def compute_gradient(self, g, u, phi):
        r"""
        Compute the moments and :math:`g(\phi)`.

             \psi(\phi_1) - \psi(\sum_d \phi_{1,d})

        Standard gradient given the gradient with respect to the moments, that
        is, given the Riemannian gradient :math:`\tilde{\nabla}`:

        .. math::

           \nabla &=
           \begin{bmatrix}
             (\psi^{(1)}(\phi_1) - \psi^{(1)}(\sum_d \phi_{1,d}) \nabla_1
           \end{bmatrix}
        """
        sum_phi = np.sum(phi[0], axis=-1, keepdims=True)
        d0 = g[0] * (special.polygamma(1, phi[0]) - special.polygamma(1, sum_phi))
        return [d0]


class Concentration(Stochastic):


    _parent_moments = ()


    def __init__(self, D, regularization=True, **kwargs):
        """
        ML estimation node for concentration parameters.

        Parameters
        ----------

        D : int
            Number of categories

        regularization : 2-tuple of arrays (optional)
            "Prior" log-probability and "prior" sample number
        """
        self.D = D
        self.dims = ( (D,), () )
        self._moments = ConcentrationMoments(D)
        super().__init__(dims=self.dims, initialize=False, **kwargs)
        self.u = self._moments.compute_fixed_moments(np.ones(D))
        if regularization is None or regularization is False:
            regularization = [0, 0]
        elif regularization is True:
            # Decent default regularization?
            regularization = [np.log(1/D), 1]
        self.regularization = regularization
        return


    @property
    def regularization(self):
        return self.__regularization


    @regularization.setter
    def regularization(self, regularization):
        if len(regularization) != 2:
            raise ValueError("Regularization must 2-tuple")
        if not misc.is_shape_subset(np.shape(regularization[0]), self.get_shape(0)):
            raise ValueError("Wrong shape")
        if not misc.is_shape_subset(np.shape(regularization[1]), self.get_shape(1)):
            raise ValueError("Wrong shape")
        self.__regularization = regularization
        return


    def _update_distribution_and_lowerbound(self, m):
        r"""
        Find maximum likelihood estimate for the concentration parameter
        """

        a = np.ones(self.D)
        da = np.inf
        logp = m[0] + self.regularization[0]
        N = m[1] + self.regularization[1]

        # Compute sufficient statistic
        mean_logp = logp / N[...,None]

        # It is difficult to estimate values lower than 0.02 because the
        # Dirichlet distributed probability vector starts to give numerically
        # zero random samples for lower values.
        if np.any(np.isinf(mean_logp)):
            raise ValueError(
                "Cannot estimate DirichletConcentration because of infs. This "
                "means that there are numerically zero probabilities in the "
                "child Dirichlet node."
            )

        # Fixed-point iteration
        while np.any(np.abs(da / a) > 1e-5):
            a_new = misc.invpsi(
                special.psi(np.sum(a, axis=-1, keepdims=True))
                + mean_logp
            )
            da = a_new - a
            a = a_new

        self.u = self._moments.compute_fixed_moments(a)

        return


    def initialize_from_value(self, x):
        self.u = self._moments.compute_fixed_moments(x)
        return


    def lower_bound_contribution(self):
        return (
            linalg.inner(self.u[0], self.regularization[0], ndim=1)
            + self.u[1] * self.regularization[1]
        )


class Dirichlet(ExponentialFamily):
    r"""
    Node for Dirichlet random variables.

    The node models a set of probabilities :math:`\{\pi_0, \ldots, \pi_{K-1}\}`
    which satisfy :math:`\sum_{k=0}^{K-1} \pi_k = 1` and :math:`\pi_k \in [0,1]
    \ \forall k=0,\ldots,K-1`.

    .. math::

        p(\pi_0, \ldots, \pi_{K-1}) = \mathrm{Dirichlet}(\alpha_0, \ldots,
        \alpha_{K-1})

    where :math:`\alpha_k` are concentration parameters.

    The posterior approximation has the same functional form but with different
    concentration parameters.

    Parameters
    ----------

    alpha : (...,K)-shaped array

        Prior counts :math:`\alpha_k`

    See also
    --------

    Beta, Categorical, Multinomial, CategoricalMarkovChain
    """

    _distribution = DirichletDistribution()


    @classmethod
    def _constructor(cls, alpha, **kwargs):
        """
        Constructs distribution and moments objects.
        """
        # Number of categories
        alpha = cls._ensure_moments(alpha, ConcentrationMoments)
        parent_moments = (alpha._moments,)

        parents = [alpha]

        categories = alpha.dims[0][0]
        moments = DirichletMoments(categories)

        return (
            parents,
            kwargs,
            moments.dims,
            cls._total_plates(kwargs.get('plates'), alpha.plates),
            cls._distribution,
            moments,
            parent_moments
        )


    def __str__(self):
        """
        Show distribution as a string
        """
        alpha = self.phi[0]
        return ("%s ~ Dirichlet(alpha)\n"
                "  alpha =\n"
                "%s" % (self.name, alpha))