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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430
|
################################################################################
# Copyright (C) 2011-2012,2014 Jaakko Luttinen
#
# This file is licensed under the MIT License.
################################################################################
"""
Module for the gamma distribution node.
"""
import numpy as np
import scipy.special as special
from .node import Node, Moments, ensureparents
from .deterministic import Deterministic
from .stochastic import Stochastic
from .expfamily import ExponentialFamily, ExponentialFamilyDistribution
from .constant import Constant
from bayespy.utils import misc
from bayespy.utils import random
def diagonal(alpha):
"""
Create a diagonal Wishart node from a Gamma node.
"""
return _GammaToDiagonalWishart(alpha,
name=alpha.name + " as Wishart")
class GammaPriorMoments(Moments):
"""
Class for the moments of the shape parameter in gamma distributions.
"""
dims = ( (), () )
def compute_fixed_moments(self, a):
"""
Compute the moments for a fixed value
"""
a = np.asanyarray(a)
if np.any(a <= 0):
raise ValueError("Shape parameter must be positive")
u0 = a
u1 = special.gammaln(a)
return [u0, u1]
@classmethod
def from_values(cls, a):
"""
Return the shape of the moments for a fixed value.
"""
return cls()
class GammaMoments(Moments):
"""
Class for the moments of gamma variables.
"""
dims = ( (), () )
def compute_fixed_moments(self, x):
"""
Compute the moments for a fixed value
"""
x = np.asanyarray(x)
if np.any(x < 0):
raise ValueError("Values must be positive")
u0 = x
u1 = np.log(x)
return [u0, u1]
@classmethod
def from_values(cls, x):
"""
Return the shape of the moments for a fixed value.
"""
return cls()
class GammaDistribution(ExponentialFamilyDistribution):
"""
Class for the VMP formulas of gamma variables.
"""
def compute_message_to_parent(self, parent, index, u_self, u_a, u_b):
r"""
Compute the message to a parent node.
"""
x = u_self[0]
logx = u_self[1]
if index == 0:
b = u_b[0]
logb = u_b[1]
return [logx + logb,
-1]
elif index == 1:
a = u_a[0]
return [-x,
a]
else:
raise ValueError("Index out of bounds")
def compute_phi_from_parents(self, *u_parents, mask=True):
r"""
Compute the natural parameter vector given parent moments.
"""
return [-u_parents[1][0],
1*u_parents[0][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}
- \frac{\phi_2} {\phi_1}
\\
\psi(\phi_2) - \log(-\phi_1)
\end{bmatrix}
\\
g_{\boldsymbol{\phi}} (\boldsymbol{\phi})
&=
TODO
"""
with np.errstate(invalid='raise', divide='raise'):
log_b = np.log(-phi[0])
u0 = phi[1] / (-phi[0])
u1 = special.digamma(phi[1]) - log_b
u = [u0, u1]
g = phi[1] * log_b - special.gammaln(phi[1])
return (u, g)
def compute_cgf_from_parents(self, *u_parents):
r"""
Compute :math:`\mathrm{E}_{q(p)}[g(p)]`
"""
a = u_parents[0][0]
gammaln_a = u_parents[0][1] #special.gammaln(a)
b = u_parents[1][0]
log_b = u_parents[1][1]
g = a * log_b - gammaln_a
return g
def compute_fixed_moments_and_f(self, x, mask=True):
r"""
Compute the moments and :math:`f(x)` for a fixed value.
"""
x = np.asanyarray(x)
if np.any(x < 0):
raise ValueError("Values must be positive")
logx = np.log(x)
u = [x, logx]
f = -logx
return (u, f)
def random(self, *phi, plates=None):
r"""
Draw a random sample from the distribution.
"""
return random.gamma(phi[1], -1/phi[0], size=plates)
def compute_gradient(self, g, u, phi):
r"""
Compute the moments and :math:`g(\phi)`.
.. math::
\mathrm{d}\overline{\mathbf{u}} &=
\begin{bmatrix}
- \frac{\mathrm{d}\phi_2} {phi_1} + \frac{\phi_2}{\phi_1^2} \mathrm{d}\phi_1
\\
\psi^{(1)}(\phi_2) \mathrm{d}\phi_2 - \frac{1}{\phi_1} \mathrm{d}\phi_1
\end{bmatrix}
Standard gradient given the gradient with respect to the moments, that
is, given the Riemannian gradient :math:`\tilde{\nabla}`:
.. math::
\nabla =
\begin{bmatrix}
\nabla_1 \frac{\phi_2}{\phi_1^2} - \nabla_2 \frac{1}{\phi_1}
\\
\nabla_2 \psi^{(1)}(\phi_2) - \nabla_1 \frac {1} {\phi_1}
\end{bmatrix}
"""
d0 = g[0] * phi[1] / phi[0]**2 - g[1] / phi[0]
d1 = g[1] * special.polygamma(1, phi[1]) - g[0] / phi[0]
return [d0, d1]
class Gamma(ExponentialFamily):
"""
Node for gamma random variables.
Parameters
----------
a : scalar or array
Shape parameter
b : gamma-like node or scalar or array
Rate parameter
"""
dims = ( (), () )
_distribution = GammaDistribution()
_moments = GammaMoments()
_parent_moments = (GammaPriorMoments(),
GammaMoments())
def __init__(self, a, b, **kwargs):
"""
Create gamma random variable node
"""
super().__init__(a, b, **kwargs)
def __str__(self):
"""
Print the distribution using standard parameterization.
"""
a = self.phi[1]
b = -self.phi[0]
return ("%s ~ Gamma(a, b)\n"
" a =\n"
"%s\n"
" b =\n"
"%s\n"
% (self.name, a, b))
def as_wishart(self, ndim=0):
if ndim != 0:
raise NotImplementedError()
return _GammaToScalarWishart(self, name=self.name + " as Wishart")
def as_diagonal_wishart(self):
return _GammaToDiagonalWishart(self,
name=self.name + " as Wishart")
def diag(self):
return self.as_diagonal_wishart()
class GammaShape(Stochastic):
"""
ML point estimator for the shape parameter of the gamma distribution
"""
dims = ( (), () )
_moments = GammaPriorMoments()
_parent_moments = ()
def __init__(self, m0=0, m1=0, **kwargs):
"""
Create gamma random variable node
"""
super().__init__(dims=self.dims, initialize=False, **kwargs)
self.u = self._moments.compute_fixed_moments(1)
self._m0 = m0
self._m1 = m1
return
def _update_distribution_and_lowerbound(self, m):
r"""
Find maximum likelihood estimate for the shape parameter
Messages from children appear in the lower bound as
.. math::
m_0 \cdot x + m_1 \cdot \log(\Gamma(x))
Take derivative, put it zero and solve:
.. math::
m_0 + m_1 \cdot d\log(\Gamma(x)) &= 0
\\
m_0 + m_1 \cdot \psi(x) &= 0
\\
x &= \psi^{-1}(-\frac{m_0}{m_1})
where :math:`\psi^{-1}` is the inverse digamma function.
"""
# Maximum likelihood estimate
m0 = self._m0 + m[0]
m1 = self._m1 + m[1]
x = misc.invpsi(-m0 / m1)
# Compute moments
self.u = self._moments.compute_fixed_moments(x)
return
def initialize_from_value(self, x):
self.u = self._moments.compute_fixed_moments(x)
return
def lower_bound_contribution(self):
return 0
class _GammaToDiagonalWishart(Deterministic):
"""
Transform a set of gamma scalars into a diagonal Wishart matrix.
The last plate is used as the diagonal dimension.
"""
_parent_moments = [GammaMoments()]
@ensureparents
def __init__(self, alpha, **kwargs):
# Check for constant
if misc.is_numeric(alpha):
alpha = Constant(Gamma)(alpha)
if len(alpha.plates) == 0:
raise Exception("Gamma variable needs to have plates in "
"order to be used as a diagonal Wishart.")
D = alpha.plates[-1]
# FIXME: Put import here to avoid circular dependency import
from .wishart import WishartMoments
self._moments = WishartMoments((D,))
dims = ( (D,D), () )
# Construct the node
super().__init__(alpha,
dims=self._moments.dims,
**kwargs)
def _plates_to_parent(self, index):
D = self.dims[0][0]
return self.plates + (D,)
def _plates_from_parent(self, index):
return self.parents[index].plates[:-1]
@staticmethod
def _compute_weights_to_parent(index, weights):
return weights[..., np.newaxis]
def get_moments(self):
u = self.parents[0].get_moments()
# Form a diagonal matrix from the gamma variables
return [np.identity(self.dims[0][0]) * u[0][...,np.newaxis],
np.sum(u[1], axis=(-1))]
@staticmethod
def _compute_message_to_parent(index, m_children, *u_parents):
# Take the diagonal
m0 = np.einsum('...ii->...i', m_children[0])
m1 = np.reshape(m_children[1], np.shape(m_children[1]) + (1,))
return [m0, m1]
class _GammaToScalarWishart(Deterministic):
"""
Transform gamma scalar moments to ndim=0 scalar Wishart moments
"""
_parent_moments = [GammaMoments()]
@ensureparents
def __init__(self, alpha, **kwargs):
# Check for constant
if misc.is_numeric(alpha):
alpha = Constant(Gamma)(alpha)
# FIXME: Put import here to avoid circular dependency import
from .wishart import WishartMoments
self._moments = WishartMoments(())
dims = ( (), () )
# Construct the node
super().__init__(alpha,
dims=self._moments.dims,
**kwargs)
def get_moments(self):
return self.parents[0].get_moments()
@staticmethod
def _compute_message_to_parent(index, m_children, *u_parents):
return m_children
|