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import itertools
import numpy as np
from scipy import stats
def mvdot(A, b):
return np.einsum("...ik,...k->...i", A, b)
def diag(A):
return np.einsum("...ii->...i", A)
def integral(mu, Sigma, a, b):
"""P(a<=x<=b) for x~N(mu,Sigma) """
N = np.shape(mu)[-1]
# If we don't have an upper bound, flip everything and use the lower bound
# as the upper bound.
if b is None:
# Swap the axes
b = None if a is None else -a
a = None
mu = -mu
if a is None:
if b is None:
# Trivial integral
return 1
if N == 1:
return stats.norm.cdf(b, mu, Sigma[...,0])[...,0]
# If only upper bound, we can compute P(x<=b) with a single evaluation
# of CDF
#
# TODO: SciPy multivariate normal has no support for arrays, so we need
# to loop over each ourselves
sh = np.broadcast_shapes(
np.shape(b)[:-1],
np.shape(mu)[:-1],
np.shape(Sigma)[:-2],
)
N = np.shape(mu)[-1]
b = np.broadcast_to(b, sh + (N,))
mu = np.broadcast_to(mu, sh + (N,))
Sigma = np.broadcast_to(Sigma, sh + (N,N))
p = np.zeros(sh)
for ind in itertools.product(*(np.arange(s) for s in sh)):
p[ind] = stats.multivariate_normal.cdf(
b[ind],
mean=mu[ind],
cov=Sigma[ind],
)
return p
if N == 1:
s = np.sqrt(Sigma)[...,0]
p = stats.norm.cdf(b, mu, s) - stats.norm.cdf(a, mu, s)
return p[...,0]
raise NotImplementedError()
# TODO: Broadcasting
y = np.stack([a,b])
[
((1, bi,),) if np.isneginf(ai) else ((0, ai), (1, bi))
for (ai, bi) in zip(a, b)
]
# To get max benefit of the below optimization, flip dimensions for which
# a[i]>-inf but b[i]=inf
# flip = ~np.isneginf(a) & np.isposinf(b)
# b = np.where(flip, -a, b)
# a = np.where(flip, -np.inf, a)
# mu = np.where(flip, -mu, mu)
# Optimization: skip combinations with any a[i]=-inf
[
((1, bi,),) if np.isneginf(ai) else ((0, ai), (1, bi))
for (ai, bi) in zip(a, b)
]
P = 0
for (i, y) in foo:
# TODO: Maybe discard dimensions with b[i]=inf so it's lower dimensional?
pass
def _remove_diag(A):
"""Removes diagonal elements from a matrix"""
# See: https://stackoverflow.com/a/46736275
return A[~np.eye(A.shape[0],dtype=bool)].reshape(A.shape[0],-1)
def _remove_each_row_and_column(x):
n = np.shape(x)[-1]
inds = _remove_diag(
np.repeat(np.arange(n)[None,:], n, axis=0)
)
y = x[...,inds,:]
return np.take_along_axis(
y,
np.broadcast_to(
inds[...,None,:],
np.shape(y)[:-1] + (n-1,),
),
axis=-1,
)
def _remove_each_column(x):
n = np.shape(x)[-1]
inds = _remove_diag(
np.repeat(np.arange(n)[None,:], n, axis=0)
)
return x[...,inds]
def _remove_each_row(x):
n = np.shape(x)[-1]
inds = _remove_diag(
np.repeat(np.arange(n)[None,:], n, axis=0)
)
return x[...,inds,:]
def _geometric_sum(x, a, b):
"""sum_a^{b-1} x**i"""
z = 1 - x
return np.where(
a >= b,
0,
np.where(
z == 0,
b - a, # case x==1
(x**a - x**b) / z,
)
)
def _get_g(G, k, N, m):
# We are interested in G[i][...]
i = np.sum(k, axis=-1)
# How many (N-1) length axes there are in total for all G[j] for j<i
d = np.rint(_geometric_sum(N-1, 0, i)).astype(int)
v = np.cumsum(np.insert(k, 0, 0, axis=-1), axis=-1)
r = np.rint(_geometric_sum(N-1, v[...,:-1], v[...,1:])).astype(int)
inds = (
# Choose the correct G[i] (each has shape (N-1)^i)
d +
# Choose the correct element from each N-1 length axis
np.sum(np.arange(N-1) * r, axis=-1)
)
return G[...,np.arange(N),inds]
def _get_f(F, k, N, ndim):
sh0 = np.shape(F)
sh = (
sh0 if ndim == 0 else
sh0[:-ndim]
)
# Reshape into a vector
mask = np.any(k < 0, axis=-1, keepdims=True)
f = np.reshape(F, sh + (-1,))
v = np.cumsum(
np.insert(
np.where(
mask,
0,
k,
),
0,
0,
axis=-1,
),
axis=-1,
)
# Force convert to integers what they should be anyway
r = np.rint(_geometric_sum(N, v[...,:-1], v[...,1:])).astype(int)
inds = np.sum(np.arange(N) * r, axis=-1)
return np.where(
mask[...,0],
0,
np.reshape(f[...,inds], sh + np.shape(k)[:-1]),
)
def _recurrent_integrals(mu, Sigma, a, b, m):
N = np.shape(mu)[-1]
# Base case for 1D, that is, scalars
if N == 1:
Fs = []
L = integral(mu, Sigma, a, b)
Fs.append(L)
s2 = Sigma[...,0]
s = np.sqrt(s2)
for k in range(0, m):
c1 = 0 if k < 1 else k*s2*Fs[k-1][...,None,None]
c2 = 0 if a is None else a**k * stats.norm.pdf((a-mu)/s)
c3 = 0 if b is None else b**k * stats.norm.pdf((b-mu)/s)
F = (mu * Fs[k][...,None] + c1 + s * (c2 - c3))
Fs.append(F)
return Fs
s2 = diag(Sigma)
# Compute the lower dimensional integrals
if m > 0:
def compute_lower_dimensional_integrals(y):
Sigmaj = _remove_each_row(Sigma)
Sigmajj = _remove_each_row_and_column(Sigma)
muj = _remove_each_column(mu)
# Shapes:
#
# Gs[0] :: (...) + ()
# Gs[1] :: (...) + (N-1)
# Gs[2] :: (...) + (N-1,N-1)
# Gs[3] :: (...) + (N-1,N-1,N-1)
Gs = _recurrent_integrals(
muj + np.einsum("...jij,...j->...ji", Sigmaj, (y - mu) / s2),
Sigmajj - np.einsum("...jaj,...jbj->...jab", Sigmaj, Sigmaj) / s2[...,None,None],
None if a is None else _remove_each_column(a),
None if b is None else _remove_each_column(b),
m - 1,
)
# Put all in one huge vector for more efficient accessing
sh = np.shape(Gs[0])
return np.concatenate(
[np.reshape(Gi, sh + (-1,)) for Gi in Gs],
axis=-1,
)
Ga = (
None if a is None else
compute_lower_dimensional_integrals(a)
)
Gb = (
None if b is None else
compute_lower_dimensional_integrals(b)
)
# Compute the different total power integrals
#
# Shapes:
#
# Fs[0] :: (...) + ()
# Fs[1] :: (...) + (N,)
# Fs[2] :: (...) + (N,N)
# Fs[3] :: (...) + (N,N,N)
# and so on
Fs = []
Fs.append(np.asarray(integral(mu, Sigma, a, b)))
al = a
bl = b
mul = mu
Sigmal = Sigma
stdl = np.sqrt(s2)
k = np.zeros(N, dtype=int)
I = np.eye(N, dtype=int)
Il = I
for l in range(1, m+1):
c1 = (
np.zeros(N) if l < 2 else
k * _get_f(Fs[l-2], k[...,None,:] - I, N, ndim=l-2)
)
c2 = (
0 if al is None else
np.where(
np.isneginf(al),
0,
al**k * stats.norm.pdf(al, mul, stdl) * _get_g(
Ga,
_remove_each_column(k),
N,
m-1,
),
)
)
c3 = (
0 if bl is None else
np.where(
np.isposinf(bl),
0,
bl**k * stats.norm.pdf(bl, mul, stdl) * _get_g(
Gb,
_remove_each_column(k),
N,
m-1,
),
)
)
c = c1 + c2 - c3
F = mul * Fs[l-1][...,None] + mvdot(Sigmal, c)
Fs.append(F)
# Add new axes for the next iteration round
al = (None if al is None else al[...,None,:])
bl = (None if bl is None else bl[...,None,:])
mul = mul[...,None,:]
stdl = stdl[...,None,:]
Sigmal = Sigmal[...,None,:,:]
k = k + Il
Il = Il[...,None,:]
return Fs
def moments(mu, Sigma, a, b, m):
# Broadcast and convert to arrays
# sh = np.broadcast_shapes(
# np.shape(mu)[:-1],
# np.shape(Sigma)[:-2],
# () if a is None else np.shape(a)[:-1],
# () if b is None else np.shape(b)[:-1],
# )
# N = np.shape(mu)[-1]
# mu = np.broadcast_to(mu, sh + (N,))
# Sigma = np.broadcast_to(Sigma, sh + (N,N))
# a = None if a is None else np.broadcast_to(a, sh + (N,))
# b = None if b is None else np.broadcast_to(b, sh + (N,))
Fs = _recurrent_integrals(
np.asarray(mu),
np.asarray(Sigma),
None if a is None else np.asarray(a),
None if b is None else np.asarray(b),
m,
)
L = Fs[0]
# Treat the first element a bit differently by not dividing as it would give
# trivial 1. But divide the other elements so you'll get the expectations.
return [L] + [Fi / L for Fi in Fs[1:]]
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