Source code for pymc.model

#   Copyright 2020 The PyMC Developers
#
#   Licensed under the Apache License, Version 2.0 (the "License");
#   you may not use this file except in compliance with the License.
#   You may obtain a copy of the License at
#
#       http://www.apache.org/licenses/LICENSE-2.0
#
#   Unless required by applicable law or agreed to in writing, software
#   distributed under the License is distributed on an "AS IS" BASIS,
#   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
#   See the License for the specific language governing permissions and
#   limitations under the License.

import functools
import threading
import types
import warnings

from sys import modules
from typing import (
    TYPE_CHECKING,
    Any,
    Callable,
    Dict,
    List,
    Optional,
    Sequence,
    Tuple,
    Type,
    TypeVar,
    Union,
    cast,
)

import numpy as np
import pytensor
import pytensor.sparse as sparse
import pytensor.tensor as at
import scipy.sparse as sps

from pytensor.compile.sharedvalue import SharedVariable
from pytensor.graph.basic import Constant, Variable, graph_inputs
from pytensor.graph.fg import FunctionGraph
from pytensor.scalar import Cast
from pytensor.tensor.elemwise import Elemwise
from pytensor.tensor.random.op import RandomVariable
from pytensor.tensor.random.rewriting import local_subtensor_rv_lift
from pytensor.tensor.sharedvar import ScalarSharedVariable
from pytensor.tensor.var import TensorConstant, TensorVariable

from pymc.blocking import DictToArrayBijection, RaveledVars
from pymc.data import GenTensorVariable, is_minibatch
from pymc.distributions.logprob import _joint_logp
from pymc.distributions.transforms import _default_transform
from pymc.exceptions import (
    BlockModelAccessError,
    ImputationWarning,
    SamplingError,
    ShapeError,
    ShapeWarning,
)
from pymc.initial_point import make_initial_point_fn
from pymc.pytensorf import (
    PointFunc,
    SeedSequenceSeed,
    compile_pymc,
    convert_observed_data,
    gradient,
    hessian,
    inputvars,
    replace_rvs_by_values,
)
from pymc.util import (
    UNSET,
    WithMemoization,
    _add_future_warning_tag,
    get_transformed_name,
    get_value_vars_from_user_vars,
    get_var_name,
    treedict,
    treelist,
)
from pymc.vartypes import continuous_types, discrete_types, typefilter

__all__ = [
    "Model",
    "modelcontext",
    "Deterministic",
    "Potential",
    "set_data",
    "Point",
    "compile_fn",
]


class InstanceMethod:
    """Class for hiding references to instance methods so they can be pickled.

    >>> self.method = InstanceMethod(some_object, 'method_name')
    """

    def __init__(self, obj, method_name):
        self.obj = obj
        self.method_name = method_name

    def __call__(self, *args, **kwargs):
        return getattr(self.obj, self.method_name)(*args, **kwargs)


def incorporate_methods(source, destination, methods, wrapper=None, override=False):
    """
    Add attributes to a destination object which point to
    methods from from a source object.

    Parameters
    ----------
    source: object
        The source object containing the methods.
    destination: object
        The destination object for the methods.
    methods: list of str
        Names of methods to incorporate.
    wrapper: function
        An optional function to allow the source method to be
        wrapped. Should take the form my_wrapper(source, method_name)
        and return a single value.
    override: bool
        If the destination object already has a method/attribute
        an AttributeError will be raised if override is False (the default).
    """
    for method in methods:
        if hasattr(destination, method) and not override:
            raise AttributeError(
                f"Cannot add method {method!r}" + "to destination object as it already exists. "
                "To prevent this error set 'override=True'."
            )
        if hasattr(source, method):
            if wrapper is None:
                setattr(destination, method, getattr(source, method))
            else:
                setattr(destination, method, wrapper(source, method))
        else:
            setattr(destination, method, None)


T = TypeVar("T", bound="ContextMeta")


class ContextMeta(type):
    """Functionality for objects that put themselves in a context using
    the `with` statement.
    """

    def __new__(cls, name, bases, dct, **kwargs):  # pylint: disable=unused-argument
        """Add __enter__ and __exit__ methods to the class."""

        def __enter__(self):
            self.__class__.context_class.get_contexts().append(self)
            # self._pytensor_config is set in Model.__new__
            self._config_context = None
            if hasattr(self, "_pytensor_config"):
                self._config_context = pytensor.config.change_flags(**self._pytensor_config)
                self._config_context.__enter__()
            return self

        def __exit__(self, typ, value, traceback):  # pylint: disable=unused-argument
            self.__class__.context_class.get_contexts().pop()
            # self._pytensor_config is set in Model.__new__
            if self._config_context:
                self._config_context.__exit__(typ, value, traceback)

        dct[__enter__.__name__] = __enter__
        dct[__exit__.__name__] = __exit__

        # We strip off keyword args, per the warning from
        # StackExchange:
        # DO NOT send "**kwargs" to "type.__new__".  It won't catch them and
        # you'll get a "TypeError: type() takes 1 or 3 arguments" exception.
        return super().__new__(cls, name, bases, dct)

    # FIXME: is there a more elegant way to automatically add methods to the class that
    # are instance methods instead of class methods?
    def __init__(
        cls, name, bases, nmspc, context_class: Optional[Type] = None, **kwargs
    ):  # pylint: disable=unused-argument
        """Add ``__enter__`` and ``__exit__`` methods to the new class automatically."""
        if context_class is not None:
            cls._context_class = context_class
        super().__init__(name, bases, nmspc)

    def get_context(cls, error_if_none=True) -> Optional[T]:
        """Return the most recently pushed context object of type ``cls``
        on the stack, or ``None``. If ``error_if_none`` is True (default),
        raise a ``TypeError`` instead of returning ``None``."""
        try:
            candidate: Optional[T] = cls.get_contexts()[-1]
        except IndexError as e:
            # Calling code expects to get a TypeError if the entity
            # is unfound, and there's too much to fix.
            if error_if_none:
                raise TypeError(f"No {cls} on context stack")
            return None
        if isinstance(candidate, BlockModelAccess):
            raise BlockModelAccessError(candidate.error_msg_on_access)
        return candidate

    def get_contexts(cls) -> List[T]:
        """Return a stack of context instances for the ``context_class``
        of ``cls``."""
        # This lazily creates the context class's contexts
        # thread-local object, as needed. This seems inelegant to me,
        # but since the context class is not guaranteed to exist when
        # the metaclass is being instantiated, I couldn't figure out a
        # better way. [2019/10/11:rpg]

        # no race-condition here, contexts is a thread-local object
        # be sure not to override contexts in a subclass however!
        context_class = cls.context_class
        assert isinstance(
            context_class, type
        ), f"Name of context class, {context_class} was not resolvable to a class"
        if not hasattr(context_class, "contexts"):
            context_class.contexts = threading.local()

        contexts = context_class.contexts

        if not hasattr(contexts, "stack"):
            contexts.stack = []
        return contexts.stack

    # the following complex property accessor is necessary because the
    # context_class may not have been created at the point it is
    # specified, so the context_class may be a class *name* rather
    # than a class.
    @property
    def context_class(cls) -> Type:
        def resolve_type(c: Union[Type, str]) -> Type:
            if isinstance(c, str):
                c = getattr(modules[cls.__module__], c)
            if isinstance(c, type):
                return c
            raise ValueError(f"Cannot resolve context class {c}")

        assert cls is not None
        if isinstance(cls._context_class, str):
            cls._context_class = resolve_type(cls._context_class)
        if not isinstance(cls._context_class, (str, type)):
            raise ValueError(
                f"Context class for {cls.__name__}, {cls._context_class}, is not of the right type"
            )
        return cls._context_class

    # Inherit context class from parent
    def __init_subclass__(cls, **kwargs):
        super().__init_subclass__(**kwargs)
        cls.context_class = super().context_class

    # Initialize object in its own context...
    # Merged from InitContextMeta in the original.
    def __call__(cls, *args, **kwargs):
        instance = cls.__new__(cls, *args, **kwargs)
        with instance:  # appends context
            instance.__init__(*args, **kwargs)
        return instance


[docs]def modelcontext(model: Optional["Model"]) -> "Model": """ Return the given model or, if none was supplied, try to find one in the context stack. """ if model is None: model = Model.get_context(error_if_none=False) if model is None: # TODO: This should be a ValueError, but that breaks # ArviZ (and others?), so might need a deprecation. raise TypeError("No model on context stack.") return model
class ValueGradFunction: """Create an PyTensor function that computes a value and its gradient. Parameters ---------- costs: list of PyTensor variables We compute the weighted sum of the specified PyTensor values, and the gradient of that sum. The weights can be specified with `ValueGradFunction.set_weights`. grad_vars: list of named PyTensor variables or None The arguments with respect to which the gradient is computed. extra_vars_and_values: dict of PyTensor variables and their initial values Other arguments of the function that are assumed constant and their values. They are stored in shared variables and can be set using `set_extra_values`. dtype: str, default=pytensor.config.floatX The dtype of the arrays. casting: {'no', 'equiv', 'save', 'same_kind', 'unsafe'}, default='no' Casting rule for casting `grad_args` to the array dtype. See `numpy.can_cast` for a description of the options. Keep in mind that we cast the variables to the array *and* back from the array dtype to the variable dtype. compute_grads: bool, default=True If False, return only the logp, not the gradient. kwargs Extra arguments are passed on to `pytensor.function`. Attributes ---------- profile: PyTensor profiling object or None The profiling object of the PyTensor function that computes value and gradient. This is None unless `profile=True` was set in the kwargs. """ def __init__( self, costs, grad_vars, extra_vars_and_values=None, *, dtype=None, casting="no", compute_grads=True, **kwargs, ): if extra_vars_and_values is None: extra_vars_and_values = {} names = [arg.name for arg in grad_vars + list(extra_vars_and_values.keys())] if any(name is None for name in names): raise ValueError("Arguments must be named.") if len(set(names)) != len(names): raise ValueError("Names of the arguments are not unique.") self._grad_vars = grad_vars self._extra_vars = list(extra_vars_and_values.keys()) self._extra_var_names = {var.name for var in extra_vars_and_values.keys()} if dtype is None: dtype = pytensor.config.floatX self.dtype = dtype self._n_costs = len(costs) if self._n_costs == 0: raise ValueError("At least one cost is required.") weights = np.ones(self._n_costs - 1, dtype=self.dtype) self._weights = pytensor.shared(weights, "__weights") cost = costs[0] for i, val in enumerate(costs[1:]): if cost.ndim > 0 or val.ndim > 0: raise ValueError("All costs must be scalar.") cost = cost + self._weights[i] * val self._extra_are_set = False for var in self._grad_vars: if not np.can_cast(var.dtype, self.dtype, casting): raise TypeError( f"Invalid dtype for variable {var.name}. Can not " f"cast to {self.dtype} with casting rule {casting}." ) if not np.issubdtype(var.dtype, np.floating): raise TypeError( f"Invalid dtype for variable {var.name}. Must be " f"floating point but is {var.dtype}." ) givens = [] self._extra_vars_shared = {} for var, value in extra_vars_and_values.items(): shared = pytensor.shared( value, var.name + "_shared__", shape=[1 if s == 1 else None for s in value.shape] ) self._extra_vars_shared[var.name] = shared givens.append((var, shared)) if compute_grads: grads = pytensor.grad(cost, grad_vars, disconnected_inputs="ignore") for grad_wrt, var in zip(grads, grad_vars): grad_wrt.name = f"{var.name}_grad" outputs = [cost] + grads else: outputs = [cost] inputs = grad_vars self._pytensor_function = compile_pymc(inputs, outputs, givens=givens, **kwargs) def set_weights(self, values): if values.shape != (self._n_costs - 1,): raise ValueError("Invalid shape. Must be (n_costs - 1,).") self._weights.set_value(values) def set_extra_values(self, extra_vars): self._extra_are_set = True for var in self._extra_vars: self._extra_vars_shared[var.name].set_value(extra_vars[var.name]) def get_extra_values(self): if not self._extra_are_set: raise ValueError("Extra values are not set.") return {var.name: self._extra_vars_shared[var.name].get_value() for var in self._extra_vars} def __call__(self, grad_vars, grad_out=None, extra_vars=None): if extra_vars is not None: self.set_extra_values(extra_vars) if not self._extra_are_set: raise ValueError("Extra values are not set.") if isinstance(grad_vars, RaveledVars): grad_vars = list(DictToArrayBijection.rmap(grad_vars).values()) cost, *grads = self._pytensor_function(*grad_vars) if grads: grads_raveled = DictToArrayBijection.map( {v.name: gv for v, gv in zip(self._grad_vars, grads)} ) if grad_out is None: return cost, grads_raveled.data else: np.copyto(grad_out, grads_raveled.data) return cost else: return cost @property def profile(self): """Profiling information of the underlying PyTensor function.""" return self._pytensor_function.profile
[docs]class Model(WithMemoization, metaclass=ContextMeta): """Encapsulates the variables and likelihood factors of a model. Model class can be used for creating class based models. To create a class based model you should inherit from :class:`~pymc.Model` and override the `__init__` method with arbitrary definitions (do not forget to call base class :meth:`pymc.Model.__init__` first). Parameters ---------- name: str name that will be used as prefix for names of all random variables defined within model check_bounds: bool Ensure that input parameters to distributions are in a valid range. If your model is built in a way where you know your parameters can only take on valid values you can set this to False for increased speed. This should not be used if your model contains discrete variables. Examples -------- How to define a custom model .. code-block:: python class CustomModel(Model): # 1) override init def __init__(self, mean=0, sigma=1, name=''): # 2) call super's init first, passing model and name # to it name will be prefix for all variables here if # no name specified for model there will be no prefix super().__init__(name, model) # now you are in the context of instance, # `modelcontext` will return self you can define # variables in several ways note, that all variables # will get model's name prefix # 3) you can create variables with the register_rv method self.register_rv(Normal.dist(mu=mean, sigma=sigma), 'v1', initval=1) # this will create variable named like '{name::}v1' # and assign attribute 'v1' to instance created # variable can be accessed with self.v1 or self['v1'] # 4) this syntax will also work as we are in the # context of instance itself, names are given as usual Normal('v2', mu=mean, sigma=sigma) # something more complex is allowed, too half_cauchy = HalfCauchy('sigma', beta=10, initval=1.) Normal('v3', mu=mean, sigma=half_cauchy) # Deterministic variables can be used in usual way Deterministic('v3_sq', self.v3 ** 2) # Potentials too Potential('p1', at.constant(1)) # After defining a class CustomModel you can use it in several # ways # I: # state the model within a context with Model() as model: CustomModel() # arbitrary actions # II: # use new class as entering point in context with CustomModel() as model: Normal('new_normal_var', mu=1, sigma=0) # III: # just get model instance with all that was defined in it model = CustomModel() # IV: # use many custom models within one context with Model() as model: CustomModel(mean=1, name='first') CustomModel(mean=2, name='second') # variables inside both scopes will be named like `first::*`, `second::*` """ if TYPE_CHECKING: def __enter__(self: "Model") -> "Model": ... def __exit__(self: "Model", *exc: Any) -> bool: ... def __new__(cls, *args, **kwargs): # resolves the parent instance instance = super().__new__(cls) if kwargs.get("model") is not None: instance._parent = kwargs.get("model") else: instance._parent = cls.get_context(error_if_none=False) instance._pytensor_config = kwargs.get("pytensor_config", {}) return instance @staticmethod def _validate_name(name): if name.endswith(":"): raise KeyError("name should not end with `:`") return name
[docs] def __init__( self, name="", coords=None, check_bounds=True, *, pytensor_config=None, model=None, ): del pytensor_config, model # used in __new__ self.name = self._validate_name(name) self.check_bounds = check_bounds if self.parent is not None: self.named_vars = treedict(parent=self.parent.named_vars) self.named_vars_to_dims = treedict(parent=self.parent.named_vars_to_dims) self.values_to_rvs = treedict(parent=self.parent.values_to_rvs) self.rvs_to_values = treedict(parent=self.parent.rvs_to_values) self.rvs_to_transforms = treedict(parent=self.parent.rvs_to_transforms) self.rvs_to_total_sizes = treedict(parent=self.parent.rvs_to_total_sizes) self.rvs_to_initial_values = treedict(parent=self.parent.rvs_to_initial_values) self.free_RVs = treelist(parent=self.parent.free_RVs) self.observed_RVs = treelist(parent=self.parent.observed_RVs) self.deterministics = treelist(parent=self.parent.deterministics) self.potentials = treelist(parent=self.parent.potentials) self._coords = self.parent._coords self._dim_lengths = self.parent._dim_lengths else: self.named_vars = treedict() self.named_vars_to_dims = treedict() self.values_to_rvs = treedict() self.rvs_to_values = treedict() self.rvs_to_transforms = treedict() self.rvs_to_total_sizes = treedict() self.rvs_to_initial_values = treedict() self.free_RVs = treelist() self.observed_RVs = treelist() self.deterministics = treelist() self.potentials = treelist() self._coords = {} self._dim_lengths = {} self.add_coords(coords) from pymc.printing import str_for_model self.str_repr = types.MethodType(str_for_model, self) self._repr_latex_ = types.MethodType( functools.partial(str_for_model, formatting="latex"), self )
@property def model(self): return self @property def parent(self): return self._parent @property def root(self): model = self while not model.isroot: model = model.parent return model @property def isroot(self): return self.parent is None
[docs] def logp_dlogp_function(self, grad_vars=None, tempered=False, **kwargs): """Compile an PyTensor function that computes logp and gradient. Parameters ---------- grad_vars: list of random variables, optional Compute the gradient with respect to those variables. If None, use all free random variables of this model. tempered: bool Compute the tempered logp `free_logp + alpha * observed_logp`. `alpha` can be changed using `ValueGradFunction.set_weights([alpha])`. """ if grad_vars is None: grad_vars = self.continuous_value_vars else: grad_vars = get_value_vars_from_user_vars(grad_vars, self) for i, var in enumerate(grad_vars): if var.dtype not in continuous_types: raise ValueError(f"Can only compute the gradient of continuous types: {var}") if tempered: costs = [self.varlogp, self.datalogp] else: costs = [self.logp()] input_vars = {i for i in graph_inputs(costs) if not isinstance(i, Constant)} ip = self.initial_point(0) extra_vars_and_values = { var: ip[var.name] for var in self.value_vars if var in input_vars and var not in grad_vars } return ValueGradFunction(costs, grad_vars, extra_vars_and_values, **kwargs)
[docs] def compile_logp( self, vars: Optional[Union[Variable, Sequence[Variable]]] = None, jacobian: bool = True, sum: bool = True, ) -> PointFunc: """Compiled log probability density function. Parameters ---------- vars: list of random variables or potential terms, optional Compute the gradient with respect to those variables. If None, use all free and observed random variables, as well as potential terms in model. jacobian: Whether to include jacobian terms in logprob graph. Defaults to True. sum: Whether to sum all logp terms or return elemwise logp for each variable. Defaults to True. """ return self.model.compile_fn(self.logp(vars=vars, jacobian=jacobian, sum=sum))
[docs] def compile_dlogp( self, vars: Optional[Union[Variable, Sequence[Variable]]] = None, jacobian: bool = True, ) -> PointFunc: """Compiled log probability density gradient function. Parameters ---------- vars: list of random variables or potential terms, optional Compute the gradient with respect to those variables. If None, use all free and observed random variables, as well as potential terms in model. jacobian: Whether to include jacobian terms in logprob graph. Defaults to True. """ return self.model.compile_fn(self.dlogp(vars=vars, jacobian=jacobian))
[docs] def compile_d2logp( self, vars: Optional[Union[Variable, Sequence[Variable]]] = None, jacobian: bool = True, ) -> PointFunc: """Compiled log probability density hessian function. Parameters ---------- vars: list of random variables or potential terms, optional Compute the gradient with respect to those variables. If None, use all free and observed random variables, as well as potential terms in model. jacobian: Whether to include jacobian terms in logprob graph. Defaults to True. """ return self.model.compile_fn(self.d2logp(vars=vars, jacobian=jacobian))
[docs] def logp( self, vars: Optional[Union[Variable, Sequence[Variable]]] = None, jacobian: bool = True, sum: bool = True, ) -> Union[Variable, List[Variable]]: """Elemwise log-probability of the model. Parameters ---------- vars: list of random variables or potential terms, optional Compute the gradient with respect to those variables. If None, use all free and observed random variables, as well as potential terms in model. jacobian: Whether to include jacobian terms in logprob graph. Defaults to True. sum: Whether to sum all logp terms or return elemwise logp for each variable. Defaults to True. Returns ------- Logp graph(s) """ varlist: List[TensorVariable] if vars is None: varlist = self.free_RVs + self.observed_RVs + self.potentials elif not isinstance(vars, (list, tuple)): varlist = [vars] else: varlist = cast(List[TensorVariable], vars) # We need to separate random variables from potential terms, and remember their # original order so that we can merge them together in the same order at the end rvs = [] potentials = [] rv_order, potential_order = [], [] for i, var in enumerate(varlist): rv = self.values_to_rvs.get(var, var) if rv in self.basic_RVs: rvs.append(rv) rv_order.append(i) else: if var in self.potentials: potentials.append(var) potential_order.append(i) else: raise ValueError( f"Requested variable {var} not found among the model variables" ) rv_logps: List[TensorVariable] = [] if rvs: rv_logps = _joint_logp( rvs=rvs, rvs_to_values=self.rvs_to_values, rvs_to_transforms=self.rvs_to_transforms, rvs_to_total_sizes=self.rvs_to_total_sizes, jacobian=jacobian, ) assert isinstance(rv_logps, list) # Replace random variables by their value variables in potential terms potential_logps = [] if potentials: potential_logps = self.replace_rvs_by_values(potentials) logp_factors = [None] * len(varlist) for logp_order, logp in zip((rv_order + potential_order), (rv_logps + potential_logps)): logp_factors[logp_order] = logp if not sum: return logp_factors logp_scalar = at.sum([at.sum(factor) for factor in logp_factors]) logp_scalar_name = "__logp" if jacobian else "__logp_nojac" if self.name: logp_scalar_name = f"{logp_scalar_name}_{self.name}" logp_scalar.name = logp_scalar_name return logp_scalar
[docs] def dlogp( self, vars: Optional[Union[Variable, Sequence[Variable]]] = None, jacobian: bool = True, ) -> Variable: """Gradient of the models log-probability w.r.t. ``vars``. Parameters ---------- vars: list of random variables or potential terms, optional Compute the gradient with respect to those variables. If None, use all free and observed random variables, as well as potential terms in model. jacobian: Whether to include jacobian terms in logprob graph. Defaults to True. Returns ------- dlogp graph """ if vars is None: value_vars = None else: if not isinstance(vars, (list, tuple)): vars = [vars] value_vars = [] for i, var in enumerate(vars): value_var = self.rvs_to_values.get(var) if value_var is not None: value_vars.append(value_var) else: raise ValueError( f"Requested variable {var} not found among the model variables" ) cost = self.logp(jacobian=jacobian) return gradient(cost, value_vars)
[docs] def d2logp( self, vars: Optional[Union[Variable, Sequence[Variable]]] = None, jacobian: bool = True, ) -> Variable: """Hessian of the models log-probability w.r.t. ``vars``. Parameters ---------- vars: list of random variables or potential terms, optional Compute the gradient with respect to those variables. If None, use all free and observed random variables, as well as potential terms in model. jacobian: Whether to include jacobian terms in logprob graph. Defaults to True. Returns ------- d²logp graph """ if vars is None: value_vars = None else: if not isinstance(vars, (list, tuple)): vars = [vars] value_vars = [] for i, var in enumerate(vars): value_var = self.rvs_to_values.get(var) if value_var is not None: value_vars.append(value_var) else: raise ValueError( f"Requested variable {var} not found among the model variables" ) cost = self.logp(jacobian=jacobian) return hessian(cost, value_vars)
@property def datalogp(self) -> Variable: """PyTensor scalar of log-probability of the observed variables and potential terms""" return self.observedlogp + self.potentiallogp @property def varlogp(self) -> Variable: """PyTensor scalar of log-probability of the unobserved random variables (excluding deterministic).""" return self.logp(vars=self.free_RVs) @property def varlogp_nojac(self) -> Variable: """PyTensor scalar of log-probability of the unobserved random variables (excluding deterministic) without jacobian term.""" return self.logp(vars=self.free_RVs, jacobian=False) @property def observedlogp(self) -> Variable: """PyTensor scalar of log-probability of the observed variables""" return self.logp(vars=self.observed_RVs) @property def potentiallogp(self) -> Variable: """PyTensor scalar of log-probability of the Potential terms""" # Convert random variables in Potential expression into their log-likelihood # inputs and apply their transforms, if any potentials = self.replace_rvs_by_values(self.potentials) if potentials: return at.sum([at.sum(factor) for factor in potentials]) else: return at.constant(0.0) @property def value_vars(self): """List of unobserved random variables used as inputs to the model's log-likelihood (which excludes deterministics). """ return [self.rvs_to_values[v] for v in self.free_RVs] @property def unobserved_value_vars(self): """List of all random variables (including untransformed projections), as well as deterministics used as inputs and outputs of the model's log-likelihood graph """ vars = [] transformed_rvs = [] for rv in self.free_RVs: value_var = self.rvs_to_values[rv] transform = self.rvs_to_transforms[rv] if transform is not None: transformed_rvs.append(rv) vars.append(value_var) # Remove rvs from untransformed values graph untransformed_vars = self.replace_rvs_by_values(transformed_rvs) # Remove rvs from deterministics graph deterministics = self.replace_rvs_by_values(self.deterministics) return vars + untransformed_vars + deterministics @property def disc_vars(self): warnings.warn( "Model.disc_vars has been deprecated. Use Model.discrete_value_vars instead.", FutureWarning, ) return self.discrete_value_vars @property def discrete_value_vars(self): """All the discrete value variables in the model""" return list(typefilter(self.value_vars, discrete_types)) @property def cont_vars(self): warnings.warn( "Model.cont_vars has been deprecated. Use Model.continuous_value_vars instead.", FutureWarning, ) return self.continuous_value_vars @property def continuous_value_vars(self): """All the continuous value variables in the model""" return list(typefilter(self.value_vars, continuous_types)) @property def basic_RVs(self): """List of random variables the model is defined in terms of (which excludes deterministics). These are the actual random variable terms that make up the "sample-space" graph (i.e. you can sample these graphs by compiling them with `pytensor.function`). If you want the corresponding log-likelihood terms, use `model.value_vars` instead. """ return self.free_RVs + self.observed_RVs @property def unobserved_RVs(self): """List of all random variables, including deterministic ones. These are the actual random variable terms that make up the "sample-space" graph (i.e. you can sample these graphs by compiling them with `pytensor.function`). If you want the corresponding log-likelihood terms, use `var.unobserved_value_vars` instead. """ return self.free_RVs + self.deterministics @property def RV_dims(self) -> Dict[str, Tuple[Union[str, None], ...]]: """Tuples of dimension names for specific model variables. Entries in the tuples may be ``None``, if the RV dimension was not given a name. """ warnings.warn( "Model.RV_dims is deprecated. User Model.named_vars_to_dims instead.", FutureWarning, ) return self.named_vars_to_dims @property def coords(self) -> Dict[str, Union[Tuple, None]]: """Coordinate values for model dimensions.""" return self._coords @property def dim_lengths(self) -> Dict[str, Variable]: """The symbolic lengths of dimensions in the model. The values are typically instances of ``TensorVariable`` or ``ScalarSharedVariable``. """ return self._dim_lengths
[docs] def shape_from_dims(self, dims): shape = [] if len(set(dims)) != len(dims): raise ValueError("Can not contain the same dimension name twice.") for dim in dims: if dim not in self.coords: raise ValueError( f"Unknown dimension name '{dim}'. All dimension " "names must be specified in the `coords` " "argument of the model or through a pm.Data " "variable." ) shape.extend(np.shape(self.coords[dim])) return tuple(shape)
[docs] def add_coord( self, name: str, values: Optional[Sequence] = None, mutable: bool = False, *, length: Optional[Union[int, Variable]] = None, ): """Registers a dimension coordinate with the model. Parameters ---------- name : str Name of the dimension. Forbidden: {"chain", "draw", "__sample__"} values : optional, array-like Coordinate values or ``None`` (for auto-numbering). If ``None`` is passed, a ``length`` must be specified. mutable : bool Whether the created dimension should be resizable. Default is False. length : optional, scalar A scalar of the dimensions length. Defaults to ``pytensor.tensor.constant(len(values))``. """ if name in {"draw", "chain", "__sample__"}: raise ValueError( "Dimensions can not be named `draw`, `chain` or `__sample__`, " "as those are reserved for use in `InferenceData`." ) if values is None and length is None: raise ValueError( f"Either `values` or `length` must be specified for the '{name}' dimension." ) if values is not None: # Conversion to a tuple ensures that the coordinate values are immutable. # Also unlike numpy arrays the's tuple.index(...) which is handy to work with. values = tuple(values) if name in self.coords: if not np.array_equal(values, self.coords[name]): raise ValueError(f"Duplicate and incompatible coordinate: {name}.") if length is not None and not isinstance(length, (int, Variable)): raise ValueError( f"The `length` passed for the '{name}' coord must be an int, PyTensor Variable or None." ) if length is None: length = len(values) if not isinstance(length, Variable): if mutable: length = pytensor.shared(length, name=name) else: length = pytensor.tensor.constant(length) self._dim_lengths[name] = length self._coords[name] = values
[docs] def add_coords( self, coords: Dict[str, Optional[Sequence]], *, lengths: Optional[Dict[str, Optional[Union[int, Variable]]]] = None, ): """Vectorized version of ``Model.add_coord``.""" if coords is None: return lengths = lengths or {} for name, values in coords.items(): self.add_coord(name, values, length=lengths.get(name, None))
[docs] def set_dim(self, name: str, new_length: int, coord_values: Optional[Sequence] = None): """Update a mutable dimension. Parameters ---------- name Name of the dimension. new_length New length of the dimension. coord_values Optional sequence of coordinate values. """ if not isinstance(self.dim_lengths[name], ScalarSharedVariable): raise ValueError(f"The dimension '{name}' is immutable.") if coord_values is None and self.coords.get(name, None) is not None: raise ValueError( f"'{name}' has coord values. Pass `set_dim(..., coord_values=...)` to update them." ) if coord_values is not None: len_cvals = len(coord_values) if len_cvals != new_length: raise ShapeError( "Length of new coordinate values does not match the new dimension length.", actual=len_cvals, expected=new_length, ) self._coords[name] = tuple(coord_values) self.dim_lengths[name].set_value(new_length) return
[docs] def initial_point(self, random_seed: SeedSequenceSeed = None) -> Dict[str, np.ndarray]: """Computes the initial point of the model. Parameters ---------- random_seed : SeedSequenceSeed, default None Seed(s) for generating initial point from the model. Passed into :func:`pymc.pytensorf.reseed_rngs` Returns ------- ip : dict of {str : array_like} Maps names of transformed variables to numeric initial values in the transformed space. """ fn = make_initial_point_fn(model=self, return_transformed=True) return Point(fn(random_seed), model=self)
@property def initial_values(self) -> Dict[TensorVariable, Optional[Union[np.ndarray, Variable, str]]]: """Maps transformed variables to initial value placeholders. Keys are the random variables (as returned by e.g. ``pm.Uniform()``) and values are the numeric/symbolic initial values, strings denoting the strategy to get them, or None. """ warnings.warn( "Model.initial_values is deprecated. Use Model.rvs_to_initial_values instead." ) return self.rvs_to_initial_values
[docs] def set_initval(self, rv_var, initval): """Sets an initial value (strategy) for a random variable.""" if initval is not None and not isinstance(initval, (Variable, str)): # Convert scalars or array-like inputs to ndarrays initval = rv_var.type.filter(initval) self.rvs_to_initial_values[rv_var] = initval
[docs] def set_data( self, name: str, values: Dict[str, Optional[Sequence]], coords: Optional[Dict[str, Sequence]] = None, ): """Changes the values of a data variable in the model. In contrast to pm.MutableData().set_value, this method can also update the corresponding coordinates. Parameters ---------- name : str Name of a shared variable in the model. values : array-like New values for the shared variable. coords : optional, dict New coordinate values for dimensions of the shared variable. Must be provided for all named dimensions that change in length and already have coordinate values. """ shared_object = self[name] if not isinstance(shared_object, SharedVariable): raise TypeError( f"The variable `{name}` must be a `SharedVariable`" " (created through `pm.MutableData()` or `pm.Data(mutable=True)`) to allow updating. " f"The current type is: {type(shared_object)}" ) if isinstance(values, list): values = np.array(values) values = convert_observed_data(values) dims = self.named_vars_to_dims.get(name, None) or () coords = coords or {} if values.ndim != shared_object.ndim: raise ValueError( f"New values for '{name}' must have {shared_object.ndim} dimensions, just like the original." ) for d, dname in enumerate(dims): length_tensor = self.dim_lengths[dname] old_length = length_tensor.eval() new_length = values.shape[d] original_coords = self.coords.get(dname, None) new_coords = coords.get(dname, None) length_changed = new_length != old_length # Reject resizing if we already know that it would create shape problems. # NOTE: If there are multiple pm.MutableData containers sharing this dim, but the user only # changes the values for one of them, they will run into shape problems nonetheless. if length_changed: if original_coords is not None: if new_coords is None: raise ValueError( f"The '{name}' variable already had {len(original_coords)} coord values defined for " f"its {dname} dimension. With the new values this dimension changes to length " f"{new_length}, so new coord values for the {dname} dimension are required." ) if isinstance(length_tensor, TensorConstant): # The dimension was fixed in length. # Resizing a data variable in this dimension would # definitely lead to shape problems. raise ShapeError( f"Resizing dimension '{dname}' is impossible, because " "a `TensorConstant` stores its length. To be able " "to change the dimension length, pass `mutable=True` when " "registering the dimension via `model.add_coord`, " "or define it via a `pm.MutableData` variable." ) elif length_tensor.owner is not None: # The dimension was created from another variable: length_tensor_origin = length_tensor.owner.inputs[0] # Get a handle on the tensor from which this dimension length was # obtained by doing subindexing on the shape as in `.shape[i]`. if isinstance(length_tensor_origin, TensorConstant): raise ShapeError( f"Resizing dimension '{dname}' with values of length {new_length} would lead to incompatibilities, " f"because the dimension length is tied to a {length_tensor_origin}. " f"Check if the dimension was defined implicitly before the shared variable '{name}' was created, " f"for example by another model variable.", actual=new_length, expected=old_length, ) # The shape entry this dimension is tied to is not a TensorConstant. # Whether the dimension can be resized depends on the kind of Variable the shape belongs to. # TODO: Consider checking the graph is what we are assuming it is # isinstance(length_tensor.owner.op, Subtensor) # isinstance(length_tensor.owner.inputs[0].owner.op, Shape) length_belongs_to = length_tensor_origin.owner.inputs[0] if length_belongs_to is shared_object: # This is the shared variable that's being updated! # No surprise it's changing. pass elif isinstance(length_belongs_to, SharedVariable): # The dimension is mutable through a SharedVariable other than the one being modified. # But the other variable was not yet re-sized! Warn the user to do that! warnings.warn( f"You are resizing a variable with dimension '{dname}' which was initialized " f"as a mutable dimension by another variable ('{length_belongs_to}')." " Remember to update that variable with the correct shape to avoid shape issues.", ShapeWarning, stacklevel=2, ) else: # The dimension is immutable. raise ShapeError( f"Resizing dimension '{dname}' with values of length {new_length} would lead to incompatibilities, " f"because the dimension was initialized from '{length_belongs_to}' which is not a shared variable. " f"Check if the dimension was defined implicitly before the shared variable '{name}' was created, " f"for example by another model variable.", actual=new_length, expected=old_length, ) if isinstance(length_tensor, ScalarSharedVariable): # The dimension is mutable, but was defined without being linked # to a shared variable. This is allowed, but a little less robust. self.set_dim(dname, new_length, coord_values=new_coords) if new_coords is not None: # Update the registered coord values (also if they were None) if len(new_coords) != new_length: raise ShapeError( f"Length of new coordinate values for dimension '{dname}' does not match the provided values.", actual=len(new_coords), expected=new_length, ) # store it as tuple for immutability as in add_coord self._coords[dname] = tuple(new_coords) shared_object.set_value(values)
[docs] def register_rv( self, rv_var, name, observed=None, total_size=None, dims=None, transform=UNSET, initval=None ): """Register an (un)observed random variable with the model. Parameters ---------- rv_var: TensorVariable name: str Intended name for the model variable. observed: array_like (optional) Data values for observed variables. total_size: scalar upscales logp of variable with ``coef = total_size/var.shape[0]`` dims: tuple Dimension names for the variable. transform A transform for the random variable in log-likelihood space. initval The initial value of the random variable. Returns ------- TensorVariable """ name = self.name_for(name) rv_var.name = name _add_future_warning_tag(rv_var) rv_var.tag.total_size = total_size self.rvs_to_total_sizes[rv_var] = total_size # Associate previously unknown dimension names with # the length of the corresponding RV dimension. if dims is not None: for d, dname in enumerate(dims): if dname not in self.dim_lengths: self.add_coord(dname, values=None, length=rv_var.shape[d]) if observed is None: self.free_RVs.append(rv_var) self.create_value_var(rv_var, transform) self.add_named_variable(rv_var, dims) self.set_initval(rv_var, initval) else: if ( isinstance(observed, Variable) and not isinstance(observed, GenTensorVariable) and observed.owner is not None # The only PyTensor operation we allow on observed data is type casting # Although we could allow for any graph that does not depend on other RVs and not ( isinstance(observed.owner.op, Elemwise) and isinstance(observed.owner.op.scalar_op, Cast) ) and not is_minibatch(observed) ): raise TypeError( "Variables that depend on other nodes cannot be used for observed data." f"The data variable was: {observed}" ) # `rv_var` is potentially changed by `make_obs_var`, # for example into a new graph for imputation of missing data. rv_var = self.make_obs_var(rv_var, observed, dims, transform) return rv_var
[docs] def make_obs_var( self, rv_var: TensorVariable, data: np.ndarray, dims, transform: Optional[Any] ) -> TensorVariable: """Create a `TensorVariable` for an observed random variable. Parameters ---------- rv_var The random variable that is observed. Its dimensionality must be compatible with the data already. data The observed data. dims: tuple Dimension names for the variable. transform A transform for the random variable in log-likelihood space. """ name = rv_var.name data = convert_observed_data(data).astype(rv_var.dtype) if data.ndim != rv_var.ndim: raise ShapeError( "Dimensionality of data and RV don't match.", actual=data.ndim, expected=rv_var.ndim ) if pytensor.config.compute_test_value != "off": test_value = getattr(rv_var.tag, "test_value", None) if test_value is not None: # We try to reuse the old test value rv_var.tag.test_value = np.broadcast_to(test_value, rv_var.shape) else: rv_var.tag.test_value = data mask = getattr(data, "mask", None) if mask is not None: if mask.all(): # If there are no observed values, this variable isn't really # observed. return rv_var impute_message = ( f"Data in {rv_var} contains missing values and" " will be automatically imputed from the" " sampling distribution." ) warnings.warn(impute_message, ImputationWarning) if not isinstance(rv_var.owner.op, RandomVariable): raise NotImplementedError( "Automatic inputation is only supported for univariate RandomVariables." f" {rv_var} of type {type(rv_var.owner.op)} is not supported." ) if rv_var.owner.op.ndim_supp > 0: raise NotImplementedError( f"Automatic inputation is only supported for univariate " f"RandomVariables, but {rv_var} is multivariate" ) # We can get a random variable comprised of only the unobserved # entries by lifting the indices through the `RandomVariable` `Op`. masked_rv_var = rv_var[mask.nonzero()] fgraph = FunctionGraph( [i for i in graph_inputs((masked_rv_var,)) if not isinstance(i, Constant)], [masked_rv_var], clone=False, ) (missing_rv_var,) = local_subtensor_rv_lift.transform(fgraph, fgraph.outputs[0].owner) self.register_rv(missing_rv_var, f"{name}_missing", transform=transform) # Now, we lift the non-missing observed values and produce a new # `rv_var` that contains only those. # # The end result is two disjoint distributions: one for the missing # values, and another for the non-missing values. antimask_idx = (~mask).nonzero() nonmissing_data = at.as_tensor_variable(data[antimask_idx]) unmasked_rv_var = rv_var[antimask_idx] unmasked_rv_var = unmasked_rv_var.owner.clone().default_output() fgraph = FunctionGraph( [i for i in graph_inputs((unmasked_rv_var,)) if not isinstance(i, Constant)], [unmasked_rv_var], clone=False, ) (observed_rv_var,) = local_subtensor_rv_lift.transform(fgraph, fgraph.outputs[0].owner) # Make a clone of the RV, but let it create a new rng so that observed and # missing are not treated as equivalent nodes by pytensor. This would happen # if the size of the masked and unmasked array happened to coincide _, size, _, *inps = observed_rv_var.owner.inputs observed_rv_var = observed_rv_var.owner.op(*inps, size=size, name=f"{name}_observed") observed_rv_var.tag.observations = nonmissing_data self.create_value_var(observed_rv_var, transform=None, value_var=nonmissing_data) self.add_named_variable(observed_rv_var) self.observed_RVs.append(observed_rv_var) # Create deterministic that combines observed and missing # Note: This can widely increase memory consumption during sampling for large datasets rv_var = at.empty(data.shape, dtype=observed_rv_var.type.dtype) rv_var = at.set_subtensor(rv_var[mask.nonzero()], missing_rv_var) rv_var = at.set_subtensor(rv_var[antimask_idx], observed_rv_var) rv_var = Deterministic(name, rv_var, self, dims) else: if sps.issparse(data): data = sparse.basic.as_sparse(data, name=name) else: data = at.as_tensor_variable(data, name=name) rv_var.tag.observations = data self.create_value_var(rv_var, transform=None, value_var=data) self.add_named_variable(rv_var, dims) self.observed_RVs.append(rv_var) return rv_var
[docs] def create_value_var( self, rv_var: TensorVariable, transform: Any, value_var: Optional[Variable] = None ) -> TensorVariable: """Create a ``TensorVariable`` that will be used as the random variable's "value" in log-likelihood graphs. In general, we'll call this type of variable the "value" variable. In all other cases, the role of the value variable is taken by observed data. That's why value variables are only referenced in this branch of the conditional. """ # Make the value variable a transformed value variable, # if there's an applicable transform if transform is UNSET: if rv_var.owner is None: transform = None else: transform = _default_transform(rv_var.owner.op, rv_var) if value_var is not None: if transform is not None: raise ValueError("Cannot use transform when providing a pre-defined value_var") elif transform is None: # Create value variable with the same type as the RV value_var = rv_var.type() value_var.name = rv_var.name if pytensor.config.compute_test_value != "off": value_var.tag.test_value = rv_var.tag.test_value else: # Create value variable with the same type as the transformed RV value_var = transform.forward(rv_var, *rv_var.owner.inputs).type() value_var.name = f"{rv_var.name}_{transform.name}__" value_var.tag.transform = transform if pytensor.config.compute_test_value != "off": value_var.tag.test_value = transform.forward( rv_var, *rv_var.owner.inputs ).tag.test_value _add_future_warning_tag(value_var) rv_var.tag.value_var = value_var self.rvs_to_transforms[rv_var] = transform self.rvs_to_values[rv_var] = value_var self.values_to_rvs[value_var] = rv_var return value_var
[docs] def add_named_variable(self, var, dims: Optional[Tuple[Union[str, None], ...]] = None): """Add a random graph variable to the named variables of the model. This can include several types of variables such basic_RVs, Data, Deterministics, and Potentials. """ if var.name is None: raise ValueError("Variable is unnamed.") if self.named_vars.tree_contains(var.name): raise ValueError(f"Variable name {var.name} already exists.") if dims is not None: if isinstance(dims, str): dims = (dims,) for dim in dims: if dim not in self.coords and dim is not None: raise ValueError(f"Dimension {dim} is not specified in `coords`.") if any(var.name == dim for dim in dims if dim is not None): raise ValueError(f"Variable `{var.name}` has the same name as its dimension label.") self.named_vars_to_dims[var.name] = dims self.named_vars[var.name] = var if not hasattr(self, self.name_of(var.name)): setattr(self, self.name_of(var.name), var)
@property def prefix(self) -> str: if self.isroot or not self.parent.prefix: name = self.name else: name = f"{self.parent.prefix}::{self.name}" return name
[docs] def name_for(self, name): """Checks if name has prefix and adds if needed""" name = self._validate_name(name) if self.prefix: if not name.startswith(self.prefix + "::"): return f"{self.prefix}::{name}" else: return name else: return name
[docs] def name_of(self, name): """Checks if name has prefix and deletes if needed""" name = self._validate_name(name) if not self.prefix or not name: return name elif name.startswith(self.prefix + "::"): return name[len(self.prefix) + 2 :] else: return name
def __getitem__(self, key): try: return self.named_vars[key] except KeyError as e: try: return self.named_vars[self.name_for(key)] except KeyError: raise e def __contains__(self, key): return key in self.named_vars or self.name_for(key) in self.named_vars
[docs] def replace_rvs_by_values( self, graphs: Sequence[TensorVariable], **kwargs, ) -> List[TensorVariable]: """Clone and replace random variables in graphs with their value variables. This will *not* recompute test values in the resulting graphs. Parameters ---------- graphs The graphs in which to perform the replacements. """ return replace_rvs_by_values( graphs, rvs_to_values=self.rvs_to_values, rvs_to_transforms=self.rvs_to_transforms, )
[docs] def compile_fn( self, outs: Union[Variable, Sequence[Variable]], *, inputs: Optional[Sequence[Variable]] = None, mode=None, point_fn: bool = True, **kwargs, ) -> Union[PointFunc, Callable[[Sequence[np.ndarray]], Sequence[np.ndarray]]]: """Compiles an PyTensor function Parameters ---------- outs PyTensor variable or iterable of PyTensor variables. inputs PyTensor input variables, defaults to pytensorf.inputvars(outs). mode PyTensor compilation mode, default=None. point_fn : bool Whether to wrap the compiled function in a PointFunc, which takes a Point dictionary with model variable names and values as input. Returns ------- Compiled PyTensor function """ if inputs is None: inputs = inputvars(outs) with self: fn = compile_pymc( inputs, outs, allow_input_downcast=True, accept_inplace=True, mode=mode, **kwargs, ) if point_fn: return PointFunc(fn) return fn
[docs] def profile(self, outs, *, n=1000, point=None, profile=True, **kwargs): """Compiles and profiles an PyTensor function which returns ``outs`` and takes values of model vars as a dict as an argument. Parameters ---------- outs: PyTensor variable or iterable of PyTensor variables n: int, default 1000 Number of iterations to run point: point Point to pass to the function profile: True or ProfileStats args, kwargs Compilation args Returns ------- ProfileStats Use .summary() to print stats. """ kwargs.setdefault("on_unused_input", "ignore") f = self.compile_fn(outs, inputs=self.value_vars, point_fn=False, profile=profile, **kwargs) if point is None: point = self.initial_point() for _ in range(n): f(**point) return f.profile
[docs] def update_start_vals(self, a: Dict[str, np.ndarray], b: Dict[str, np.ndarray]): r"""Update point `a` with `b`, without overwriting existing keys. Values specified for transformed variables in `a` will be recomputed conditional on the values of `b` and stored in `b`. """ raise FutureWarning( "The `Model.update_start_vals` method was removed." " To change initial values you may set the items of `Model.initial_values` directly." )
[docs] def eval_rv_shapes(self) -> Dict[str, Tuple[int, ...]]: """Evaluates shapes of untransformed AND transformed free variables. Returns ------- shapes : dict Maps untransformed and transformed variable names to shape tuples. """ names = [] outputs = [] for rv in self.free_RVs: transform = self.rvs_to_transforms[rv] if transform is not None: names.append(get_transformed_name(rv.name, transform)) outputs.append(transform.forward(rv, *rv.owner.inputs).shape) names.append(rv.name) outputs.append(rv.shape) f = pytensor.function( inputs=[], outputs=outputs, givens=[(obs, self.rvs_to_values[obs]) for obs in self.observed_RVs], mode=pytensor.compile.mode.FAST_COMPILE, on_unused_input="ignore", ) return {name: tuple(shape) for name, shape in zip(names, f())}
[docs] def check_start_vals(self, start): r"""Check that the starting values for MCMC do not cause the relevant log probability to evaluate to something invalid (e.g. Inf or NaN) Parameters ---------- start : dict, or array of dict Starting point in parameter space (or partial point) Defaults to ``trace.point(-1))`` if there is a trace provided and ``model.initial_point`` if not (defaults to empty dict). Initialization methods for NUTS (see ``init`` keyword) can overwrite the default. Raises ------ ``KeyError`` if the parameters provided by `start` do not agree with the parameters contained within the model. ``pymc.exceptions.SamplingError`` if the evaluation of the parameters in ``start`` leads to an invalid (i.e. non-finite) state Returns ------- None """ start_points = [start] if isinstance(start, dict) else start value_names_to_dtypes = {value.name: value.dtype for value in self.value_vars} value_names_set = set(value_names_to_dtypes.keys()) for elem in start_points: for k, v in elem.items(): elem[k] = np.asarray(v, dtype=value_names_to_dtypes[k]) if not set(elem.keys()).issubset(value_names_set): extra_keys = ", ".join(set(elem.keys()) - value_names_set) valid_keys = ", ".join(value_names_set) raise KeyError( "Some start parameters do not appear in the model!\n" f"Valid keys are: {valid_keys}, but {extra_keys} was supplied" ) initial_eval = self.point_logps(point=elem) if not all(np.isfinite(v) for v in initial_eval.values()): raise SamplingError( "Initial evaluation of model at starting point failed!\n" f"Starting values:\n{elem}\n\n" f"Initial evaluation results:\n{initial_eval}" )
[docs] def point_logps(self, point=None, round_vals=2): """Computes the log probability of `point` for all random variables in the model. Parameters ---------- point: Point, optional Point to be evaluated. If ``None``, then ``model.initial_point`` is used. round_vals: int, default 2 Number of decimals to round log-probabilities. Returns ------- log_probability_of_point : dict Log probability of `point`. """ if point is None: point = self.initial_point() factors = self.basic_RVs + self.potentials factor_logps_fn = [at.sum(factor) for factor in self.logp(factors, sum=False)] return { factor.name: np.round(np.asarray(factor_logp), round_vals) for factor, factor_logp in zip( factors, self.compile_fn(factor_logps_fn)(point), ) }
# this is really disgusting, but it breaks a self-loop: I can't pass Model # itself as context class init arg. Model._context_class = Model class BlockModelAccess(Model): """Can be used to prevent user access to Model contexts""" def __init__(self, *args, error_msg_on_access="Model access is blocked", **kwargs): self.error_msg_on_access = error_msg_on_access
[docs]def set_data(new_data, model=None, *, coords=None): """Sets the value of one or more data container variables. Note that the shape is also dynamic, it is updated when the value is changed. See the examples below for two common use-cases that take advantage of this behavior. Parameters ---------- new_data: dict New values for the data containers. The keys of the dictionary are the variables' names in the model and the values are the objects with which to update. model: Model (optional if in `with` context) Examples -------- This example shows how to change the shape of the likelihood to correspond automatically with `x`, the predictor in a regression model. .. code-block:: python import pymc as pm with pm.Model() as model: x = pm.MutableData('x', [1., 2., 3.]) y = pm.MutableData('y', [1., 2., 3.]) beta = pm.Normal('beta', 0, 1) obs = pm.Normal('obs', x * beta, 1, observed=y, shape=x.shape) idata = pm.sample() Then change the value of `x` to predict on new data. .. code-block:: python with model: pm.set_data({'x': [5., 6., 9., 12., 15.]}) y_test = pm.sample_posterior_predictive(idata) print(y_test.posterior_predictive['obs'].mean(('chain', 'draw'))) >>> array([4.6088569 , 5.54128318, 8.32953844, 11.14044852, 13.94178173]) This example shows how to reuse the same model without recompiling on a new data set. The shape of the likelihood, `obs`, automatically tracks the shape of the observed data, `y`. .. code-block:: python import numpy as np import pymc as pm rng = np.random.default_rng() data = rng.normal(loc=1.0, scale=2.0, size=100) with pm.Model() as model: y = pm.MutableData('y', data) theta = pm.Normal('theta', mu=0.0, sigma=10.0) obs = pm.Normal('obs', theta, 2.0, observed=y, shape=y.shape) idata = pm.sample() Now update the model with a new data set. .. code-block:: python with model: pm.set_data({'y': rng.normal(loc=1.0, scale=2.0, size=200)}) idata = pm.sample() """ model = modelcontext(model) for variable_name, new_value in new_data.items(): model.set_data(variable_name, new_value, coords=coords)
[docs]def compile_fn( outs: Union[Variable, Sequence[Variable]], *, inputs: Optional[Sequence[Variable]] = None, mode=None, point_fn: bool = True, model: Optional[Model] = None, **kwargs, ) -> Union[PointFunc, Callable[[Sequence[np.ndarray]], Sequence[np.ndarray]]]: """Compiles an PyTensor function Parameters ---------- outs PyTensor variable or iterable of PyTensor variables. inputs PyTensor input variables, defaults to pytensorf.inputvars(outs). mode PyTensor compilation mode, default=None. point_fn : bool Whether to wrap the compiled function in a PointFunc, which takes a Point dictionary with model variable names and values as input. model : Model, optional Current model on stack. Returns ------- Compiled PyTensor function """ model = modelcontext(model) return model.compile_fn( outs, inputs=inputs, mode=mode, point_fn=point_fn, **kwargs, )
[docs]def Point(*args, filter_model_vars=False, **kwargs) -> Dict[str, np.ndarray]: """Build a point. Uses same args as dict() does. Filters out variables not in the model. All keys are strings. Parameters ---------- args, kwargs arguments to build a dict filter_model_vars : bool If `True`, only model variables are included in the result. """ model = modelcontext(kwargs.pop("model", None)) args = list(args) try: d = dict(*args, **kwargs) except Exception as e: raise TypeError(f"can't turn {args} and {kwargs} into a dict. {e}") return { get_var_name(k): np.array(v) for k, v in d.items() if not filter_model_vars or (get_var_name(k) in map(get_var_name, model.value_vars)) }
[docs]def Deterministic(name, var, model=None, dims=None): """Create a named deterministic variable. Deterministic nodes are only deterministic given all of their inputs, i.e. they don't add randomness to the model. They are generally used to record an intermediary result. Indeed, PyMC allows for arbitrary combinations of random variables, for example in the case of a logistic regression .. code:: python with pm.Model(): alpha = pm.Normal("alpha", 0, 1) intercept = pm.Normal("intercept", 0, 1) p = pm.math.invlogit(alpha * x + intercept) outcome = pm.Bernoulli("outcome", p, observed=outcomes) but doesn't memorize the fact that the expression ``pm.math.invlogit(alpha * x + intercept)`` has been affected to the variable ``p``. If the quantity ``p`` is important and one would like to track its value in the sampling trace, then one can use a deterministic node: .. code:: python with pm.Model(): alpha = pm.Normal("alpha", 0, 1) intercept = pm.Normal("intercept", 0, 1) p = pm.Deterministic("p", pm.math.invlogit(alpha * x + intercept)) outcome = pm.Bernoulli("outcome", p, observed=outcomes) These two models are strictly equivalent from a mathematical point of view. However, in the first case, the inference data will only contain values for the variables ``alpha``, ``intercept`` and ``outcome``. In the second, it will also contain sampled values of ``p`` for each of the observed points. Notes ----- Even though adding a Deterministic node forces PyMC to compute this expression, which could have been optimized away otherwise, this doesn't come with a performance cost. Indeed, Deterministic nodes are computed outside the main computation graph, which can be optimized as though there was no Deterministic nodes. Whereas the optimized graph can be evaluated thousands of times during a NUTS step, the Deterministic quantities are just computeed once at the end of the step, with the final values of the other random variables. Parameters ---------- name: str var: PyTensor variables auto: bool Add automatically created deterministics (e.g., when imputing missing values) to a separate model.auto_deterministics list for filtering during sampling. Returns ------- var: var, with name attribute """ model = modelcontext(model) var = var.copy(model.name_for(name)) model.deterministics.append(var) model.add_named_variable(var, dims) from pymc.printing import str_for_potential_or_deterministic var.str_repr = types.MethodType( functools.partial(str_for_potential_or_deterministic, dist_name="Deterministic"), var ) var._repr_latex_ = types.MethodType( functools.partial( str_for_potential_or_deterministic, dist_name="Deterministic", formatting="latex" ), var, ) return var
[docs]def Potential(name, var, model=None): """Add an arbitrary factor potential to the model likelihood Parameters ---------- name: str var: PyTensor variables Returns ------- var: var, with name attribute """ model = modelcontext(model) var.name = model.name_for(name) model.potentials.append(var) model.add_named_variable(var) from pymc.printing import str_for_potential_or_deterministic var.str_repr = types.MethodType( functools.partial(str_for_potential_or_deterministic, dist_name="Potential"), var ) var._repr_latex_ = types.MethodType( functools.partial( str_for_potential_or_deterministic, dist_name="Potential", formatting="latex" ), var, ) return var