Source code for pymc_experimental.bart.bart

#   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
#   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 aesara.tensor as at
import numpy as np
from aeppl.logprob import _logprob
from aesara.tensor.random.op import RandomVariable
from pandas import DataFrame, Series
from pymc.distributions.distribution import NoDistribution, _moment

__all__ = ["BART"]

class BARTRV(RandomVariable):
    """Base class for BART."""

    name = "BART"
    ndim_supp = 1
    ndims_params = [2, 1, 0, 0, 1]
    dtype = "floatX"
    _print_name = ("BART", "\\operatorname{BART}")
    all_trees = None

    def _supp_shape_from_params(self, dist_params, rep_param_idx=1, param_shapes=None):
        return (self.X.shape[0],)

    def rng_fn(cls, rng, X, Y, m, alpha, split_prior, size):
        if size is not None:
            return np.full((size[0], cls.Y.shape[0]), cls.Y.mean())
            return np.full(cls.Y.shape[0], cls.Y.mean())

bart = BARTRV()

[docs]class BART(NoDistribution): """ Bayesian Additive Regression Tree distribution. Distribution representing a sum over trees Parameters ---------- X : array-like The covariate matrix. Y : array-like The response vector. m : int Number of trees alpha : float Control the prior probability over the depth of the trees. Even when it can takes values in the interval (0, 1), it is recommended to be in the interval (0, 0.5]. split_prior : array-like Each element of split_prior should be in the [0, 1] interval and the elements should sum to 1. Otherwise they will be normalized. Defaults to None, i.e. all covariates have the same prior probability to be selected. """ def __new__( cls, name, X, Y, m=50, alpha=0.25, split_prior=None, **kwargs, ): X, Y = preprocess_XY(X, Y) if split_prior is None: split_prior = np.ones(X.shape[1]) bart_op = type( f"BART_{name}", (BARTRV,), dict( name="BART", inplace=False, initval=Y.mean(), X=X, Y=Y, m=m, alpha=alpha, split_prior=split_prior, ), )() NoDistribution.register(BARTRV) @_moment.register(BARTRV) def get_moment(rv, size, *rv_inputs): return cls.get_moment(rv, size, *rv_inputs) cls.rv_op = bart_op params = [X, Y, m, alpha, split_prior] return super().__new__(cls, name, *params, **kwargs)
[docs] @classmethod def dist(cls, *params, **kwargs): return super().dist(params, **kwargs)
[docs] def logp(x, *inputs): """Calculate log probability. Parameters ---------- x: numeric, TensorVariable Value for which log-probability is calculated. Returns ------- TensorVariable """ return at.zeros_like(x)
@classmethod def get_moment(cls, rv, size, *rv_inputs): mean = at.fill(size, rv.Y.mean()) return mean
def preprocess_XY(X, Y): if isinstance(Y, (Series, DataFrame)): Y = Y.to_numpy() if isinstance(X, (Series, DataFrame)): X = X.to_numpy() Y = Y.astype(float) X = X.astype(float) return X, Y @_logprob.register(BARTRV) def logp(op, value_var, *dist_params, **kwargs): _dist_params = dist_params[3:] value_var = value_var[0] return BART.logp(value_var, *_dist_params)