/usr/share/pyshared/pymc/MCMC.py is in python-pymc 2.2+ds-1.
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Class MCMC, which fits probability models using Markov Chain Monte Carlo, is defined here.
"""
__all__ = ['MCMC']
from .Model import Sampler
from .StepMethods import StepMethodRegistry, assign_method, DrawFromPrior
from .distributions import absolute_loss, squared_loss, chi_square_loss
import sys, time, pdb
import numpy as np
from .utils import crawl_dataless
from .six import print_
# from .progressbar import ProgressBar, Percentage, Bar, ETA, Iterations
from progressbar import ProgressBar
GuiInterrupt = 'Computation halt'
Paused = 'Computation paused'
class MCMC(Sampler):
"""
This class fits probability models using Markov Chain Monte Carlo. Each stochastic variable
is assigned a StepMethod object, which makes it take a single MCMC step conditional on the
rest of the model. These step methods are called in turn.
>>> A = MCMC(input, db, verbose=0)
:Parameters:
- input : module, list, tuple, dictionary, set, object or nothing.
Model definition, in terms of Stochastics, Deterministics, Potentials and Containers.
If nothing, all nodes are collected from the base namespace.
- db : string
The name of the database backend that will store the values
of the stochastics and deterministics sampled during the MCMC loop.
- verbose : integer
Level of output verbosity: 0=none, 1=low, 2=medium, 3=high
Inherits all methods and attributes from Model. Subclasses must define the _loop method:
- _loop(self, *args, **kwargs): Can be called after a sampling run is interrupted
(by pausing, halting or a KeyboardInterrupt) to continue the sampling run.
_loop must be able to handle KeyboardInterrupts gracefully, and should monitor
the sampler's status periodically. Available status values are:
- 'ready': Ready to sample.
- 'paused': A pause has been requested, or the sampler is paused. _loop should return control
as soon as it is safe to do so.
- 'halt': A halt has been requested, or the sampler is stopped. _loop should call halt as soon
as it is safe to do so.
- 'running': Sampling is in progress.
:SeeAlso: Model, Sampler, StepMethod.
"""
def __init__(self, input=None, db='ram', name='MCMC', calc_deviance=True, **kwds):
"""Initialize an MCMC instance.
:Parameters:
- input : module, list, tuple, dictionary, set, object or nothing.
Model definition, in terms of Stochastics, Deterministics, Potentials and Containers.
If nothing, all nodes are collected from the base namespace.
- db : string
The name of the database backend that will store the values
of the stochastics and deterministics sampled during the MCMC loop.
- verbose : integer
Level of output verbosity: 0=none, 1=low, 2=medium, 3=high
- **kwds :
Keywords arguments to be passed to the database instantiation method.
"""
Sampler.__init__(self, input, db, name, calc_deviance=calc_deviance, **kwds)
self._sm_assigned = False
self.step_method_dict = {}
for s in self.stochastics:
self.step_method_dict[s] = []
self._state = ['status', '_current_iter', '_iter', '_tune_interval', '_burn',
'_thin', '_tuned_count', '_tune_throughout', '_burn_till_tuned']
def use_step_method(self, step_method_class, *args, **kwds):
"""
M.use_step_method(step_method_class, *args, **kwds)
Example of usage: To handle stochastic A with a Metropolis instance,
M.use_step_method(Metropolis, A, sig=.1)
To subsequently get a reference to the new step method,
S = M.step_method_dict[A][0]
"""
new_method = step_method_class(*args, **kwds)
if self.verbose > 1:
print_('Using step method %s. Stochastics: ' % step_method_class.__name__)
for s in new_method.stochastics:
self.step_method_dict[s].append(new_method)
if self.verbose > 1:
print_('\t'+s.__name__)
if self._sm_assigned:
self.step_methods.add(new_method)
setattr(new_method, '_model', self)
def remove_step_method(self, step_method):
"""
Removes a step method.
"""
try:
for s in step_method.stochastics:
self.step_method_dict[s].remove(step_method)
if hasattr(self, "step_methods"):
self.step_methods.discard(step_method)
self._sm_assigned = False
except AttributeError:
for sm in step_method:
self.remove_step_method(sm)
def assign_step_methods(self, verbose=-1, draw_from_prior_when_possible = True):
"""
Make sure every stochastic variable has a step method. If not,
assign a step method from the registry.
"""
if not self._sm_assigned:
if draw_from_prior_when_possible:
# Assign dataless stepper first
last_gen = set([])
for s in self.stochastics - self.observed_stochastics:
if s._random is not None:
if len(s.extended_children)==0:
last_gen.add(s)
dataless, dataless_gens = crawl_dataless(set(last_gen), [last_gen])
if len(dataless):
new_method = DrawFromPrior(dataless, dataless_gens[::-1], verbose=verbose)
setattr(new_method, '_model', self)
for d in dataless:
if not d.observed:
self.step_method_dict[d].append(new_method)
if self.verbose > 1:
print_('Assigning step method %s to stochastic %s' % (new_method.__class__.__name__, d.__name__))
for s in self.stochastics:
# If not handled by any step method, make it a new step method using the registry
if len(self.step_method_dict[s])==0:
new_method = assign_method(s, verbose=verbose)
setattr(new_method, '_model', self)
self.step_method_dict[s].append(new_method)
if self.verbose > 1:
print_('Assigning step method %s to stochastic %s' % (new_method.__class__.__name__, s.__name__))
self.step_methods = set()
for s in self.stochastics:
self.step_methods |= set(self.step_method_dict[s])
for sm in self.step_methods:
if sm.tally:
for name in sm._tuning_info:
self._funs_to_tally[sm._id+'_'+name] = lambda name=name, sm=sm: getattr(sm, name)
else:
# Change verbosity for step methods
for sm_key in self.step_method_dict:
for sm in self.step_method_dict[sm_key]:
sm.verbose = verbose
self.restore_sm_state()
self._sm_assigned = True
def sample(self, iter, burn=0, thin=1, tune_interval=1000, tune_throughout=True,
save_interval=None, burn_till_tuned=False, stop_tuning_after=5,
verbose=0, progress_bar=True):
"""
sample(iter, burn, thin, tune_interval, tune_throughout, save_interval, verbose, progress_bar)
Initialize traces, run sampling loop, clean up afterward. Calls _loop.
:Parameters:
- iter : int
Total number of iterations to do
- burn : int
Variables will not be tallied until this many iterations are complete, default 0
- thin : int
Variables will be tallied at intervals of this many iterations, default 1
- tune_interval : int
Step methods will be tuned at intervals of this many iterations, default 1000
- tune_throughout : boolean
If true, tuning will continue after the burnin period (True); otherwise tuning
will halt at the end of the burnin period.
- save_interval : int or None
If given, the model state will be saved at intervals of this many iterations
- verbose : boolean
- progress_bar : boolean
Display progress bar while sampling.
- burn_till_tuned: boolean
If True the Sampler would burn samples until all step methods are tuned.
A tuned step methods is one that was not tuned for the last `stop_tuning_after` tuning intervals.
The burn-in phase will have a minimum of 'burn' iterations but could be longer if
tuning is needed. After the phase is done the sampler will run for another
(iter - burn) iterations, and will tally the samples according to the 'thin' argument.
This means that the total number of iteration is update throughout the sampling
procedure.
If burn_till_tuned is True it also overrides the tune_thorughout argument, so no step method
will be tuned when sample are being tallied.
- stop_tuning_adfter: int
the number of untuned successive tuning interval needed to be reach in order for
the burn-in phase to be done (If burn_till_tuned is True).
"""
self.assign_step_methods(verbose=verbose)
if burn > iter:
raise ValueError('Burn interval cannot be larger than specified number of iterations.')
self._n_tally = int(iter) - int(burn)
if burn_till_tuned:
self._stop_tuning_after = stop_tuning_after
tune_throughout = False
if verbose > 0:
print "burn_til_tuned is True. tune_throughout is set to False"
burn = int(max(burn, stop_tuning_after * tune_interval))
iter = self._n_tally + burn
self._iter = int(iter)
self._burn = int(burn)
self._thin = int(thin)
self._tune_interval = int(tune_interval)
self._tune_throughout = tune_throughout
self._burn_till_tuned = burn_till_tuned
self._save_interval = save_interval
length = max(int(np.floor((1.0*iter-burn)/thin)), 1)
self.max_trace_length = length
# Flags for tuning
self._tuning = True
self._tuned_count = 0
# Progress bar
self.pbar = None
if not verbose and progress_bar:
self.pbar = ProgressBar(self._iter)
# Run sampler
Sampler.sample(self, iter, length, verbose)
def _loop(self):
# Set status flag
self.status='running'
try:
while self._current_iter < self._iter and not self.status == 'halt':
if self.status == 'paused':
break
i = self._current_iter
# Update progress bar
if not (i+1) % 100 and self.pbar:
self.pbar.animate(i+1)
# Tune at interval
if i and not (i % self._tune_interval) and self._tuning:
self.tune()
#update _burn and _iter if needed
if self._burn_till_tuned and (self._tuned_count == 0):
new_burn = self._current_iter + int(self._stop_tuning_after * self._tune_interval)
self._burn = max(new_burn, self._burn);
self._iter = self._burn + self._n_tally
self.pbar = ProgressBar(self._iter)
self.pbar.animate(i+1)
# Manage burn-in
if i == self._burn:
if self.verbose>0:
print_('\nBurn-in interval complete')
if not self._tune_throughout:
self._tuning = False
# Tell all the step methods to take a step
for step_method in self.step_methods:
if self.verbose > 2:
print_('Step method %s stepping' % step_method._id)
# Step the step method
step_method.step()
# Record sample to trace, if appropriate
if i % self._thin == 0 and i >= self._burn:
self.tally()
if self._save_interval is not None:
if i % self._save_interval==0:
self.save_state()
# Periodically commit samples to backend
if not i % 1000:
self.commit()
# Increment interation
self._current_iter += 1
except KeyboardInterrupt:
self.status='halt'
finally:
# Stop progress bar
if self.pbar:
self.pbar.animate(self._iter)
if self.status == 'halt':
self._halt()
def tune(self):
"""
Tell all step methods to tune themselves.
"""
# =======================================
# = This is what makes price.py puke... =
# =======================================
# Only tune during burn-in
# if self._current_iter > self._burn:
# self._tuning = False
# return
if self.verbose > 0:
print_('\tTuning at iteration', self._current_iter)
# Initialize counter for number of tuning stochastics
tuning_count = 0
for step_method in self.step_methods:
verbose = self.verbose
if step_method.verbose > -1:
verbose = step_method.verbose
# Tune step methods
tuning_count += step_method.tune(verbose=self.verbose)
if verbose > 1:
print_('\t\tTuning step method %s, returned %i\n' %(step_method._id, tuning_count))
sys.stdout.flush()
if self._burn_till_tuned:
if not tuning_count:
# If no step methods needed tuning, increment count
self._tuned_count += 1
else:
# Otherwise re-initialize count
self._tuned_count = 0
# n consecutive clean intervals removed tuning
# n is equal to self._stop_tuning_after
if self._tuned_count == self._stop_tuning_after:
if self.verbose > 0: print_('\nFinished tuning')
self._tuning = False
def get_state(self):
"""
Return the sampler and step methods current state in order to
restart sampling at a later time.
"""
self.step_methods = set()
for s in self.stochastics:
self.step_methods |= set(self.step_method_dict[s])
state = Sampler.get_state(self)
state['step_methods'] = {}
# The state of each StepMethod.
for sm in self.step_methods:
state['step_methods'][sm._id] = sm.current_state().copy()
return state
def restore_sm_state(self):
sm_state = self.db.getstate()
if sm_state is not None:
sm_state = sm_state.get('step_methods', {})
# Restore stepping methods state
for sm in self.step_methods:
sm.__dict__.update(sm_state.get(sm._id, {}))
def _calc_dic(self):
"""Calculates deviance information Criterion"""
# Find mean deviance
mean_deviance = np.mean(self.db.trace('deviance')(), axis=0)
# Set values of all parameters to their mean
for stochastic in self.stochastics:
# Calculate mean of paramter
try:
mean_value = np.mean(self.db.trace(stochastic.__name__)(), axis=0)
# Set current value to mean
stochastic.value = mean_value
except KeyError:
print_("No trace available for %s. DIC value may not be valid." % stochastic.__name__)
# Return twice deviance minus deviance at means
return 2*mean_deviance - self.deviance
# Make dic a property
def _get_dic(self):
return self._calc_dic()
dic = property(_get_dic)
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