void CMT::WhiteningTransform::initialize(const ArrayXXd& input, int dimOut) {
if(input.cols() < input.rows())
throw Exception("Too few inputs to compute whitening transform.");
mMeanIn = input.rowwise().mean();
// compute covariances
MatrixXd covXX = covariance(input);
// input whitening
SelfAdjointEigenSolver<MatrixXd> eigenSolver;
eigenSolver.compute(covXX);
Array<double, 1, Dynamic> eigenvalues = eigenSolver.eigenvalues();
MatrixXd eigenvectors = eigenSolver.eigenvectors();
// don't whiten directions with near-zero variance
for(int i = 0; i < eigenvalues.size(); ++i)
if(eigenvalues[i] < 1e-7)
eigenvalues[i] = 1.;
mPreIn = (eigenvectors.array().rowwise() * eigenvalues.sqrt().cwiseInverse()).matrix()
* eigenvectors.transpose();
mPreInInv = (eigenvectors.array().rowwise() * eigenvalues.sqrt()).matrix()
* eigenvectors.transpose();
mMeanOut = VectorXd::Zero(dimOut);
mPreOut = MatrixXd::Identity(dimOut, dimOut);
mPreOutInv = MatrixXd::Identity(dimOut, dimOut);
mPredictor = MatrixXd::Zero(dimOut, input.rows());
mGradTransform = MatrixXd::Zero(dimOut, input.rows());
mLogJacobian = 1.;
}
void NestedSampler::setPosteriorSample(ArrayXXd newPosteriorSample)
{
Ndimensions = newPosteriorSample.rows();
int Nsamples = newPosteriorSample.cols();
posteriorSample.resize(Ndimensions, Nsamples);
posteriorSample = newPosteriorSample;
}
/**
* \brief Calculate the loglikelihood of a linear regression contained
* in a linear_reg object.
*
* @param X The design matrix.
*/
void linear_reg::logLikelihood(const mematrix<double>& X) {
/*
loglik = 0.;
double ss=0;
for (int i=0;i<rdata.nids;i++) {
double resid = rdata.Y[i] - beta.get(0,0); // intercept
for (int j=1;j<beta.nrow;j++) resid -= beta.get(j,0)*X.get(i,j);
// residuals[i] = resid;
ss += resid*resid;
}
sigma2 = ss/N;
*/
//cout << "estimate " << rdata.nids << "\n";
//(rdata.X).print();
//for (int i=0;i<rdata.nids;i++) cout << rdata.masked_data[i] << " ";
//cout << endl;
loglik = 0.;
double halfrecsig2 = .5 / sigma2;
//loglik -= halfrecsig2 * residuals[i] * residuals[i];
double intercept = beta.get(0, 0);
residuals.data = reg_data.Y.data.array() - intercept;
//matrix.
ArrayXXd betacol =
beta.data.block(1, 0, beta.data.rows() - 1, 1).array().transpose();
ArrayXXd resid_sub = (X.data.block(0, 1, X.data.rows(), X.data.cols() - 1)
* betacol.matrix().asDiagonal()).rowwise().sum();
//std::cout << resid_sub << std::endl;
residuals.data -= resid_sub.matrix();
//residuals[i] -= resid_sub;
loglik -= (residuals.data.array().square() * halfrecsig2).sum();
loglik -= static_cast<double>(reg_data.nids) * log(sqrt(sigma2));
}
Array<int, 1, Dynamic> CMT::MCBM::samplePrior(const MatrixXd& input) const {
if(input.rows() != dimIn())
throw Exception("Inputs have wrong dimensionality.");
ArrayXXd featureEnergy = mWeights * (mFeatures.transpose() * input).array().square().matrix();
ArrayXXd biasEnergy = mInputBias.transpose() * input;
ArrayXXd predictorEnergy = mPredictors * input;
ArrayXXd tmp0 = (featureEnergy + biasEnergy).colwise() + mPriors.array();
ArrayXXd tmp1 = (tmp0 + predictorEnergy).colwise() + mOutputBias.array();
ArrayXXd logPrior = tmp0 + tmp1;
logPrior.rowwise() -= logSumExp(logPrior);
ArrayXXd prior = logPrior.exp();
Array<int, 1, Dynamic> labels(input.cols());
#pragma omp parallel for
for(int j = 0; j < input.cols(); ++j) {
int i = 0;
double urand = static_cast<double>(rand()) / (static_cast<long>(RAND_MAX) + 1l);
double cdf;
// compute index
for(cdf = prior(0, j); cdf < urand; cdf += prior(i, j))
++i;
labels[j] = i;
}
return labels;
}
/*
Multiply each row of u by temp
*/
MatrixXd arrayMultiplierRowWise(MatrixXd u,ArrayXXd temp,int n){
ArrayXXd uArray = u.array();
int i;
for(i=0;i<n;i++){
uArray.row(i) *= temp;
}
return uArray.matrix();
}
ArrayXXd CMT::tanh(const ArrayXXd& arr) {
ArrayXXd result(arr.rows(), arr.cols());
#pragma omp parallel for
for(int i = 0; i < arr.size(); ++i)
result(i) = std::tanh(arr(i));
return result;
}
ArrayXXd CMT::HistogramNonlinearity::operator()(const ArrayXXd& inputs) const {
ArrayXXd outputs(inputs.rows(), inputs.cols());
for(int i = 0; i < inputs.rows(); ++i)
for(int j = 0; j < inputs.cols(); ++j)
outputs(i, j) = mHistogram[bin(inputs(i, j))] + mEpsilon;
return outputs;
}
ArrayXXd CMT::HistogramNonlinearity::gradient(const ArrayXXd& inputs) const {
if(inputs.rows() != 1)
throw Exception("Data has to be stored in one row.");
ArrayXXd gradient = ArrayXXd::Zero(mHistogram.size(), inputs.cols());
for(int i = 0; i < inputs.rows(); ++i)
for(int j = 0; j < inputs.rows(); ++j)
gradient(bin(inputs(i, j)), j) = 1;
return gradient;
}
MatrixXd CMT::MLR::predict(const MatrixXd& input) const {
if(input.rows() != mDimIn)
throw Exception("Inputs have wrong dimensionality.");
MatrixXd output = MatrixXd::Zero(mDimOut, input.cols());
// distribution over outputs
ArrayXXd prob = (mWeights * input).colwise() + mBiases;
prob.rowwise() -= logSumExp(prob);
prob = prob.exp();
return prob;
}
ArrayXXd CMT::BlobNonlinearity::operator()(const ArrayXXd& inputs) const {
if(inputs.rows() != 1)
throw Exception("Data has to be stored in one row.");
ArrayXXd diff = ArrayXXd::Zero(mNumComponents, inputs.cols());
diff.rowwise() += inputs.row(0);
diff.colwise() -= mMeans;
ArrayXXd negEnergy = diff.square().colwise() * (-mLogPrecisions.exp() / 2.);
return (mLogWeights.exp().transpose().matrix() * negEnergy.exp().matrix()).array() + mEpsilon;
}
ArrayXXi CMT::sampleBinomial(const ArrayXXi& n, const ArrayXXd& p) {
if(n.rows() != p.rows() || n.cols() != p.cols())
throw Exception("n and p must be of the same size.");
ArrayXXi samples = ArrayXXi::Zero(n.rows(), n.cols());
#pragma omp parallel for
for(int i = 0; i < samples.size(); ++i) {
// very naive algorithm for generating binomial samples
for(int k = 0; k < n(i); ++k)
if(rand() / static_cast<double>(RAND_MAX) < p(i))
samples(i) += 1;
}
return samples;
}
void operator()(std::size_t begin, std::size_t end) {
for(std::size_t j = begin; j < end; j++){
ArrayXd d = s2*a_prec(j) + s1*e_prec(j);
ArrayXd mlam = b.col(j).array() / d;
effects.col(j) = U * (mlam + randn_draws.col(j) / sqrt(d)).matrix();
}
}
Array<double, 1, Dynamic> CMT::MLR::logLikelihood(
const MatrixXd& input,
const MatrixXd& output) const
{
if(input.cols() != output.cols())
throw Exception("Number of inputs and outputs have to be the same.");
if(input.rows() != mDimIn)
throw Exception("Inputs have wrong dimensionality.");
if(output.rows() != mDimOut)
throw Exception("Output has wrong dimensionality.");
// distribution over outputs
ArrayXXd logProb = (mWeights * input).colwise() + mBiases;
logProb.rowwise() -= logSumExp(logProb);
return (logProb * output.array()).colwise().sum();
}
void CMT::HistogramNonlinearity::initialize(
const ArrayXXd& inputs,
const ArrayXXd& outputs,
int numBins)
{
double max = inputs.maxCoeff();
double min = inputs.minCoeff();
mBinEdges = vector<double>(numBins + 1);
double binWidth = (max - min) / numBins;
for(int k = 0; k < mBinEdges.size(); ++k)
mBinEdges[k] = min + k * binWidth;
initialize(inputs, outputs);
}
ArrayXXd CMT::BlobNonlinearity::derivative(const ArrayXXd& inputs) const {
if(inputs.rows() != 1)
throw Exception("Data has to be stored in one row.");
ArrayXXd diff = ArrayXXd::Zero(mNumComponents, inputs.cols());
diff.rowwise() -= inputs.row(0);
diff.colwise() += mMeans;
ArrayXd precisions = mLogPrecisions.exp();
ArrayXXd negEnergy = diff.square().colwise() * (-precisions / 2.);
return (mLogWeights.exp() * precisions).transpose().matrix() * (diff * negEnergy.exp()).matrix();
}
/**
* Algorithm due to Knuth, 1969.
*/
ArrayXXi CMT::samplePoisson(const ArrayXXd& lambda) {
ArrayXXi samples(lambda.rows(), lambda.cols());
ArrayXXd threshold = (-lambda).exp();
#pragma omp parallel for
for(int i = 0; i < samples.size(); ++i) {
double p = rand() / static_cast<double>(RAND_MAX);
int k = 0;
while(p > threshold(i)) {
k += 1;
p *= rand() / static_cast<double>(RAND_MAX);
}
samples(i) = k;
}
return samples;
}
void CMT::HistogramNonlinearity::initialize(
const ArrayXXd& inputs,
const ArrayXXd& outputs)
{
if(inputs.rows() != outputs.rows() || inputs.cols() != outputs.cols())
throw Exception("Inputs and outputs have to have same size.");
mHistogram = vector<double>(mBinEdges.size() - 1);
vector<int> counter(mBinEdges.size() - 1);
for(int k = 0; k < mHistogram.size(); ++k) {
mHistogram[k] = 0.;
counter[k] = 0;
}
for(int i = 0; i < inputs.rows(); ++i)
for(int j = 0; j < inputs.cols(); ++j) {
// find bin
int k = bin(inputs(i, j));
// update histogram
counter[k] += 1;
mHistogram[k] += outputs(i, j);
}
for(int k = 0; k < mHistogram.size(); ++k)
if(mHistogram[k] > 0.)
// average output observed in bin k
mHistogram[k] /= counter[k];
}
void
mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[]) {
int N = mxGetScalar(prhs[0]);
double d = mxGetScalar(prhs[1]);
double h = mxGetScalar(prhs[2]);
int Njacv = mxGetScalar(prhs[3]);
double b = mxGetScalar(prhs[4]);
double c = mxGetScalar(prhs[5]);
double dr = mxGetScalar(prhs[6]);
double di = mxGetScalar(prhs[7]);
int threadNum = mxGetScalar(prhs[8]);
double *a0 = mxGetPr(prhs[9]);
double *v = mxGetPr(prhs[10]);
double th = mxGetScalar(prhs[11]);
double phi = mxGetScalar(prhs[12]);
int nstp = mxGetScalar(prhs[13]);
// mwSize isJ = mxGetScalar(prhs[14]);
ArrayXXd av = gintgv(N, d, h, Njacv, b, c, dr, di, threadNum, a0, v, th, phi, nstp);
plhs[0] = mxCreateDoubleMatrix(av.rows(), av.cols(), mxREAL);
memcpy(mxGetPr(plhs[0]), av.data(), av.cols()*av.rows()*sizeof(double));
}
double CMT::MLR::parameterGradient(
const MatrixXd& input,
const MatrixXd& output,
const lbfgsfloatval_t* x,
lbfgsfloatval_t* g,
const Trainable::Parameters& params_) const
{
const Parameters& params = dynamic_cast<const Parameters&>(params_);
MatrixXd weights = mWeights;
VectorXd biases = mBiases;
// copy parameters
int k = 0;
if(params.trainWeights)
for(int i = 1; i < weights.rows(); ++i)
for(int j = 0; j < weights.cols(); ++j, ++k)
weights(i, j) = x[k];
if(params.trainBiases)
for(int i = 1; i < mBiases.rows(); ++i, ++k)
biases[i] = x[k];
// compute distribution over outputs
ArrayXXd logProb = (weights * input).colwise() + biases;
logProb.rowwise() -= logSumExp(logProb);
// difference between prediction and actual output
MatrixXd diff = (logProb.exp().matrix() - output);
// compute gradients
double normConst = output.cols() * log(2.);
if(g) {
int offset = 0;
if(params.trainWeights) {
Map<Matrix<double, Dynamic, Dynamic, RowMajor> > weightsGrad(g, mDimOut - 1, mDimIn);
weightsGrad = (diff * input.transpose() / normConst).bottomRows(mDimOut - 1);
offset += weightsGrad.size();
weightsGrad += params.regularizeWeights.gradient(
weights.bottomRows(mDimOut - 1).transpose()).transpose();
}
if(params.trainBiases) {
VectorLBFGS biasesGrad(g + offset, mDimOut - 1);
biasesGrad = diff.rowwise().sum().bottomRows(mDimOut - 1) / normConst;
biasesGrad += params.regularizeBiases.gradient(biases);
}
}
// return negative average log-likelihood in bits
double value = -(logProb * output.array()).sum() / normConst;
if(params.trainWeights)
value += params.regularizeWeights.evaluate(weights.bottomRows(mDimOut - 1).transpose());
if(params.trainBiases)
value += params.regularizeBiases.evaluate(biases);
return value;
}
MatrixXd cube(MatrixXd xin){
ArrayXXd x = xin.array(); //convert to Array
x*=(x*x);
return x.matrix();
}
Array<double, 1, Dynamic> CMT::logMeanExp(const ArrayXXd& array) {
Array<double, 1, Dynamic> arrayMax = array.colwise().maxCoeff() - 1.;
return arrayMax + (array.rowwise() - arrayMax).exp().colwise().mean().log();
}
bool CMT::Mixture::train(
const MatrixXd& data,
const MatrixXd& dataValid,
const Parameters& parameters,
const Component::Parameters& componentParameters)
{
if(parameters.initialize && !initialized())
initialize(data, parameters, componentParameters);
ArrayXXd logJoint(numComponents(), data.cols());
Array<double, Dynamic, 1> postSum;
Array<double, 1, Dynamic> logLik;
ArrayXXd post;
ArrayXXd weights;
// training and validation log-loss for checking convergence
double avgLogLoss = numeric_limits<double>::infinity();
double avgLogLossNew;
double avgLogLossValid = evaluate(dataValid);
double avgLogLossValidNew = avgLogLossValid;
int counter = 0;
// backup model parameters
VectorXd priors = mPriors;
vector<Component*> components;
for(int k = 0; k < numComponents(); ++k)
components.push_back(mComponents[k]->copy());
for(int i = 0; i < parameters.maxIter; ++i) {
// compute joint probability of data and assignments (E)
#pragma omp parallel for
for(int k = 0; k < numComponents(); ++k)
logJoint.row(k) = mComponents[k]->logLikelihood(data) + log(mPriors[k]);
// compute normalized posterior (E)
logLik = logSumExp(logJoint);
// average negative log-likelihood in bits per component
avgLogLossNew = -logLik.mean() / log(2.) / dim();
if(parameters.verbosity > 0) {
if(i % parameters.valIter == 0) {
// print training and validation error
cout << setw(6) << i;
cout << setw(14) << setprecision(7) << avgLogLossNew;
cout << setw(14) << setprecision(7) << avgLogLossValidNew << endl;
} else {
// print training error
cout << setw(6) << i << setw(14) << setprecision(7) << avgLogLossNew << endl;
}
}
// test for convergence
if(avgLogLoss - avgLogLossNew < parameters.threshold)
return true;
avgLogLoss = avgLogLossNew;
// compute normalized posterior (E)
post = (logJoint.rowwise() - logLik).exp();
postSum = post.rowwise().sum();
weights = post.colwise() / postSum;
// optimize prior weights (M)
if(parameters.trainPriors) {
mPriors = postSum / data.cols() + parameters.regularizePriors;
mPriors /= mPriors.sum();
}
// optimize components (M)
if(parameters.trainComponents) {
#pragma omp parallel for
for(int k = 0; k < numComponents(); ++k)
mComponents[k]->train(data, weights.row(k), componentParameters);
} else {
return true;
}
if((i + 1) % parameters.valIter == 0) {
// check validation error
avgLogLossValidNew = evaluate(dataValid);
if(avgLogLossValidNew < avgLogLossValid) {
// backup new found model parameters
priors = mPriors;
for(int k = 0; k < numComponents(); ++k)
*components[k] = *mComponents[k];
avgLogLossValid = avgLogLossValidNew;
} else {
counter++;
if(parameters.valLookAhead > 0 && counter >= parameters.valLookAhead) {
// set parameters to best parameters found during training
mPriors = priors;
for(int k = 0; k < numComponents(); ++k) {
*mComponents[k] = *components[k];
delete components[k];
}
return true;
}
}
}
}
if(parameters.verbosity > 0)
cout << setw(6) << parameters.maxIter << setw(11) << setprecision(5) << evaluate(data) << endl;
return false;
}
bool KmeansClusterer::updateClusterCentersUntilConverged(RefArrayXXd sample, RefArrayXXd centers,
RefArrayXd clusterSizes, vector<int> &clusterIndices,
double &sumOfDistancesToClosestCenter, double relTolerance)
{
unsigned int Npoints = sample.cols();
unsigned int Ndimensions = sample.rows();
unsigned int Nclusters = centers.cols();
ArrayXXd updatedCenters = ArrayXXd::Zero(Ndimensions, Nclusters); // coordinates of each of the new cluster centers
// Perform the k-means clustering iteration, each time improving the cluster centers,
// and redetermining which points belongs to which cluster
bool stopIterations = false;
bool convergenceReached;
unsigned int indexOfClosestCenter;
double oldSumOfDistances = 0.0;
double newSumOfDistances = 0.0;
double distanceToClosestCenter;
double distance;
while (!stopIterations)
{
// Find for each point the closest cluster center.
// At the same time recompute/update the new cluster centers, which is simply
// the barycenter of all points belonging to the cluster.
clusterSizes.setZero();
updatedCenters.setZero();
for (int n = 0; n < Npoints; ++n)
{
distanceToClosestCenter = numeric_limits<double>::max();
for (int i = 0; i < Nclusters; ++i)
{
distance = metric.distance(sample.col(n), centers.col(i));
if (distance < distanceToClosestCenter)
{
indexOfClosestCenter = i;
distanceToClosestCenter = distance;
}
}
newSumOfDistances += distanceToClosestCenter;
updatedCenters.col(indexOfClosestCenter) += sample.col(n);
clusterSizes(indexOfClosestCenter) += 1;
clusterIndices[n] = indexOfClosestCenter;
}
// Assert that all clusters contain at least 2 points. If not we probably started
// with an unfortunate set of initial cluster centers. Flag this by immediately
// returning false.
if (!(clusterSizes > 1).all())
{
convergenceReached = false;
return convergenceReached;
}
// Finish computing the new updated centers. Given the check above, we are sure
// that none of the clusters is empty.
updatedCenters.rowwise() /= clusterSizes.transpose();
centers = updatedCenters;
// A new set of clusters has been determined.
// Decide whether the algorithm has converged. Convergence occurs when
// the sum of all distances of all points to their cluster center does
// not change significantly anymore.
// Note: in order for this criterion to work properly, the coordinate
// space should be normalized, so that one particular coordinate
// cannot numerically dominate all other coordinates.
if (oldSumOfDistances == 0.0)
{
// This is the first center-updating iteration, so there is nothing to compare yet.
// Simply set the variables.
oldSumOfDistances = newSumOfDistances;
newSumOfDistances = 0.0;
}
else
{
// If the relative change in sumOfDistances between old and new was smaller than
// the threshold set by the user, stop the iteration loop.
if (fabs(newSumOfDistances - oldSumOfDistances) / oldSumOfDistances < relTolerance)
{
sumOfDistancesToClosestCenter = newSumOfDistances; // will be returned to user
stopIterations = true;
}
else
{
oldSumOfDistances = newSumOfDistances;
newSumOfDistances = 0.0;
}
}
} // end k-means center-updating loop
// Convergence was properly reached, so return
convergenceReached = true;
return convergenceReached;
}
ArrayXXd CMT::ExponentialFunction::derivative(const ArrayXXd& data) const {
return data.exp();
}
ArrayXXd CMT::ExponentialFunction::operator()(const ArrayXXd& data) const {
return data.exp() + mEpsilon;
}
ArrayXXd CMT::BlobNonlinearity::gradient(const ArrayXXd& inputs) const {
if(inputs.rows() != 1)
throw Exception("Data has to be stored in one row.");
ArrayXXd diff = ArrayXXd::Zero(mNumComponents, inputs.cols());
diff.rowwise() += inputs.row(0);
diff.colwise() -= mMeans;
ArrayXXd diffSq = diff.square();
ArrayXd precisions = mLogPrecisions.exp();
ArrayXd weights = mLogWeights.exp();
ArrayXXd negEnergy = diffSq.colwise() * (-precisions / 2.);
ArrayXXd negEnergyExp = negEnergy.exp();
ArrayXXd gradient(3 * mNumComponents, inputs.cols());
// gradient of mean
gradient.topRows(mNumComponents) = (diff * negEnergyExp).colwise() * (weights * precisions);
// gradient of log-precisions
gradient.middleRows(mNumComponents, mNumComponents) = (diffSq / 2. * negEnergyExp).colwise() * (-weights * precisions);
// gradient of log-weights
gradient.bottomRows(mNumComponents) = negEnergyExp.colwise() * weights;
return gradient;
}
CMT::WhiteningTransform::WhiteningTransform(const ArrayXXd& input, const ArrayXXd& output) {
initialize(input, output.rows());
}
double CMT::MCBM::parameterGradient(
const MatrixXd& inputCompl,
const MatrixXd& outputCompl,
const lbfgsfloatval_t* x,
lbfgsfloatval_t* g,
const Trainable::Parameters& params_) const
{
const Parameters& params = dynamic_cast<const Parameters&>(params_);
// average log-likelihood
double logLik = 0.;
// interpret memory for parameters and gradients
lbfgsfloatval_t* y = const_cast<lbfgsfloatval_t*>(x);
int offset = 0;
VectorLBFGS priors(params.trainPriors ? y : const_cast<double*>(mPriors.data()), mNumComponents);
VectorLBFGS priorsGrad(g, mNumComponents);
if(params.trainPriors)
offset += priors.size();
MatrixLBFGS weights(params.trainWeights ? y + offset : const_cast<double*>(mWeights.data()), mNumComponents, mNumFeatures);
MatrixLBFGS weightsGrad(g + offset, mNumComponents, mNumFeatures);
if(params.trainWeights)
offset += weights.size();
MatrixLBFGS features(params.trainFeatures ? y + offset : const_cast<double*>(mFeatures.data()), mDimIn, mNumFeatures);
MatrixLBFGS featuresGrad(g + offset, mDimIn, mNumFeatures);
if(params.trainFeatures)
offset += features.size();
MatrixLBFGS predictors(params.trainPredictors ? y + offset : const_cast<double*>(mPredictors.data()), mNumComponents, mDimIn);
MatrixLBFGS predictorsGrad(g + offset, mNumComponents, mDimIn);
if(params.trainPredictors)
offset += predictors.size();
MatrixLBFGS inputBias(params.trainInputBias ? y + offset : const_cast<double*>(mInputBias.data()), mDimIn, mNumComponents);
MatrixLBFGS inputBiasGrad(g + offset, mDimIn, mNumComponents);
if(params.trainInputBias)
offset += inputBias.size();
VectorLBFGS outputBias(params.trainOutputBias ? y + offset : const_cast<double*>(mOutputBias.data()), mNumComponents);
VectorLBFGS outputBiasGrad(g + offset, mNumComponents);
if(params.trainOutputBias)
offset += outputBias.size();
if(g) {
// initialize gradients
if(params.trainPriors)
priorsGrad.setZero();
if(params.trainWeights)
weightsGrad.setZero();
if(params.trainFeatures)
featuresGrad.setZero();
if(params.trainPredictors)
predictorsGrad.setZero();
if(params.trainInputBias)
inputBiasGrad.setZero();
if(params.trainOutputBias)
outputBiasGrad.setZero();
}
// split data into batches for better performance
int numData = static_cast<int>(inputCompl.cols());
int batchSize = min(max(params.batchSize, 10), numData);
#pragma omp parallel for
for(int b = 0; b < inputCompl.cols(); b += batchSize) {
const MatrixXd& input = inputCompl.middleCols(b, min(batchSize, numData - b));
const MatrixXd& output = outputCompl.middleCols(b, min(batchSize, numData - b));
ArrayXXd featureOutput = features.transpose() * input;
MatrixXd featureOutputSq = featureOutput.square();
MatrixXd weightsOutput = weights * featureOutputSq;
ArrayXXd predictorOutput = predictors * input;
// unnormalized posteriors over components for both possible outputs
ArrayXXd logPost0 = (weightsOutput + inputBias.transpose() * input).colwise() + priors;
ArrayXXd logPost1 = (logPost0 + predictorOutput).colwise() + outputBias.array();
// sum over components to get unnormalized probabilities of outputs
Array<double, 1, Dynamic> logProb0 = logSumExp(logPost0);
Array<double, 1, Dynamic> logProb1 = logSumExp(logPost1);
// normalize posteriors over components
logPost0.rowwise() -= logProb0;
logPost1.rowwise() -= logProb1;
// stack row vectors
ArrayXXd logProb01(2, input.cols());
logProb01 << logProb0, logProb1;
// normalize log-probabilities
Array<double, 1, Dynamic> logNorm = logSumExp(logProb01);
logProb1 -= logNorm;
logProb0 -= logNorm;
double logLikBatch = (output.array() * logProb1 + (1. - output.array()) * logProb0).sum();
#pragma omp critical
logLik += logLikBatch;
if(!g)
// don't compute gradients
continue;
Array<double, 1, Dynamic> tmp = output.array() * logProb0.exp() - (1. - output.array()) * logProb1.exp();
ArrayXXd post0Tmp = logPost0.exp().rowwise() * tmp;
ArrayXXd post1Tmp = logPost1.exp().rowwise() * tmp;
ArrayXXd postDiffTmp = post1Tmp - post0Tmp;
// update gradients
if(params.trainPriors)
#pragma omp critical
priorsGrad -= postDiffTmp.rowwise().sum().matrix();
if(params.trainWeights)
#pragma omp critical
weightsGrad -= postDiffTmp.matrix() * featureOutputSq.transpose();
if(params.trainFeatures) {
ArrayXXd tmp2 = weights.transpose() * postDiffTmp.matrix() * 2.;
MatrixXd tmp3 = featureOutput * tmp2;
#pragma omp critical
featuresGrad -= input * tmp3.transpose();
}
if(params.trainPredictors)
#pragma omp critical
predictorsGrad -= post1Tmp.matrix() * input.transpose();
if(params.trainInputBias)
#pragma omp critical
inputBiasGrad -= input * postDiffTmp.matrix().transpose();
if(params.trainOutputBias)
#pragma omp critical
outputBiasGrad -= post1Tmp.rowwise().sum().matrix();
}
double normConst = inputCompl.cols() * log(2.) * dimOut();
if(g) {
for(int i = 0; i < offset; ++i)
g[i] /= normConst;
if(params.trainFeatures)
featuresGrad += params.regularizeFeatures.gradient(features);
if(params.trainPredictors)
predictorsGrad += params.regularizePredictors.gradient(predictors.transpose()).transpose();
if(params.trainWeights)
weightsGrad += params.regularizeWeights.gradient(weights);
}
double value = -logLik / normConst;
if(params.trainFeatures)
value += params.regularizeFeatures.evaluate(features);
if(params.trainPredictors)
value += params.regularizePredictors.evaluate(predictors.transpose());
if(params.trainWeights)
value += params.regularizeWeights.evaluate(weights);
return value;
}
void NestedSampler::run(LivePointsReducer &livePointsReducer, const int NinitialIterationsWithoutClustering,
const int NiterationsWithSameClustering, const int maxNdrawAttempts,
const double maxRatioOfRemainderToCurrentEvidence, string pathPrefix)
{
int startTime = time(0);
double logMeanLiveEvidence;
terminationFactor = maxRatioOfRemainderToCurrentEvidence;
outputPathPrefix = pathPrefix;
if (printOnTheScreen)
{
cerr << "------------------------------------------------" << endl;
cerr << " Bayesian Inference problem has " << Ndimensions << " dimensions." << endl;
cerr << "------------------------------------------------" << endl;
cerr << endl;
}
// Save configuring parameters to an output ASCII file
string fileName = "configuringParameters.txt";
string fullPath = outputPathPrefix + fileName;
File::openOutputFile(outputFile, fullPath);
outputFile << "# List of configuring parameters used for the NSMC." << endl;
outputFile << "# Row #1: Ndimensions" << endl;
outputFile << "# Row #2: Initial(Maximum) NlivePoints" << endl;
outputFile << "# Row #3: Minimum NlivePoints" << endl;
outputFile << "# Row #4: NinitialIterationsWithoutClustering" << endl;
outputFile << "# Row #5: NiterationsWithSameClustering" << endl;
outputFile << "# Row #6: maxNdrawAttempts" << endl;
outputFile << "# Row #7: terminationFactor" << endl;
outputFile << "# Row #8: Niterations" << endl;
outputFile << "# Row #9: Optimal Niterations" << endl;
outputFile << "# Row #10: Final Nclusters" << endl;
outputFile << "# Row #11: Final NlivePoints" << endl;
outputFile << "# Row #12: Computational Time (seconds)" << endl;
outputFile << Ndimensions << endl;
outputFile << initialNlivePoints << endl;
outputFile << minNlivePoints << endl;
outputFile << NinitialIterationsWithoutClustering << endl;
outputFile << NiterationsWithSameClustering << endl;
outputFile << maxNdrawAttempts << endl;
outputFile << terminationFactor << endl;
// Set up the random number generator. It generates integer random numbers
// between 0 and NlivePoints-1, inclusive.
uniform_int_distribution<int> discreteUniform(0, NlivePoints-1);
// Draw the initial sample from the prior PDF. Different coordinates of a point
// can have different priors, so these have to be sampled individually.
if (printOnTheScreen)
{
cerr << "------------------------------------------------" << endl;
cerr << " Doing initial sampling of parameter space..." << endl;
cerr << "------------------------------------------------" << endl;
cerr << endl;
}
nestedSample.resize(Ndimensions, NlivePoints);
int beginIndex = 0;
int NdimensionsOfCurrentPrior;
ArrayXXd priorSample;
for (int i = 0; i < ptrPriors.size(); i++)
{
// Some priors cover one particalar coordinate, others may cover two or more coordinates
// Find out how many dimensions the current prior covers.
NdimensionsOfCurrentPrior = ptrPriors[i]->getNdimensions();
// Draw the subset of coordinates randomly from the current prior
priorSample.resize(NdimensionsOfCurrentPrior, NlivePoints);
ptrPriors[i]->draw(priorSample);
// Insert this random subset of coordinates into the total sample of coordinates of points
nestedSample.block(beginIndex, 0, NdimensionsOfCurrentPrior, NlivePoints) = priorSample;
// Move index to the beginning of the coordinate set of the next prior
beginIndex += NdimensionsOfCurrentPrior;
}
// Compute the log(Likelihood) for each of our points in the live sample
logLikelihood.resize(NlivePoints);
for (int i = 0; i < NlivePoints; ++i)
{
logLikelihood(i) = likelihood.logValue(nestedSample.col(i));
}
// Initialize the prior mass interval and cumulate it
double logWidthInPriorMass = log(1.0 - exp(-1.0/NlivePoints)); // X_0 - X_1 First width in prior mass
logCumulatedPriorMass = Functions::logExpSum(logCumulatedPriorMass, logWidthInPriorMass); // 1 - X_1
logRemainingPriorMass = Functions::logExpDifference(logRemainingPriorMass, logWidthInPriorMass); // X_1
// Initialize first part of width in prior mass for trapezoidal rule
// X_0 = (2 - X_1), right-side boundary condition for trapezoidal rule
double logRemainingPriorMassRightBound = Functions::logExpDifference(log(2), logRemainingPriorMass);
double logWidthInPriorMassRight = Functions::logExpDifference(logRemainingPriorMassRightBound,logRemainingPriorMass);
// Find maximum log(Likelihood) value in the initial sample of live points.
// This information can be useful when reducing the number of live points adopted within the nesting process.
logMaxLikelihoodOfLivePoints = logLikelihood.maxCoeff();
// The nested sampling will involve finding clusters in the sample.
// This will require the containers clusterIndices and clusterSizes.
unsigned int Nclusters = 0;
vector<int> clusterIndices(NlivePoints); // clusterIndices must have the same number of elements as the number of live points
vector<int> clusterSizes; // The number of live points counted in each cluster is updated everytime one live point
// is removed from the sample.
// Start the nested sampling loop. Each iteration, we'll replace the point with the worst likelihood.
// New points are drawn from the prior, but with the constraint that they should have a likelihood
// that is better than the currently worst one.
if (printOnTheScreen)
{
cerr << "-------------------------------" << endl;
cerr << " Starting nested sampling... " << endl;
cerr << "-------------------------------" << endl;
cerr << endl;
}
bool nestedSamplingShouldContinue = true;
bool livePointsShouldBeReduced = (initialNlivePoints > minNlivePoints); // Update live points only if required
Niterations = 0;
do
{
// Resize the arrays to make room for an additional point.
// Do so without destroying the original contents.
posteriorSample.conservativeResize(Ndimensions, Niterations + 1);
logLikelihoodOfPosteriorSample.conservativeResize(Niterations + 1);
logWeightOfPosteriorSample.conservativeResize(Niterations + 1);
// Find the point with the worst likelihood. This likelihood value will set a constraint
// when drawing new points later on.
int indexOfLivePointWithWorstLikelihood;
worstLiveLogLikelihood = logLikelihood.minCoeff(&indexOfLivePointWithWorstLikelihood);
// Although we will replace the point with the worst likelihood in the live sample, we will save
// it in our collection of posterior sample. Also save its likelihood value. The weight is
// computed and collected at the end of each iteration.
posteriorSample.col(Niterations) = nestedSample.col(indexOfLivePointWithWorstLikelihood);
logLikelihoodOfPosteriorSample(Niterations) = worstLiveLogLikelihood;
// Compute the (logarithm of) the mean likelihood of the set of live points.
// Note that we are not computing mean(log(likelihood)) but log(mean(likelhood)).
// Since we are only storing the log(likelihood) values, this results in a peculiar
// way of computing the mean. This will be used for computing the mean live evidence
// at the end of the iteration.
logMeanLikelihoodOfLivePoints = logLikelihood(0);
for (int m = 1; m < NlivePoints; m++)
{
logMeanLikelihoodOfLivePoints = Functions::logExpSum(logMeanLikelihoodOfLivePoints, logLikelihood(m));
}
logMeanLikelihoodOfLivePoints -= log(NlivePoints);
// Find clusters in our live sample of points. Don't do this every iteration but only
// every x iterations, where x is given by 'NiterationsWithSameClustering'.
if ((Niterations % NiterationsWithSameClustering) == 0)
{
// Don't do clustering the first N iterations, where N is user-specified. That is,
// the first N iterations we assume that there is only 1 cluster containing all the points.
// This is often useful because initially the points may be sampled from a uniform prior,
// and we therefore don't expect any clustering _before_ the algorithm is able to tune in on
// the island(s) of high likelihood. Clusters found in the first N initial iterations are
// therefore likely purely noise.
if (Niterations < NinitialIterationsWithoutClustering)
{
// There is only 1 cluster, containing all objects. All points have the same cluster
// index, namely 0.
Nclusters = 1;
clusterSizes.resize(1);
clusterSizes[0] = NlivePoints;
fill(clusterIndices.begin(), clusterIndices.end(), 0);
}
else
{
// After the first N initial iterations, we do a proper clustering.
Nclusters = clusterer.cluster(nestedSample, clusterIndices, clusterSizes);
}
}
// Draw a new point, which should replace the point with the worst likelihood.
// This new point should be drawn from the prior, but with a likelihood greater
// than the current worst likelihood. The drawing algorithm may need a starting point,
// for which we will take a randomly chosen point of the live sample (excluding the
// worst point).
int indexOfRandomlyChosenLivePoint = 0;
if (NlivePoints > 1)
{
// Select randomly an index of a sample point, but not the one of the worst point
do
{
// 0 <= indexOfRandomlyChosenLivePoint < NlivePoints
indexOfRandomlyChosenLivePoint = discreteUniform(engine);
}
while (indexOfRandomlyChosenLivePoint == indexOfLivePointWithWorstLikelihood);
}
// drawnPoint will be a starting point as input, and will contain the newly drawn point as output
ArrayXd drawnPoint = nestedSample.col(indexOfRandomlyChosenLivePoint);
double logLikelihoodOfDrawnPoint = 0.0;
bool newPointIsFound = drawWithConstraint(nestedSample, Nclusters, clusterIndices, clusterSizes,
drawnPoint, logLikelihoodOfDrawnPoint, maxNdrawAttempts);
// If the adopted sampler produces an error (e.g. in the case of the ellipsoidal sampler a failure
// in the ellipsoid matrix decomposition), then we can stop right here.
nestedSamplingShouldContinue = verifySamplerStatus();
if (!nestedSamplingShouldContinue) break;
// If we didn't find a point with a better likelihood, then we can stop right here.
if (!newPointIsFound)
{
nestedSamplingShouldContinue = false;
cerr << "Can't find point with a better Likelihood." << endl;
cerr << "Stopping the nested sampling loop prematurely." << endl;
break;
}
// Replace the point having the worst likelihood with our newly drawn one.
nestedSample.col(indexOfLivePointWithWorstLikelihood) = drawnPoint;
logLikelihood(indexOfLivePointWithWorstLikelihood) = logLikelihoodOfDrawnPoint;
// If we got till here this is not the last iteration possible, hence
// update all the information for the next iteration.
// Check if the number of live points has not reached the minimum allowed,
// and update it for the next iteration.
if (livePointsShouldBeReduced)
{
// Update the number of live points for the current iteration based on the previous number.
// If the number of live points reaches the minimum allowed
// then do not update the number anymore.
updatedNlivePoints = livePointsReducer.updateNlivePoints();
if (updatedNlivePoints > NlivePoints)
{
// Terminate program if new number of live points is greater than previous one
cerr << "Something went wrong in the reduction of the live points." << endl;
cerr << "The new number of live points is greater than the previous one." << endl;
cerr << "Quitting program. " << endl;
break;
}
// If the lower bound for the number of live points has not been reached yet,
// the process should be repeated at the next iteration.
// Otherwise the minimun number allowed is reached right now. In this case
// stop the reduction process starting from the next iteration.
livePointsShouldBeReduced = (updatedNlivePoints > minNlivePoints);
if (updatedNlivePoints != NlivePoints)
{
// Resize all eigen arrays and vectors of dimensions NlivePoints according to
// new number of live points evaluated. In case previos and new number
// of live points coincide, no resizing is done.
vector<int> indicesOfLivePointsToRemove = livePointsReducer.findIndicesOfLivePointsToRemove(engine);
// At least one live point has to be removed, hence update the sample
removeLivePointsFromSample(indicesOfLivePointsToRemove, clusterIndices, clusterSizes);
// Since everything is fine update discreteUniform with the corresponding new upper bound
uniform_int_distribution<int> discreteUniform2(0, updatedNlivePoints-1);
discreteUniform = discreteUniform2;
}
}
// Store the new number of live points in the vector containing this information.
// This is done even if the new number is the same as the previous one.
NlivePointsPerIteration.push_back(NlivePoints);
// Compute the mean live evidence given the previous set of live points (see Keeton 2011, MNRAS)
logMeanLiveEvidence = logMeanLikelihoodOfLivePoints + Niterations * (log(NlivePoints) - log(NlivePoints + 1));
// Compute the ratio of the evidence of the live sample to the current Skilling's evidence.
// Only when we gathered enough evidence, this ratio will be sufficiently small so that we can stop the iterations.
ratioOfRemainderToCurrentEvidence = exp(logMeanLiveEvidence - logEvidence);
// Re-evaluate the stopping criterion, using the condition suggested by Keeton (2011)
nestedSamplingShouldContinue = (ratioOfRemainderToCurrentEvidence > maxRatioOfRemainderToCurrentEvidence);
// Shrink prior mass interval according to proper number of live points
// (see documentation by Enrico Corsaro October 2013). When reducing the number of live points
// the equation is a generalized version of that used by Skilling 2004. The equation
// reduces to the standard case when the new number of live points is the same
// as the previous one.
// ---- Use the line below for simple rectangular rule ----
// double logWeight = logWidthInPriorMass;
// --------------------------------------------------------
double logStretchingFactor = Niterations*((1.0/NlivePoints) - (1.0/updatedNlivePoints));
logWidthInPriorMass = logRemainingPriorMass + Functions::logExpDifference(0.0, logStretchingFactor - 1.0/updatedNlivePoints); // X_i - X_(i+1)
// Compute the logWeight according to the trapezoidal rule 0.5*(X_(i-1) - X_(i+1))
// and new contribution of evidence to be cumulated to the total evidence.
// This is done in logarithmic scale by summing the right (X_(i-1) - X_i) and left part (X_i - X_(i+1))
// of the total width in prior mass required for the trapezoidal rule. We do this computation at the end
// of the nested iteration because we need to know the new remaining prior mass of the next iteration.
double logWidthInPriorMassLeft = logWidthInPriorMass;
// ---- Use the line below for trapezoidal rule ----
double logWeight = log(0.5) + Functions::logExpSum(logWidthInPriorMassLeft, logWidthInPriorMassRight);
double logEvidenceContributionNew = logWeight + worstLiveLogLikelihood;
// Save log(Weight) of the current iteration
logWeightOfPosteriorSample(Niterations) = logWeight;
// Update the right part of the width in prior mass interval by replacing it with the left part
logWidthInPriorMassRight = logWidthInPriorMass;
// Update the evidence and the information Gain
double logEvidenceNew = Functions::logExpSum(logEvidence, logEvidenceContributionNew);
informationGain = exp(logEvidenceContributionNew - logEvidenceNew) * worstLiveLogLikelihood
+ exp(logEvidence - logEvidenceNew) * (informationGain + logEvidence)
- logEvidenceNew;
logEvidence = logEvidenceNew;
// Print current information on the screen, if required
if (printOnTheScreen)
{
if ((Niterations % 50) == 0)
{
cerr << "Nit: " << Niterations
<< " Ncl: " << Nclusters
<< " Nlive: " << NlivePoints
<< " CPM: " << exp(logCumulatedPriorMass)
<< " Ratio: " << ratioOfRemainderToCurrentEvidence
<< " log(E): " << logEvidence
<< " IG: " << informationGain
<< endl;
}
}
// Update total width in prior mass and remaining width in prior mass from beginning to current iteration
// and use this information for the next iteration (if any)
logCumulatedPriorMass = Functions::logExpSum(logCumulatedPriorMass, logWidthInPriorMass);
logRemainingPriorMass = logStretchingFactor + logRemainingPriorMass - 1.0/updatedNlivePoints;
// Update new number of live points in NestedSampler class
NlivePoints = updatedNlivePoints;
// Increase nested loop counter
Niterations++;
}
while (nestedSamplingShouldContinue);
// Add the remaining live sample of points to our collection of posterior points
// (i.e parameter coordinates, likelihood values and weights)
unsigned int oldNpointsInPosterior = posteriorSample.cols();
posteriorSample.conservativeResize(Ndimensions, oldNpointsInPosterior + NlivePoints); // First make enough room
posteriorSample.block(0, oldNpointsInPosterior, Ndimensions, NlivePoints) = nestedSample; // Then copy the live sample to the posterior array
logWeightOfPosteriorSample.conservativeResize(oldNpointsInPosterior + NlivePoints);
logWeightOfPosteriorSample.segment(oldNpointsInPosterior, NlivePoints).fill(logRemainingPriorMass - log(NlivePoints)); // Check if the best condition to impose
logLikelihoodOfPosteriorSample.conservativeResize(oldNpointsInPosterior + NlivePoints);
logLikelihoodOfPosteriorSample.segment(oldNpointsInPosterior, NlivePoints) = logLikelihood;
// Compute Skilling's error on the log(Evidence)
logEvidenceError = sqrt(fabs(informationGain)/NlivePoints);
// Add Mean Live Evidence of the remaining live sample of points to the total log(Evidence) collected
logEvidence = Functions::logExpSum(logMeanLiveEvidence, logEvidence);
if (printOnTheScreen)
{
cerr << "------------------------------------------------" << endl;
cerr << " Final log(E): " << logEvidence << " +/- " << logEvidenceError << endl;
cerr << "------------------------------------------------" << endl;
}
// Print total computational time
printComputationalTime(startTime);
// Append information to existing output file and close stream afterwards
outputFile << Niterations << endl;
outputFile << static_cast<int>((NlivePoints*informationGain) + (NlivePoints*sqrt(Ndimensions*1.0))) << endl;
outputFile << Nclusters << endl;
outputFile << NlivePoints << endl;
outputFile << computationalTime << endl;
}
bool CMT::Mixture::train(
const MatrixXd& data,
const Parameters& parameters,
const Component::Parameters& componentParameters)
{
if(data.rows() != dim())
throw Exception("Data has wrong dimensionality.");
if(parameters.initialize && !initialized())
initialize(data, parameters, componentParameters);
ArrayXXd logJoint(numComponents(), data.cols());
Array<double, Dynamic, 1> postSum;
Array<double, 1, Dynamic> logLik;
ArrayXXd post;
ArrayXXd weights;
double avgLogLoss = numeric_limits<double>::infinity();
double avgLogLossNew;
for(int i = 0; i < parameters.maxIter; ++i) {
// compute joint probability of data and assignments (E)
#pragma omp parallel for
for(int k = 0; k < numComponents(); ++k)
logJoint.row(k) = mComponents[k]->logLikelihood(data) + log(mPriors[k]);
// compute normalized posterior (E)
logLik = logSumExp(logJoint);
// average negative log-likelihood in bits per component
avgLogLossNew = -logLik.mean() / log(2.) / dim();
if(parameters.verbosity > 0)
cout << setw(6) << i << setw(14) << setprecision(7) << avgLogLossNew << endl;
// test for convergence
if(avgLogLoss - avgLogLossNew < parameters.threshold)
return true;
avgLogLoss = avgLogLossNew;
// compute normalized posterior (E)
post = (logJoint.rowwise() - logLik).exp();
postSum = post.rowwise().sum();
weights = post.colwise() / postSum;
// optimize prior weights (M)
if(parameters.trainPriors) {
mPriors = postSum / data.cols() + parameters.regularizePriors;
mPriors /= mPriors.sum();
}
// optimize components (M)
if(parameters.trainComponents) {
#pragma omp parallel for
for(int k = 0; k < numComponents(); ++k)
mComponents[k]->train(data, weights.row(k), componentParameters);
} else {
return true;
}
}
if(parameters.verbosity > 0)
cout << setw(6) << parameters.maxIter << setw(14) << setprecision(7) << evaluate(data) << endl;
return false;
}
