# Copyright 2024 - present 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.
"""PyMC-ArviZ conversion code."""
import logging
import warnings
from collections.abc import Iterable, Mapping, Sequence
from typing import (
TYPE_CHECKING,
Any,
Optional,
Union,
cast,
)
import numpy as np
import xarray
from arviz import InferenceData, concat, rcParams
from arviz.data.base import CoordSpec, DimSpec, dict_to_dataset, requires
from pytensor.graph import ancestors
from pytensor.tensor.sharedvar import SharedVariable
from rich.progress import Console
from rich.theme import Theme
from xarray import Dataset
import pymc
from pymc.model import Model, modelcontext
from pymc.progress_bar import CustomProgress, default_progress_theme
from pymc.pytensorf import PointFunc, extract_obs_data
from pymc.util import get_default_varnames
if TYPE_CHECKING:
from pymc.backends.base import MultiTrace
___all__ = [""]
_log = logging.getLogger(__name__)
RAISE_ON_INCOMPATIBLE_COORD_LENGTHS = False
# random variable object ...
Var = Any
def dict_to_dataset_drop_incompatible_coords(vars_dict, *args, dims, coords, **kwargs):
safe_coords = coords
if not RAISE_ON_INCOMPATIBLE_COORD_LENGTHS:
coords_lengths = {k: len(v) for k, v in coords.items()}
for var_name, var in vars_dict.items():
# Iterate in reversed because of chain/draw batch dimensions
for dim, dim_length in zip(reversed(dims.get(var_name, ())), reversed(var.shape)):
coord_length = coords_lengths.get(dim, None)
if (coord_length is not None) and (coord_length != dim_length):
warnings.warn(
f"Incompatible coordinate length of {coord_length} for dimension '{dim}' of variable '{var_name}'.\n"
"This usually happens when a sliced or concatenated variable is wrapped as a `pymc.dims.Deterministic`."
"The originate coordinates for this dim will not be included in the returned dataset for any of the variables. "
"Instead they will default to `np.arange(var_length)` and the shorter variables will be right-padded with nan.\n"
"To make this warning into an error set `pymc.backends.arviz.RAISE_ON_INCOMPATIBLE_COORD_LENGTHS` to `True`",
UserWarning,
)
if safe_coords is coords:
safe_coords = coords.copy()
safe_coords.pop(dim)
coords_lengths.pop(dim)
# FIXME: Would be better to drop coordinates altogether, but arviz defaults to `np.arange(var_length)`
return dict_to_dataset(vars_dict, *args, dims=dims, coords=safe_coords, **kwargs)
def find_observations(model: "Model") -> dict[str, Var]:
"""If there are observations available, return them as a dictionary."""
observations = {}
for obs in model.observed_RVs:
aux_obs = model.rvs_to_values.get(obs, None)
if aux_obs is not None:
try:
obs_data = extract_obs_data(aux_obs)
observations[obs.name] = obs_data
except TypeError:
warnings.warn(f"Could not extract data from symbolic observation {obs}")
else:
warnings.warn(f"No data for observation {obs}")
return observations
def find_constants(model: "Model") -> dict[str, Var]:
"""If there are constants available, return them as a dictionary."""
model_vars = model.basic_RVs + model.deterministics + model.potentials
value_vars = set(model.rvs_to_values.values())
constant_data = {}
for var in model.data_vars:
if var in value_vars:
# An observed value variable could also be part of the generative graph
if var not in ancestors(model_vars):
continue
if isinstance(var, SharedVariable):
var_value = var.get_value()
else:
var_value = var.data
constant_data[var.name] = var_value
return constant_data
def coords_and_dims_for_inferencedata(model: Model) -> tuple[dict[str, Any], dict[str, Any]]:
"""Parse PyMC model coords and dims format to one accepted by InferenceData."""
coords = {
cname: np.array(cvals) if isinstance(cvals, tuple) else cvals
for cname, cvals in model.coords.items()
if cvals is not None
}
dims = {dname: list(dvals) for dname, dvals in model.named_vars_to_dims.items()}
return coords, dims
class _DefaultTrace:
"""
Utility for collecting samples into a dictionary.
Name comes from its similarity to ``defaultdict``:
entries are lazily created.
Parameters
----------
samples : int
The number of samples that will be collected, per variable,
into the trace.
Attributes
----------
trace_dict : Dict[str, np.ndarray]
A dictionary constituting a trace. Should be extracted
after a procedure has filled the `_DefaultTrace` using the
`insert()` method
"""
def __init__(self, samples: int):
self._len: int = samples
self.trace_dict: dict[str, np.ndarray] = {}
def insert(self, k: str, v, idx: int):
"""
Insert `v` as the value of the `idx`th sample for the variable `k`.
Parameters
----------
k: str
Name of the variable.
v: anything that can go into a numpy array (including a numpy array)
The value of the `idx`th sample from variable `k`
ids: int
The index of the sample we are inserting into the trace.
"""
value_shape = np.shape(v)
# initialize if necessary
if k not in self.trace_dict:
array_shape = (self._len, *value_shape)
self.trace_dict[k] = np.empty(array_shape, dtype=np.array(v).dtype)
# do the actual insertion
if value_shape == ():
self.trace_dict[k][idx] = v
else:
self.trace_dict[k][idx, :] = v
class InferenceDataConverter:
"""Encapsulate InferenceData specific logic."""
model: Model | None = None
posterior_predictive: Mapping[str, np.ndarray] | None = None
predictions: Mapping[str, np.ndarray] | None = None
prior: Mapping[str, np.ndarray] | None = None
def __init__(
self,
*,
trace=None,
prior=None,
posterior_predictive=None,
log_likelihood=False,
log_prior=False,
predictions=None,
coords: CoordSpec | None = None,
dims: DimSpec | None = None,
sample_dims: list | None = None,
model=None,
save_warmup: bool | None = None,
include_transformed: bool = False,
):
self.save_warmup = rcParams["data.save_warmup"] if save_warmup is None else save_warmup
self.include_transformed = include_transformed
self.trace = trace
# this permits us to get the model from command-line argument or from with model:
self.model = modelcontext(model)
self.attrs = None
if trace is not None:
self.nchains = trace.nchains if hasattr(trace, "nchains") else 1
if hasattr(trace.report, "n_draws") and trace.report.n_draws is not None:
self.ndraws = trace.report.n_draws
self.attrs = {
"sampling_time": trace.report.t_sampling,
"tuning_steps": trace.report.n_tune,
}
else:
self.ndraws = len(trace)
if self.save_warmup:
warnings.warn(
"Warmup samples will be stored in posterior group and will not be"
" excluded from stats and diagnostics."
" Do not slice the trace manually before conversion",
UserWarning,
)
self.ntune = len(self.trace) - self.ndraws
self.posterior_trace, self.warmup_trace = self.split_trace()
else:
self.nchains = self.ndraws = 0
self.prior = prior
self.posterior_predictive = posterior_predictive
self.log_likelihood = log_likelihood
self.log_prior = log_prior
self.predictions = predictions
if all(elem is None for elem in (trace, predictions, posterior_predictive, prior)):
raise ValueError(
"When constructing InferenceData you must pass at least"
" one of trace, prior, posterior_predictive or predictions."
)
user_coords = {} if coords is None else coords
user_dims = {} if dims is None else dims
model_coords, model_dims = coords_and_dims_for_inferencedata(self.model)
self.coords = {**model_coords, **user_coords}
self.dims = {**model_dims, **user_dims}
if sample_dims is None:
sample_dims = ["chain", "draw"]
self.sample_dims = sample_dims
self.observations = find_observations(self.model)
def split_trace(self) -> tuple[Union[None, "MultiTrace"], Union[None, "MultiTrace"]]:
"""Split MultiTrace object into posterior and warmup.
Returns
-------
trace_posterior: MultiTrace or None
The slice of the trace corresponding to the posterior. If the posterior
trace is empty, None is returned
trace_warmup: MultiTrace or None
The slice of the trace corresponding to the warmup. If the warmup trace is
empty or ``save_warmup=False``, None is returned
"""
trace_posterior = None
trace_warmup = None
if self.save_warmup and self.ntune > 0:
trace_warmup = self.trace[: self.ntune]
if self.ndraws > 0:
trace_posterior = self.trace[self.ntune :]
return trace_posterior, trace_warmup
@requires("trace")
def posterior_to_xarray(self):
"""Convert the posterior to an xarray dataset."""
var_names = get_default_varnames(
self.trace.varnames, include_transformed=self.include_transformed
)
data = {}
data_warmup = {}
for var_name in var_names:
if self.warmup_trace:
data_warmup[var_name] = np.array(
self.warmup_trace.get_values(var_name, combine=False, squeeze=False)
)
if self.posterior_trace:
data[var_name] = np.array(
self.posterior_trace.get_values(var_name, combine=False, squeeze=False)
)
return (
dict_to_dataset(
data,
library=pymc,
coords=self.coords,
dims=self.dims,
attrs=self.attrs,
),
dict_to_dataset(
data_warmup,
library=pymc,
coords=self.coords,
dims=self.dims,
attrs=self.attrs,
),
)
@requires("trace")
def sample_stats_to_xarray(self):
"""Extract sample_stats from PyMC trace."""
data = {}
rename_key = {
"model_logp": "lp",
"mean_tree_accept": "acceptance_rate",
"depth": "tree_depth",
"tree_size": "n_steps",
}
data = {}
data_warmup = {}
for stat in self.trace.stat_names:
name = rename_key.get(stat, stat)
if name == "tune":
continue
if self.warmup_trace:
data_warmup[name] = np.array(
self.warmup_trace.get_sampler_stats(stat, combine=False, squeeze=False)
)
if self.posterior_trace:
data[name] = np.array(
self.posterior_trace.get_sampler_stats(stat, combine=False, squeeze=False)
)
return (
dict_to_dataset(
data,
library=pymc,
dims=None,
coords=self.coords,
attrs=self.attrs,
),
dict_to_dataset(
data_warmup,
library=pymc,
dims=None,
coords=self.coords,
attrs=self.attrs,
),
)
@requires(["posterior_predictive"])
def posterior_predictive_to_xarray(self):
"""Convert posterior_predictive samples to xarray."""
data = self.posterior_predictive
dims = {var_name: self.sample_dims + self.dims.get(var_name, []) for var_name in data}
return dict_to_dataset(
data, library=pymc, coords=self.coords, dims=dims, default_dims=self.sample_dims
)
@requires(["predictions"])
def predictions_to_xarray(self):
"""Convert predictions (out of sample predictions) to xarray."""
data = self.predictions
dims = {var_name: self.sample_dims + self.dims.get(var_name, []) for var_name in data}
return dict_to_dataset(
data, library=pymc, coords=self.coords, dims=dims, default_dims=self.sample_dims
)
def priors_to_xarray(self):
"""Convert prior samples (and if possible prior predictive too) to xarray."""
if self.prior is None:
return {"prior": None, "prior_predictive": None}
if self.observations is not None:
prior_predictive_vars = list(set(self.observations).intersection(self.prior))
prior_vars = [key for key in self.prior.keys() if key not in prior_predictive_vars]
else:
prior_vars = list(self.prior.keys())
prior_predictive_vars = None
priors_dict = {}
for group, var_names in zip(
("prior", "prior_predictive"), (prior_vars, prior_predictive_vars)
):
priors_dict[group] = (
None
if var_names is None
else dict_to_dataset_drop_incompatible_coords(
{k: np.expand_dims(self.prior[k], 0) for k in var_names},
library=pymc,
coords=self.coords,
dims=self.dims,
)
)
return priors_dict
@requires("observations")
@requires("model")
def observed_data_to_xarray(self):
"""Convert observed data to xarray."""
if self.predictions:
return None
return dict_to_dataset(
self.observations,
library=pymc,
coords=self.coords,
dims=self.dims,
default_dims=[],
)
@requires("model")
def constant_data_to_xarray(self):
"""Convert constant data to xarray."""
constant_data = find_constants(self.model)
if not constant_data:
return None
xarray_dataset = dict_to_dataset(
constant_data,
library=pymc,
coords=self.coords,
dims=self.dims,
default_dims=[],
)
# provisional handling of scalars in constant
# data to prevent promotion to rank 1
# in the future this will be handled by arviz
scalars = [var_name for var_name, value in constant_data.items() if np.ndim(value) == 0]
for s in scalars:
s_dim_0_name = f"{s}_dim_0"
xarray_dataset = xarray_dataset.squeeze(s_dim_0_name, drop=True)
return xarray_dataset
def to_inference_data(self):
"""Convert all available data to an InferenceData object.
Note that if groups can not be created (e.g., there is no `trace`, so
the `posterior` and `sample_stats` can not be extracted), then the InferenceData
will not have those groups.
"""
id_dict = {
"posterior": self.posterior_to_xarray(),
"sample_stats": self.sample_stats_to_xarray(),
"posterior_predictive": self.posterior_predictive_to_xarray(),
"predictions": self.predictions_to_xarray(),
**self.priors_to_xarray(),
"observed_data": self.observed_data_to_xarray(),
}
if self.predictions:
id_dict["predictions_constant_data"] = self.constant_data_to_xarray()
else:
id_dict["constant_data"] = self.constant_data_to_xarray()
idata = InferenceData(save_warmup=self.save_warmup, **id_dict)
if self.log_likelihood:
from pymc.stats.log_density import compute_log_likelihood
idata = compute_log_likelihood(
idata,
var_names=None if self.log_likelihood is True else self.log_likelihood,
extend_inferencedata=True,
model=self.model,
sample_dims=self.sample_dims,
progressbar=False,
)
if self.log_prior:
from pymc.stats.log_density import compute_log_prior
idata = compute_log_prior(
idata,
var_names=None if self.log_prior is True else self.log_prior,
extend_inferencedata=True,
model=self.model,
sample_dims=self.sample_dims,
progressbar=False,
)
return idata
[docs]
def to_inference_data(
trace: Optional["MultiTrace"] = None,
*,
prior: Mapping[str, Any] | None = None,
posterior_predictive: Mapping[str, Any] | None = None,
log_likelihood: bool | Iterable[str] = False,
log_prior: bool | Iterable[str] = False,
coords: CoordSpec | None = None,
dims: DimSpec | None = None,
sample_dims: list | None = None,
model: Optional["Model"] = None,
save_warmup: bool | None = None,
include_transformed: bool = False,
) -> InferenceData:
"""Convert pymc data into an InferenceData object.
All three of them are optional arguments, but at least one of ``trace``,
``prior`` and ``posterior_predictive`` must be present.
For a usage example read the
:ref:`Creating InferenceData section on from_pymc <creating_InferenceData>`
Parameters
----------
trace : MultiTrace, optional
Trace generated from MCMC sampling. Output of
:func:`~pymc.sampling.sample`.
prior : dict, optional
Dictionary with the variable names as keys, and values numpy arrays
containing prior and prior predictive samples.
posterior_predictive : dict, optional
Dictionary with the variable names as keys, and values numpy arrays
containing posterior predictive samples.
log_likelihood : bool or array_like of str, optional
List of variables to calculate `log_likelihood`. Defaults to False.
If set to True, computes `log_likelihood` for all observed variables.
log_prior : bool or array_like of str, optional
List of variables to calculate `log_prior`. Defaults to False.
If set to True, computes `log_prior` for all unobserved variables.
coords : dict of {str: array-like}, optional
Map of coordinate names to coordinate values
dims : dict of {str: list of str}, optional
Map of variable names to the coordinate names to use to index its dimensions.
model : Model, optional
Model used to generate ``trace``. It is not necessary to pass ``model`` if in
``with`` context.
save_warmup : bool, optional
Save warmup iterations InferenceData object. If not defined, use default
defined by the rcParams.
include_transformed : bool, optional
Save the transformed parameters in the InferenceData object. By default, these are
not saved.
Returns
-------
arviz.InferenceData
"""
if isinstance(trace, InferenceData):
return trace
return InferenceDataConverter(
trace=trace,
prior=prior,
posterior_predictive=posterior_predictive,
log_likelihood=log_likelihood,
log_prior=log_prior,
coords=coords,
dims=dims,
sample_dims=sample_dims,
model=model,
save_warmup=save_warmup,
include_transformed=include_transformed,
).to_inference_data()
### Later I could have this return ``None`` if the ``idata_orig`` argument is supplied. But
### perhaps we should have an inplace argument?
[docs]
def predictions_to_inference_data(
predictions,
posterior_trace: Optional["MultiTrace"] = None,
model: Optional["Model"] = None,
coords: CoordSpec | None = None,
dims: DimSpec | None = None,
sample_dims: list | None = None,
idata_orig: InferenceData | None = None,
inplace: bool = False,
) -> InferenceData:
"""Translate out-of-sample predictions into ``InferenceData``.
Parameters
----------
predictions: Dict[str, np.ndarray]
The predictions are the return value of :func:`~pymc.sample_posterior_predictive`,
a dictionary of strings (variable names) to numpy ndarrays (draws).
Requires the arrays to follow the convention ``chain, draw, *shape``.
posterior_trace: MultiTrace
This should be a trace that has been thinned appropriately for
``pymc.sample_posterior_predictive``. Specifically, any variable whose shape is
a deterministic function of the shape of any predictor (explanatory, independent, etc.)
variables must be *removed* from this trace.
model: Model
The pymc model. It can be omitted if within a model context.
coords: Dict[str, array-like[Any]]
Coordinates for the variables. Map from coordinate names to coordinate values.
dims: Dict[str, array-like[str]]
Map from variable name to ordered set of coordinate names.
idata_orig: InferenceData, optional
If supplied, then modify this inference data in place, adding ``predictions`` and
(if available) ``predictions_constant_data`` groups. If this is not supplied, make a
fresh InferenceData
inplace: boolean, optional
If idata_orig is supplied and inplace is True, merge the predictions into idata_orig,
rather than returning a fresh InferenceData object.
Returns
-------
InferenceData:
May be modified ``idata_orig``.
"""
if inplace and not idata_orig:
raise ValueError(
"Do not pass True for inplace unless passing an existing InferenceData as idata_orig"
)
converter = InferenceDataConverter(
trace=posterior_trace,
predictions=predictions,
model=model,
coords=coords,
dims=dims,
sample_dims=sample_dims,
log_likelihood=False,
)
if hasattr(idata_orig, "posterior"):
assert idata_orig is not None
converter.nchains = idata_orig["posterior"].sizes["chain"]
converter.ndraws = idata_orig["posterior"].sizes["draw"]
else:
aelem = next(iter(predictions.values()))
converter.nchains, converter.ndraws = aelem.shape[:2]
new_idata = converter.to_inference_data()
if idata_orig is None:
return new_idata
elif inplace:
concat([idata_orig, new_idata], dim=None, inplace=True)
return idata_orig
else:
# if we are not returning in place, then merge the old groups into the new inference
# data and return that.
concat([new_idata, idata_orig], dim=None, copy=True, inplace=True)
return new_idata
def dataset_to_point_list(
ds: xarray.Dataset | dict[str, xarray.DataArray], sample_dims: Sequence[str]
) -> tuple[list[dict[str, np.ndarray]], dict[str, Any]]:
# All keys of the dataset must be a str
var_names = cast(list[str], list(ds.keys()))
for vn in var_names:
if not isinstance(vn, str):
raise ValueError(f"Variable names must be str, but dataset key {vn} is a {type(vn)}.")
num_sample_dims = len(sample_dims)
stacked_dims = {dim_name: ds[var_names[0]][dim_name] for dim_name in sample_dims}
transposed_dict = {vn: da.transpose(*sample_dims, ...) for vn, da in ds.items()}
stacked_size = np.prod(transposed_dict[var_names[0]].shape[:num_sample_dims], dtype=int)
stacked_dict = {
vn: da.values.reshape((stacked_size, *da.shape[num_sample_dims:]))
for vn, da in transposed_dict.items()
}
points = [
{vn: stacked_dict[vn][i, ...] for vn in var_names}
for i in range(np.prod([len(coords) for coords in stacked_dims.values()]))
]
# use the list of points
return cast(list[dict[str, np.ndarray]], points), stacked_dims
def apply_function_over_dataset(
fn: PointFunc,
dataset: Dataset,
*,
output_var_names: Sequence[str],
coords,
dims,
sample_dims: Sequence[str] = ("chain", "draw"),
progressbar: bool = True,
progressbar_theme: Theme | None = default_progress_theme,
) -> Dataset:
posterior_pts, stacked_dims = dataset_to_point_list(dataset, sample_dims)
n_pts = len(posterior_pts)
out_dict = _DefaultTrace(n_pts)
indices = range(n_pts)
with CustomProgress(
console=Console(theme=progressbar_theme), disable=not progressbar
) as progress:
task = progress.add_task("Computing ...", total=n_pts)
for idx in indices:
out = fn(posterior_pts[idx])
fn.f.trust_input = True # If we arrive here the dtypes are valid
for var_name, val in zip(output_var_names, out, strict=True):
out_dict.insert(var_name, val, idx)
progress.advance(task)
progress.update(task, refresh=True, completed=n_pts)
out_trace = out_dict.trace_dict
for key, val in out_trace.items():
out_trace[key] = val.reshape(
(
*[len(coord) for coord in stacked_dims.values()],
*val.shape[1:],
)
)
return dict_to_dataset(
out_trace,
library=pymc,
dims=dims,
coords=coords,
default_dims=list(sample_dims),
skip_event_dims=True,
)
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