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# 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 collections
import io
import os
import pkgutil
import urllib.request
import warnings
from copy import copy
from typing import Any, Dict, List, Optional, Sequence, Tuple, Union, cast
import aesara
import aesara.tensor as at
import numpy as np
from aesara.compile.sharedvalue import SharedVariable
from aesara.graph.basic import Apply
from aesara.tensor.type import TensorType
from aesara.tensor.var import TensorConstant, TensorVariable
import pymc as pm
from pymc.aesaraf import convert_observed_data
__all__ = [
"get_data",
"GeneratorAdapter",
"Minibatch",
"align_minibatches",
"Data",
"ConstantData",
"MutableData",
]
BASE_URL = "https://raw.githubusercontent.com/pymc-devs/pymc-examples/main/examples/data/{filename}"
def get_data(filename):
"""Returns a BytesIO object for a package data file.
Parameters
----------
filename: str
file to load
Returns
-------
BytesIO of the data
"""
data_pkg = "pymc.tests"
try:
content = pkgutil.get_data(data_pkg, os.path.join("data", filename))
except FileNotFoundError:
with urllib.request.urlopen(BASE_URL.format(filename=filename)) as handle:
content = handle.read()
return io.BytesIO(content)
class GenTensorVariable(TensorVariable):
def __init__(self, op, type, name=None):
super().__init__(type=type, owner=None, name=name)
self.op = op
def set_gen(self, gen):
self.op.set_gen(gen)
def set_default(self, value):
self.op.set_default(value)
def clone(self):
cp = self.__class__(self.op, self.type, self.name)
cp.tag = copy(self.tag)
return cp
class GeneratorAdapter:
"""
Helper class that helps to infer data type of generator with looking
at the first item, preserving the order of the resulting generator
"""
def make_variable(self, gop, name=None):
var = GenTensorVariable(gop, self.tensortype, name)
var.tag.test_value = self.test_value
return var
def __init__(self, generator):
if not pm.vartypes.isgenerator(generator):
raise TypeError("Object should be generator like")
self.test_value = pm.smartfloatX(copy(next(generator)))
# make pickling potentially possible
self._yielded_test_value = False
self.gen = generator
self.tensortype = TensorType(self.test_value.dtype, ((False,) * self.test_value.ndim))
# python3 generator
def __next__(self):
if not self._yielded_test_value:
self._yielded_test_value = True
return self.test_value
else:
return pm.smartfloatX(copy(next(self.gen)))
# python2 generator
next = __next__
def __iter__(self):
return self
def __eq__(self, other):
return id(self) == id(other)
def __hash__(self):
return hash(id(self))
class Minibatch(TensorVariable):
"""Multidimensional minibatch that is pure TensorVariable
Parameters
----------
data: np.ndarray
initial data
batch_size: ``int`` or ``List[int|tuple(size, random_seed)]``
batch size for inference, random seed is needed
for child random generators
dtype: ``str``
cast data to specific type
broadcastable: tuple[bool]
change broadcastable pattern that defaults to ``(False, ) * ndim``
name: ``str``
name for tensor, defaults to "Minibatch"
random_seed: ``int``
random seed that is used by default
update_shared_f: ``callable``
returns :class:`ndarray` that will be carefully
stored to underlying shared variable
you can use it to change source of
minibatches programmatically
in_memory_size: ``int`` or ``List[int|slice|Ellipsis]``
data size for storing in ``aesara.shared``
Attributes
----------
shared: shared tensor
Used for storing data
minibatch: minibatch tensor
Used for training
Notes
-----
Below is a common use case of Minibatch with variational inference.
Importantly, we need to make PyMC "aware" that a minibatch is being used in inference.
Otherwise, we will get the wrong :math:`logp` for the model.
the density of the model ``logp`` that is affected by Minibatch. See more in the examples below.
To do so, we need to pass the ``total_size`` parameter to the observed node, which correctly scales
the density of the model ``logp`` that is affected by Minibatch. See more in the examples below.
Examples
--------
Consider we have `data` as follows:
>>> data = np.random.rand(100, 100)
if we want a 1d slice of size 10 we do
>>> x = Minibatch(data, batch_size=10)
Note that your data is cast to ``floatX`` if it is not integer type
But you still can add the ``dtype`` kwarg for :class:`Minibatch`
if you need more control.
If we want 10 sampled rows and columns
``[(size, seed), (size, seed)]`` we can use
>>> x = Minibatch(data, batch_size=[(10, 42), (10, 42)], dtype='int32')
>>> assert str(x.dtype) == 'int32'
Or, more simply, we can use the default random seed = 42
``[size, size]``
>>> x = Minibatch(data, batch_size=[10, 10])
In the above, `x` is a regular :class:`TensorVariable` that supports any math operations:
>>> assert x.eval().shape == (10, 10)
You can pass the Minibatch `x` to your desired model:
>>> with pm.Model() as model:
... mu = pm.Flat('mu')
... sigma = pm.HalfNormal('sigma')
... lik = pm.Normal('lik', mu, sigma, observed=x, total_size=(100, 100))
Then you can perform regular Variational Inference out of the box
>>> with model:
... approx = pm.fit()
Important note: :class:``Minibatch`` has ``shared``, and ``minibatch`` attributes
you can call later:
>>> x.set_value(np.random.laplace(size=(100, 100)))
and minibatches will be then from new storage
it directly affects ``x.shared``.
A less convenient convenient, but more explicit, way to achieve the same
thing:
>>> x.shared.set_value(pm.floatX(np.random.laplace(size=(100, 100))))
The programmatic way to change storage is as follows
I import ``partial`` for simplicity
>>> from functools import partial
>>> datagen = partial(np.random.laplace, size=(100, 100))
>>> x = Minibatch(datagen(), batch_size=10, update_shared_f=datagen)
>>> x.update_shared()
To be more concrete about how we create a minibatch, here is a demo:
1. create a shared variable
>>> shared = aesara.shared(data)
2. take a random slice of size 10:
>>> ridx = pm.at_rng().uniform(size=(10,), low=0, high=data.shape[0]-1e-10).astype('int64')
3) take the resulting slice:
>>> minibatch = shared[ridx]
That's done. Now you can use this minibatch somewhere else.
You can see that the implementation does not require a fixed shape
for the shared variable. Feel free to use that if needed.
*FIXME: What is "that" which we can use here? A fixed shape? Should this say
"but feel free to put a fixed shape on the shared variable, if appropriate?"*
Suppose you need to make some replacements in the graph, e.g. change the minibatch to testdata
>>> node = x ** 2 # arbitrary expressions on minibatch `x`
>>> testdata = pm.floatX(np.random.laplace(size=(1000, 10)))
Then you should create a `dict` with replacements:
>>> replacements = {x: testdata}
>>> rnode = aesara.clone_replace(node, replacements)
>>> assert (testdata ** 2 == rnode.eval()).all()
*FIXME: In the following, what is the **reason** to replace the Minibatch variable with
its shared variable? And in the following, the `rnode` is a **new** node, not a modification
of a previously existing node, correct?*
To replace a minibatch with its shared variable you should do
the same things. The Minibatch variable is accessible through the `minibatch` attribute.
For example
>>> replacements = {x.minibatch: x.shared}
>>> rnode = aesara.clone_replace(node, replacements)
For more complex slices some more code is needed that can seem not so clear
>>> moredata = np.random.rand(10, 20, 30, 40, 50)
The default ``total_size`` that can be passed to PyMC random node
is then ``(10, 20, 30, 40, 50)`` but can be less verbose in some cases
1. Advanced indexing, ``total_size = (10, Ellipsis, 50)``
>>> x = Minibatch(moredata, [2, Ellipsis, 10])
We take the slice only for the first and last dimension
>>> assert x.eval().shape == (2, 20, 30, 40, 10)
2. Skipping a particular dimension, ``total_size = (10, None, 30)``:
>>> x = Minibatch(moredata, [2, None, 20])
>>> assert x.eval().shape == (2, 20, 20, 40, 50)
3. Mixing both of these together, ``total_size = (10, None, 30, Ellipsis, 50)``:
>>> x = Minibatch(moredata, [2, None, 20, Ellipsis, 10])
>>> assert x.eval().shape == (2, 20, 20, 40, 10)
"""
RNG: Dict[str, List[Any]] = collections.defaultdict(list)
@aesara.config.change_flags(compute_test_value="raise")
def __init__(
self,
data,
batch_size=128,
dtype=None,
broadcastable=None,
shape=None,
name="Minibatch",
random_seed=42,
update_shared_f=None,
in_memory_size=None,
):
if dtype is None:
data = pm.smartfloatX(np.asarray(data))
else:
data = np.asarray(data, dtype)
in_memory_slc = self.make_static_slices(in_memory_size)
self.shared = aesara.shared(data[tuple(in_memory_slc)])
self.update_shared_f = update_shared_f
self.random_slc = self.make_random_slices(self.shared.shape, batch_size, random_seed)
minibatch = self.shared[self.random_slc]
if broadcastable is not None:
warnings.warn(
"Minibatch `broadcastable` argument is deprecated. Use `shape` instead",
FutureWarning,
)
assert shape is None
shape = [1 if b else None for b in broadcastable]
if shape is not None:
minibatch = at.specify_shape(minibatch, shape)
self.minibatch = minibatch
super().__init__(self.minibatch.type, None, None, name=name)
Apply(aesara.compile.view_op, inputs=[self.minibatch], outputs=[self])
self.tag.test_value = copy(self.minibatch.tag.test_value)
def rslice(self, total, size, seed):
if size is None:
return slice(None)
elif isinstance(size, int):
rng = pm.at_rng(seed)
Minibatch.RNG[id(self)].append(rng)
return rng.uniform(size=(size,), low=0.0, high=pm.floatX(total) - 1e-16).astype("int64")
else:
raise TypeError("Unrecognized size type, %r" % size)
def __del__(self):
del Minibatch.RNG[id(self)]
@staticmethod
def make_static_slices(user_size):
if user_size is None:
return [Ellipsis]
elif isinstance(user_size, int):
return slice(None, user_size)
elif isinstance(user_size, (list, tuple)):
slc = list()
for i in user_size:
if isinstance(i, int):
slc.append(i)
elif i is None:
slc.append(slice(None))
elif i is Ellipsis:
slc.append(Ellipsis)
elif isinstance(i, slice):
slc.append(i)
else:
raise TypeError("Unrecognized size type, %r" % user_size)
return slc
else:
raise TypeError("Unrecognized size type, %r" % user_size)
def make_random_slices(self, in_memory_shape, batch_size, default_random_seed):
if batch_size is None:
return [Ellipsis]
elif isinstance(batch_size, int):
slc = [self.rslice(in_memory_shape[0], batch_size, default_random_seed)]
elif isinstance(batch_size, (list, tuple)):
def check(t):
if t is Ellipsis or t is None:
return True
else:
if isinstance(t, (tuple, list)):
if not len(t) == 2:
return False
else:
return isinstance(t[0], int) and isinstance(t[1], int)
elif isinstance(t, int):
return True
else:
return False
# end check definition
if not all(check(t) for t in batch_size):
raise TypeError(
"Unrecognized `batch_size` type, expected "
"int or List[int|tuple(size, random_seed)] where "
"size and random seed are both ints, got %r" % batch_size
)
batch_size = [(i, default_random_seed) if isinstance(i, int) else i for i in batch_size]
shape = in_memory_shape
if Ellipsis in batch_size:
sep = batch_size.index(Ellipsis)
begin = batch_size[:sep]
end = batch_size[sep + 1 :]
if Ellipsis in end:
raise ValueError(
"Double Ellipsis in `batch_size` is restricted, got %r" % batch_size
)
if len(end) > 0:
shp_mid = shape[sep : -len(end)]
mid = [at.arange(s) for s in shp_mid]
else:
mid = []
else:
begin = batch_size
end = []
mid = []
if (len(begin) + len(end)) > len(in_memory_shape.eval()):
raise ValueError(
"Length of `batch_size` is too big, "
"number of ints is bigger that ndim, got %r" % batch_size
)
if len(end) > 0:
shp_end = shape[-len(end) :]
else:
shp_end = np.asarray([])
shp_begin = shape[: len(begin)]
slc_begin = [
self.rslice(shp_begin[i], t[0], t[1]) if t is not None else at.arange(shp_begin[i])
for i, t in enumerate(begin)
]
slc_end = [
self.rslice(shp_end[i], t[0], t[1]) if t is not None else at.arange(shp_end[i])
for i, t in enumerate(end)
]
slc = slc_begin + mid + slc_end
else:
raise TypeError("Unrecognized size type, %r" % batch_size)
return pm.aesaraf.ix_(*slc)
def update_shared(self):
if self.update_shared_f is None:
raise NotImplementedError("No `update_shared_f` was provided to `__init__`")
self.set_value(np.asarray(self.update_shared_f(), self.dtype))
def set_value(self, value):
self.shared.set_value(np.asarray(value, self.dtype))
def clone(self):
ret = self.type()
ret.name = self.name
ret.tag = copy(self.tag)
return ret
def align_minibatches(batches=None):
if batches is None:
for rngs in Minibatch.RNG.values():
for rng in rngs:
rng.seed()
else:
for b in batches:
if not isinstance(b, Minibatch):
raise TypeError(f"{b} is not a Minibatch")
for rng in Minibatch.RNG[id(b)]:
rng.seed()
def determine_coords(
model,
value,
dims: Optional[Sequence[Optional[str]]] = None,
coords: Optional[Dict[str, Sequence]] = None,
) -> Tuple[Dict[str, Sequence], Sequence[Optional[str]]]:
"""Determines coordinate values from data or the model (via ``dims``)."""
if coords is None:
coords = {}
# If value is a df or a series, we interpret the index as coords:
if hasattr(value, "index"):
dim_name = None
if dims is not None:
dim_name = dims[0]
if dim_name is None and value.index.name is not None:
dim_name = value.index.name
if dim_name is not None:
coords[dim_name] = value.index
# If value is a df, we also interpret the columns as coords:
if hasattr(value, "columns"):
dim_name = None
if dims is not None:
dim_name = dims[1]
if dim_name is None and value.columns.name is not None:
dim_name = value.columns.name
if dim_name is not None:
coords[dim_name] = value.columns
if isinstance(value, np.ndarray) and dims is not None:
if len(dims) != value.ndim:
raise pm.exceptions.ShapeError(
"Invalid data shape. The rank of the dataset must match the " "length of `dims`.",
actual=value.shape,
expected=value.ndim,
)
for size, dim in zip(value.shape, dims):
coord = model.coords.get(dim, None)
if coord is None and dim is not None:
coords[dim] = range(size)
if dims is None:
# TODO: Also determine dim names from the index
dims = [None] * np.ndim(value)
return coords, dims
def ConstantData(
name: str,
value,
*,
dims: Optional[Sequence[str]] = None,
coords: Optional[Dict[str, Sequence]] = None,
export_index_as_coords=False,
**kwargs,
) -> TensorConstant:
"""Alias for ``pm.Data(..., mutable=False)``.
Registers the ``value`` as a :class:`~aesara.tensor.TensorConstant` with the model.
For more information, please reference :class:`pymc.Data`.
"""
var = Data(
name,
value,
dims=dims,
coords=coords,
export_index_as_coords=export_index_as_coords,
mutable=False,
**kwargs,
)
return cast(TensorConstant, var)
def MutableData(
name: str,
value,
*,
dims: Optional[Sequence[str]] = None,
coords: Optional[Dict[str, Sequence]] = None,
export_index_as_coords=False,
**kwargs,
) -> SharedVariable:
"""Alias for ``pm.Data(..., mutable=True)``.
Registers the ``value`` as a :class:`~aesara.compile.sharedvalue.SharedVariable`
with the model. For more information, please reference :class:`pymc.Data`.
"""
var = Data(
name,
value,
dims=dims,
coords=coords,
export_index_as_coords=export_index_as_coords,
mutable=True,
**kwargs,
)
return cast(SharedVariable, var)
def Data(
name: str,
value,
*,
dims: Optional[Sequence[str]] = None,
coords: Optional[Dict[str, Sequence]] = None,
export_index_as_coords=False,
mutable: Optional[bool] = None,
**kwargs,
) -> Union[SharedVariable, TensorConstant]:
"""Data container that registers a data variable with the model.
Depending on the ``mutable`` setting (default: True), the variable
is registered as a :class:`~aesara.compile.sharedvalue.SharedVariable`,
enabling it to be altered in value and shape, but NOT in dimensionality using
:func:`pymc.set_data`.
To set the value of the data container variable, check out
:meth:`pymc.Model.set_data`.
When making predictions or doing posterior predictive sampling, the shape of the
registered data variable will most likely need to be changed. If you encounter an
Aesara shape mismatch error, refer to the documentation for
:meth:`pymc.model.set_data`.
For more information, read the notebook :ref:`nb:data_container`.
Parameters
----------
name : str
The name for this variable.
value : array_like or pandas.Series, pandas.Dataframe
A value to associate with this variable.
dims : str or tuple of str, optional
Dimension names of the random variables (as opposed to the shapes of these
random variables). Use this when ``value`` is a pandas Series or DataFrame. The
``dims`` will then be the name of the Series / DataFrame's columns. See ArviZ
documentation for more information about dimensions and coordinates:
:ref:`arviz:quickstart`.
If this parameter is not specified, the random variables will not have dimension
names.
coords : dict, optional
Coordinate values to set for new dimensions introduced by this ``Data`` variable.
export_index_as_coords : bool, default=False
If True, the ``Data`` container will try to infer what the coordinates
and dimension names should be if there is an index in ``value``.
mutable : bool, optional
Switches between creating a :class:`~aesara.compile.sharedvalue.SharedVariable`
(``mutable=True``) vs. creating a :class:`~aesara.tensor.TensorConstant`
(``mutable=False``).
Consider using :class:`pymc.ConstantData` or :class:`pymc.MutableData` as less
verbose alternatives to ``pm.Data(..., mutable=...)``.
If this parameter is not specified, the value it takes will depend on the
version of the package. Since ``v4.1.0`` the default value is
``mutable=False``, with previous versions having ``mutable=True``.
**kwargs : dict, optional
Extra arguments passed to :func:`aesara.shared`.
Examples
--------
>>> import pymc as pm
>>> import numpy as np
>>> # We generate 10 datasets
>>> true_mu = [np.random.randn() for _ in range(10)]
>>> observed_data = [mu + np.random.randn(20) for mu in true_mu]
>>> with pm.Model() as model:
... data = pm.MutableData('data', observed_data[0])
... mu = pm.Normal('mu', 0, 10)
... pm.Normal('y', mu=mu, sigma=1, observed=data)
>>> # Generate one trace for each dataset
>>> idatas = []
>>> for data_vals in observed_data:
... with model:
... # Switch out the observed dataset
... model.set_data('data', data_vals)
... idatas.append(pm.sample())
"""
if coords is None:
coords = {}
if isinstance(value, list):
value = np.array(value)
# Add data container to the named variables of the model.
model = pm.Model.get_context(error_if_none=False)
if model is None:
raise TypeError(
"No model on context stack, which is needed to instantiate a data container. "
"Add variable inside a 'with model:' block."
)
name = model.name_for(name)
# `convert_observed_data` takes care of parameter `value` and
# transforms it to something digestible for Aesara.
arr = convert_observed_data(value)
if mutable is None:
warnings.warn(
"The `mutable` kwarg was not specified. Before v4.1.0 it defaulted to `pm.Data(mutable=True)`,"
" which is equivalent to using `pm.MutableData()`."
" In v4.1.0 the default changed to `pm.Data(mutable=False)`, equivalent to `pm.ConstantData`."
" Use `pm.ConstantData`/`pm.MutableData` or pass `pm.Data(..., mutable=False/True)` to avoid this warning.",
UserWarning,
)
mutable = False
if mutable:
x = aesara.shared(arr, name, **kwargs)
else:
x = at.as_tensor_variable(arr, name, **kwargs)
if isinstance(dims, str):
dims = (dims,)
if not (dims is None or len(dims) == x.ndim):
raise pm.exceptions.ShapeError(
"Length of `dims` must match the dimensions of the dataset.",
actual=len(dims),
expected=x.ndim,
)
# Optionally infer coords and dims from the input value.
if export_index_as_coords:
coords, dims = determine_coords(model, value, dims)
if dims:
if not mutable:
# Use the dimension lengths from the before it was tensorified.
# These can still be tensors, but in many cases they are numeric.
xshape = np.shape(arr)
else:
xshape = x.shape
# Register new dimension lengths
for d, dname in enumerate(dims):
if dname not in model.dim_lengths:
model.add_coord(
name=dname,
# Note: Coordinate values can't be taken from
# the value, because it could be N-dimensional.
values=coords.get(dname, None),
mutable=mutable,
length=xshape[d],
)
model.add_named_variable(x, dims=dims)
return x