Implement Laplace (quadratic) approximation (#345)

* First draft of quadratic approximation * [pre-commit.ci] auto fixes from pre-commit.com hooks for more information, see https://pre-commit.ci * Review comments incorporated * License and copyright information added * Only add additional data to inferencedata when chains!=0 * Raise error if Hessian is singular * Replace for loop with call to remove_value_transforms * Pass model directly when finding MAP and the Hessian * Update pymc_experimental/inference/laplace.py Co-authored-by: Ricardo Vieira <[email protected]> * Remove chains from public parameters for Laplace approx method * [pre-commit.ci] auto fixes from pre-commit.com hooks for more information, see https://pre-commit.ci * Parameter draws is not optional with default value 1000 * [pre-commit.ci] auto fixes from pre-commit.com hooks for more information, see https://pre-commit.ci * Add warning if numbers of variables in vars does not equal number of model variables * Update version.txt * `shock_size` should never be scalar * Blackjax API change * Handle latest PyMC/PyTensor breaking changes * Temporarily mark two tests as xfail * More bugfixes for statespace (#346) * Allow forward sampling of statespace models in JAX mode Explicitly set data shape to avoid broadcasting error Better handling of measurement error dims in `SARIMAX` models Freeze auxiliary models before forward sampling Bugfixes for posterior predictive sampling helpers Allow specification of time dimension name when registering data Save info about exogenous data for post-estimation tasks Restore `_exog_data_info` member variable Be more consistent with the names of filter outputs * Adjust test suite to reflect API changes Modify structural tests to accommodate deterministic models Save kalman filter outputs to idata for statespace tests Remove test related to `add_exogenous` Adjust structural module tests * Add JAX test suite * Bug-fixes and changes to statespace distributions Remove tests related to the `add_exogenous` method Add dummy `MvNormalSVDRV` for forward jax sampling with `method="SVD"` Dynamically generate `LinearGaussianStateSpaceRV` signature from inputs Add signature and simple test for `SequenceMvNormal` * Re-run example notebooks * Add helper function to sample prior/posterior statespace matrices * fix tests * Wrap jax MvNormal rewrite in try/except block * Don't use `action` keyword in `catch_warnings` * Skip JAX test if `numpyro` is not installed * Handle batch dims on `SequenceMvNormal` * Remove unused batch_dim logic in SequenceMvNormal * Restore `get_support_shape_1d` import * Fix failing test case for laplace --------- Co-authored-by: pre-commit-ci[bot] <66853113+pre-commit-ci[bot]@users.noreply.github.com> Co-authored-by: Ricardo Vieira <[email protected]> Co-authored-by: Jesse Grabowski <[email protected]> Co-authored-by: Ricardo Vieira <[email protected]> Co-authored-by: Jesse Grabowski <[email protected]>
pymc-devs · Jul 1, 2024 · 87d4aea · 87d4aea
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diff --git a/pymc_experimental/inference/fit.py b/pymc_experimental/inference/fit.py
@@ -21,7 +21,7 @@ def fit(method, **kwargs):
     ----------
     method : str
         Which inference method to run.
-        Supported: pathfinder
+        Supported: pathfinder or laplace
 
     kwargs are passed on.
 
@@ -38,3 +38,9 @@ def fit(method, **kwargs):
         from pymc_experimental.inference.pathfinder import fit_pathfinder
 
         return fit_pathfinder(**kwargs)
+
+    if method == "laplace":
+
+        from pymc_experimental.inference.laplace import laplace
+
+        return laplace(**kwargs)
diff --git a/pymc_experimental/inference/laplace.py b/pymc_experimental/inference/laplace.py
@@ -0,0 +1,190 @@
+#   Copyright 2024 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 warnings
+from collections.abc import Sequence
+from typing import Optional
+
+import arviz as az
+import numpy as np
+import pymc as pm
+import xarray as xr
+from arviz import dict_to_dataset
+from pymc.backends.arviz import (
+    coords_and_dims_for_inferencedata,
+    find_constants,
+    find_observations,
+)
+from pymc.model.transform.conditioning import remove_value_transforms
+from pymc.util import RandomSeed
+from pytensor import Variable
+
+
+def laplace(
+    vars: Sequence[Variable],
+    draws: Optional[int] = 1000,
+    model=None,
+    random_seed: Optional[RandomSeed] = None,
+    progressbar=True,
+):
+    """
+    Create a Laplace (quadratic) approximation for a posterior distribution.
+
+    This function generates a Laplace approximation for a given posterior distribution using a specified
+    number of draws. This is useful for obtaining a parametric approximation to the posterior distribution
+    that can be used for further analysis.
+
+    Parameters
+    ----------
+    vars : Sequence[Variable]
+        A sequence of variables for which the Laplace approximation of the posterior distribution
+        is to be created.
+    draws : Optional[int] with default=1_000
+        The number of draws to sample from the posterior distribution for creating the approximation.
+        For draws=None only the fit of the Laplace approximation is returned
+    model : object, optional, default=None
+        The model object that defines the posterior distribution. If None, the default model will be used.
+    random_seed : Optional[RandomSeed], optional, default=None
+        An optional random seed to ensure reproducibility of the draws. If None, the draws will be
+        generated using the current random state.
+    progressbar: bool, optional defaults to True
+        Whether to display a progress bar in the command line.
+
+    Returns
+    -------
+    arviz.InferenceData
+        An `InferenceData` object from the `arviz` library containing the Laplace
+        approximation of the posterior distribution. The inferenceData object also
+        contains constant and observed data as well as deterministic variables.
+        InferenceData also contains a group 'fit' with the mean and covariance
+        for the Laplace approximation.
+
+    Examples
+    --------
+
+    >>> import numpy as np
+    >>> import pymc as pm
+    >>> import arviz as az
+    >>> from pymc_experimental.inference.laplace import laplace
+    >>> y = np.array([2642, 3503, 4358]*10)
+    >>> with pm.Model() as m:
+    >>>     logsigma = pm.Uniform("logsigma", 1, 100)
+    >>>     mu = pm.Uniform("mu", -10000, 10000)
+    >>>     yobs = pm.Normal("y", mu=mu, sigma=pm.math.exp(logsigma), observed=y)
+    >>> idata = laplace([mu, logsigma], model=m)
+
+    Notes
+    -----
+    This method of approximation may not be suitable for all types of posterior distributions,
+    especially those with significant skewness or multimodality.
+
+    See Also
+    --------
+    fit : Calling the inference function 'fit' like pmx.fit(method="laplace", vars=[mu, logsigma], model=m)
+          will forward the call to 'laplace'.
+
+    """
+
+    rng = np.random.default_rng(seed=random_seed)
+
+    transformed_m = pm.modelcontext(model)
+
+    if len(vars) != len(transformed_m.free_RVs):
+        warnings.warn(
+            "Number of variables in vars does not eqaul the number of variables in the model.",
+            UserWarning,
+        )
+
+    map = pm.find_MAP(vars=vars, progressbar=progressbar, model=transformed_m)
+
+    # See https://www.pymc.io/projects/docs/en/stable/api/model/generated/pymc.model.transform.conditioning.remove_value_transforms.html
+    untransformed_m = remove_value_transforms(transformed_m)
+    untransformed_vars = [untransformed_m[v.name] for v in vars]
+    hessian = pm.find_hessian(point=map, vars=untransformed_vars, model=untransformed_m)
+
+    if np.linalg.det(hessian) == 0:
+        raise np.linalg.LinAlgError("Hessian is singular.")
+
+    cov = np.linalg.inv(hessian)
+    mean = np.concatenate([np.atleast_1d(map[v.name]) for v in vars])
+
+    chains = 1
+
+    if draws is not None:
+        samples = rng.multivariate_normal(mean, cov, size=(chains, draws))
+
+        data_vars = {}
+        for i, var in enumerate(vars):
+            data_vars[str(var)] = xr.DataArray(samples[:, :, i], dims=("chain", "draw"))
+
+        coords = {"chain": np.arange(chains), "draw": np.arange(draws)}
+        ds = xr.Dataset(data_vars, coords=coords)
+
+        idata = az.convert_to_inference_data(ds)
+        idata = addDataToInferenceData(model, idata, progressbar)
+    else:
+        idata = az.InferenceData()
+
+    idata = addFitToInferenceData(vars, idata, mean, cov)
+
+    return idata
+
+
+def addFitToInferenceData(vars, idata, mean, covariance):
+    coord_names = [v.name for v in vars]
+    # Convert to xarray DataArray
+    mean_dataarray = xr.DataArray(mean, dims=["rows"], coords={"rows": coord_names})
+    cov_dataarray = xr.DataArray(
+        covariance, dims=["rows", "columns"], coords={"rows": coord_names, "columns": coord_names}
+    )
+
+    # Create xarray dataset
+    dataset = xr.Dataset({"mean_vector": mean_dataarray, "covariance_matrix": cov_dataarray})
+
+    idata.add_groups(fit=dataset)
+
+    return idata
+
+
+def addDataToInferenceData(model, trace, progressbar):
+    # Add deterministic variables to inference data
+    trace.posterior = pm.compute_deterministics(
+        trace.posterior, model=model, merge_dataset=True, progressbar=progressbar
+    )
+
+    coords, dims = coords_and_dims_for_inferencedata(model)
+
+    observed_data = dict_to_dataset(
+        find_observations(model),
+        library=pm,
+        coords=coords,
+        dims=dims,
+        default_dims=[],
+    )
+
+    constant_data = dict_to_dataset(
+        find_constants(model),
+        library=pm,
+        coords=coords,
+        dims=dims,
+        default_dims=[],
+    )
+
+    trace.add_groups(
+        {"observed_data": observed_data, "constant_data": constant_data},
+        coords=coords,
+        dims=dims,
+    )
+
+    return trace
diff --git a/pymc_experimental/tests/test_laplace.py b/pymc_experimental/tests/test_laplace.py
@@ -0,0 +1,137 @@
+#   Copyright 2024 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 numpy as np
+import pymc as pm
+import pytest
+
+import pymc_experimental as pmx
+
+
+@pytest.mark.filterwarnings(
+    "ignore:hessian will stop negating the output in a future version of PyMC.\n"
+    + "To suppress this warning set `negate_output=False`:FutureWarning",
+)
+def test_laplace():
+
+    # Example originates from Bayesian Data Analyses, 3rd Edition
+    # By Andrew Gelman, John Carlin, Hal Stern, David Dunson,
+    # Aki Vehtari, and Donald Rubin.
+    # See section. 4.1
+
+    y = np.array([2642, 3503, 4358], dtype=np.float64)
+    n = y.size
+    draws = 100000
+
+    with pm.Model() as m:
+        logsigma = pm.Uniform("logsigma", 1, 100)
+        mu = pm.Uniform("mu", -10000, 10000)
+        yobs = pm.Normal("y", mu=mu, sigma=pm.math.exp(logsigma), observed=y)
+        vars = [mu, logsigma]
+
+    idata = pmx.fit(
+        method="laplace",
+        vars=vars,
+        model=m,
+        draws=draws,
+        random_seed=173300,
+    )
+
+    assert idata.posterior["mu"].shape == (1, draws)
+    assert idata.posterior["logsigma"].shape == (1, draws)
+    assert idata.observed_data["y"].shape == (n,)
+    assert idata.fit["mean_vector"].shape == (len(vars),)
+    assert idata.fit["covariance_matrix"].shape == (len(vars), len(vars))
+
+    bda_map = [y.mean(), np.log(y.std())]
+    bda_cov = np.array([[y.var() / n, 0], [0, 1 / (2 * n)]])
+
+    assert np.allclose(idata.fit["mean_vector"].values, bda_map)
+    assert np.allclose(idata.fit["covariance_matrix"].values, bda_cov, atol=1e-4)
+
+
+@pytest.mark.filterwarnings(
+    "ignore:hessian will stop negating the output in a future version of PyMC.\n"
+    + "To suppress this warning set `negate_output=False`:FutureWarning",
+)
+def test_laplace_only_fit():
+
+    # Example originates from Bayesian Data Analyses, 3rd Edition
+    # By Andrew Gelman, John Carlin, Hal Stern, David Dunson,
+    # Aki Vehtari, and Donald Rubin.
+    # See section. 4.1
+
+    y = np.array([2642, 3503, 4358], dtype=np.float64)
+    n = y.size
+
+    with pm.Model() as m:
+        logsigma = pm.Uniform("logsigma", 1, 100)
+        mu = pm.Uniform("mu", -10000, 10000)
+        yobs = pm.Normal("y", mu=mu, sigma=pm.math.exp(logsigma), observed=y)
+        vars = [mu, logsigma]
+
+    idata = pmx.fit(
+        method="laplace",
+        vars=vars,
+        draws=None,
+        model=m,
+        random_seed=173300,
+    )
+
+    assert idata.fit["mean_vector"].shape == (len(vars),)
+    assert idata.fit["covariance_matrix"].shape == (len(vars), len(vars))
+
+    bda_map = [y.mean(), np.log(y.std())]
+    bda_cov = np.array([[y.var() / n, 0], [0, 1 / (2 * n)]])
+
+    assert np.allclose(idata.fit["mean_vector"].values, bda_map)
+    assert np.allclose(idata.fit["covariance_matrix"].values, bda_cov, atol=1e-4)
+
+
+@pytest.mark.filterwarnings(
+    "ignore:hessian will stop negating the output in a future version of PyMC.\n"
+    + "To suppress this warning set `negate_output=False`:FutureWarning",
+)
+def test_laplace_subset_of_rv(recwarn):
+
+    # Example originates from Bayesian Data Analyses, 3rd Edition
+    # By Andrew Gelman, John Carlin, Hal Stern, David Dunson,
+    # Aki Vehtari, and Donald Rubin.
+    # See section. 4.1
+
+    y = np.array([2642, 3503, 4358], dtype=np.float64)
+    n = y.size
+
+    with pm.Model() as m:
+        logsigma = pm.Uniform("logsigma", 1, 100)
+        mu = pm.Uniform("mu", -10000, 10000)
+        yobs = pm.Normal("y", mu=mu, sigma=pm.math.exp(logsigma), observed=y)
+        vars = [mu]
+
+    idata = pmx.fit(
+        method="laplace",
+        vars=vars,
+        draws=None,
+        model=m,
+        random_seed=173300,
+    )
+
+    assert len(recwarn) == 3
+    w = recwarn.pop(UserWarning)
+    assert issubclass(w.category, UserWarning)
+    assert (
+        str(w.message)
+        == "Number of variables in vars does not eqaul the number of variables in the model."
+    )