427 lines
16 KiB
Python
427 lines
16 KiB
Python
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"""
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Joint Random Variables Module
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See Also
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========
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sympy.stats.rv
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sympy.stats.frv
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sympy.stats.crv
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sympy.stats.drv
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"""
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from math import prod
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from sympy.core.basic import Basic
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from sympy.core.function import Lambda
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from sympy.core.singleton import S
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from sympy.core.symbol import (Dummy, Symbol)
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from sympy.core.sympify import sympify
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from sympy.sets.sets import ProductSet
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from sympy.tensor.indexed import Indexed
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from sympy.concrete.products import Product
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from sympy.concrete.summations import Sum, summation
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from sympy.core.containers import Tuple
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from sympy.integrals.integrals import Integral, integrate
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from sympy.matrices import ImmutableMatrix, matrix2numpy, list2numpy
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from sympy.stats.crv import SingleContinuousDistribution, SingleContinuousPSpace
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from sympy.stats.drv import SingleDiscreteDistribution, SingleDiscretePSpace
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from sympy.stats.rv import (ProductPSpace, NamedArgsMixin, Distribution,
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ProductDomain, RandomSymbol, random_symbols,
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SingleDomain, _symbol_converter)
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from sympy.utilities.iterables import iterable
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from sympy.utilities.misc import filldedent
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from sympy.external import import_module
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# __all__ = ['marginal_distribution']
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class JointPSpace(ProductPSpace):
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"""
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Represents a joint probability space. Represented using symbols for
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each component and a distribution.
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"""
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def __new__(cls, sym, dist):
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if isinstance(dist, SingleContinuousDistribution):
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return SingleContinuousPSpace(sym, dist)
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if isinstance(dist, SingleDiscreteDistribution):
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return SingleDiscretePSpace(sym, dist)
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sym = _symbol_converter(sym)
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return Basic.__new__(cls, sym, dist)
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@property
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def set(self):
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return self.domain.set
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@property
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def symbol(self):
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return self.args[0]
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@property
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def distribution(self):
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return self.args[1]
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@property
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def value(self):
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return JointRandomSymbol(self.symbol, self)
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@property
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def component_count(self):
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_set = self.distribution.set
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if isinstance(_set, ProductSet):
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return S(len(_set.args))
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elif isinstance(_set, Product):
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return _set.limits[0][-1]
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return S.One
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@property
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def pdf(self):
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sym = [Indexed(self.symbol, i) for i in range(self.component_count)]
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return self.distribution(*sym)
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@property
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def domain(self):
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rvs = random_symbols(self.distribution)
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if not rvs:
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return SingleDomain(self.symbol, self.distribution.set)
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return ProductDomain(*[rv.pspace.domain for rv in rvs])
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def component_domain(self, index):
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return self.set.args[index]
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def marginal_distribution(self, *indices):
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count = self.component_count
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if count.atoms(Symbol):
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raise ValueError("Marginal distributions cannot be computed "
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"for symbolic dimensions. It is a work under progress.")
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orig = [Indexed(self.symbol, i) for i in range(count)]
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all_syms = [Symbol(str(i)) for i in orig]
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replace_dict = dict(zip(all_syms, orig))
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sym = tuple(Symbol(str(Indexed(self.symbol, i))) for i in indices)
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limits = [[i,] for i in all_syms if i not in sym]
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index = 0
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for i in range(count):
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if i not in indices:
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limits[index].append(self.distribution.set.args[i])
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limits[index] = tuple(limits[index])
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index += 1
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if self.distribution.is_Continuous:
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f = Lambda(sym, integrate(self.distribution(*all_syms), *limits))
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elif self.distribution.is_Discrete:
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f = Lambda(sym, summation(self.distribution(*all_syms), *limits))
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return f.xreplace(replace_dict)
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def compute_expectation(self, expr, rvs=None, evaluate=False, **kwargs):
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syms = tuple(self.value[i] for i in range(self.component_count))
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rvs = rvs or syms
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if not any(i in rvs for i in syms):
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return expr
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expr = expr*self.pdf
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for rv in rvs:
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if isinstance(rv, Indexed):
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expr = expr.xreplace({rv: Indexed(str(rv.base), rv.args[1])})
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elif isinstance(rv, RandomSymbol):
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expr = expr.xreplace({rv: rv.symbol})
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if self.value in random_symbols(expr):
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raise NotImplementedError(filldedent('''
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Expectations of expression with unindexed joint random symbols
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cannot be calculated yet.'''))
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limits = tuple((Indexed(str(rv.base),rv.args[1]),
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self.distribution.set.args[rv.args[1]]) for rv in syms)
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return Integral(expr, *limits)
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def where(self, condition):
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raise NotImplementedError()
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def compute_density(self, expr):
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raise NotImplementedError()
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def sample(self, size=(), library='scipy', seed=None):
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"""
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Internal sample method
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Returns dictionary mapping RandomSymbol to realization value.
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"""
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return {RandomSymbol(self.symbol, self): self.distribution.sample(size,
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library=library, seed=seed)}
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def probability(self, condition):
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raise NotImplementedError()
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class SampleJointScipy:
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"""Returns the sample from scipy of the given distribution"""
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def __new__(cls, dist, size, seed=None):
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return cls._sample_scipy(dist, size, seed)
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@classmethod
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def _sample_scipy(cls, dist, size, seed):
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"""Sample from SciPy."""
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import numpy
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if seed is None or isinstance(seed, int):
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rand_state = numpy.random.default_rng(seed=seed)
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else:
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rand_state = seed
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from scipy import stats as scipy_stats
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scipy_rv_map = {
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'MultivariateNormalDistribution': lambda dist, size: scipy_stats.multivariate_normal.rvs(
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mean=matrix2numpy(dist.mu).flatten(),
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cov=matrix2numpy(dist.sigma), size=size, random_state=rand_state),
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'MultivariateBetaDistribution': lambda dist, size: scipy_stats.dirichlet.rvs(
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alpha=list2numpy(dist.alpha, float).flatten(), size=size, random_state=rand_state),
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'MultinomialDistribution': lambda dist, size: scipy_stats.multinomial.rvs(
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n=int(dist.n), p=list2numpy(dist.p, float).flatten(), size=size, random_state=rand_state)
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}
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sample_shape = {
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'MultivariateNormalDistribution': lambda dist: matrix2numpy(dist.mu).flatten().shape,
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'MultivariateBetaDistribution': lambda dist: list2numpy(dist.alpha).flatten().shape,
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'MultinomialDistribution': lambda dist: list2numpy(dist.p).flatten().shape
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}
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dist_list = scipy_rv_map.keys()
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if dist.__class__.__name__ not in dist_list:
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return None
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samples = scipy_rv_map[dist.__class__.__name__](dist, size)
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return samples.reshape(size + sample_shape[dist.__class__.__name__](dist))
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class SampleJointNumpy:
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"""Returns the sample from numpy of the given distribution"""
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def __new__(cls, dist, size, seed=None):
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return cls._sample_numpy(dist, size, seed)
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@classmethod
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def _sample_numpy(cls, dist, size, seed):
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"""Sample from NumPy."""
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import numpy
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if seed is None or isinstance(seed, int):
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rand_state = numpy.random.default_rng(seed=seed)
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else:
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rand_state = seed
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numpy_rv_map = {
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'MultivariateNormalDistribution': lambda dist, size: rand_state.multivariate_normal(
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mean=matrix2numpy(dist.mu, float).flatten(),
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cov=matrix2numpy(dist.sigma, float), size=size),
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'MultivariateBetaDistribution': lambda dist, size: rand_state.dirichlet(
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alpha=list2numpy(dist.alpha, float).flatten(), size=size),
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'MultinomialDistribution': lambda dist, size: rand_state.multinomial(
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n=int(dist.n), pvals=list2numpy(dist.p, float).flatten(), size=size)
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}
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sample_shape = {
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'MultivariateNormalDistribution': lambda dist: matrix2numpy(dist.mu).flatten().shape,
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'MultivariateBetaDistribution': lambda dist: list2numpy(dist.alpha).flatten().shape,
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'MultinomialDistribution': lambda dist: list2numpy(dist.p).flatten().shape
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}
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dist_list = numpy_rv_map.keys()
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if dist.__class__.__name__ not in dist_list:
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return None
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samples = numpy_rv_map[dist.__class__.__name__](dist, prod(size))
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return samples.reshape(size + sample_shape[dist.__class__.__name__](dist))
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class SampleJointPymc:
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"""Returns the sample from pymc of the given distribution"""
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def __new__(cls, dist, size, seed=None):
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return cls._sample_pymc(dist, size, seed)
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@classmethod
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def _sample_pymc(cls, dist, size, seed):
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"""Sample from PyMC."""
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try:
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import pymc
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except ImportError:
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import pymc3 as pymc
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pymc_rv_map = {
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'MultivariateNormalDistribution': lambda dist:
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pymc.MvNormal('X', mu=matrix2numpy(dist.mu, float).flatten(),
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cov=matrix2numpy(dist.sigma, float), shape=(1, dist.mu.shape[0])),
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'MultivariateBetaDistribution': lambda dist:
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pymc.Dirichlet('X', a=list2numpy(dist.alpha, float).flatten()),
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'MultinomialDistribution': lambda dist:
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pymc.Multinomial('X', n=int(dist.n),
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p=list2numpy(dist.p, float).flatten(), shape=(1, len(dist.p)))
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}
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sample_shape = {
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'MultivariateNormalDistribution': lambda dist: matrix2numpy(dist.mu).flatten().shape,
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'MultivariateBetaDistribution': lambda dist: list2numpy(dist.alpha).flatten().shape,
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'MultinomialDistribution': lambda dist: list2numpy(dist.p).flatten().shape
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}
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dist_list = pymc_rv_map.keys()
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if dist.__class__.__name__ not in dist_list:
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return None
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import logging
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logging.getLogger("pymc3").setLevel(logging.ERROR)
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with pymc.Model():
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pymc_rv_map[dist.__class__.__name__](dist)
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samples = pymc.sample(draws=prod(size), chains=1, progressbar=False, random_seed=seed, return_inferencedata=False, compute_convergence_checks=False)[:]['X']
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return samples.reshape(size + sample_shape[dist.__class__.__name__](dist))
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_get_sample_class_jrv = {
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'scipy': SampleJointScipy,
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'pymc3': SampleJointPymc,
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'pymc': SampleJointPymc,
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'numpy': SampleJointNumpy
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}
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class JointDistribution(Distribution, NamedArgsMixin):
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"""
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Represented by the random variables part of the joint distribution.
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Contains methods for PDF, CDF, sampling, marginal densities, etc.
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"""
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_argnames = ('pdf', )
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def __new__(cls, *args):
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args = list(map(sympify, args))
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for i in range(len(args)):
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if isinstance(args[i], list):
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args[i] = ImmutableMatrix(args[i])
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return Basic.__new__(cls, *args)
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@property
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def domain(self):
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return ProductDomain(self.symbols)
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@property
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def pdf(self):
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return self.density.args[1]
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def cdf(self, other):
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if not isinstance(other, dict):
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raise ValueError("%s should be of type dict, got %s"%(other, type(other)))
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rvs = other.keys()
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_set = self.domain.set.sets
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expr = self.pdf(tuple(i.args[0] for i in self.symbols))
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for i in range(len(other)):
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if rvs[i].is_Continuous:
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density = Integral(expr, (rvs[i], _set[i].inf,
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other[rvs[i]]))
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elif rvs[i].is_Discrete:
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density = Sum(expr, (rvs[i], _set[i].inf,
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other[rvs[i]]))
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return density
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def sample(self, size=(), library='scipy', seed=None):
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""" A random realization from the distribution """
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libraries = ('scipy', 'numpy', 'pymc3', 'pymc')
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if library not in libraries:
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raise NotImplementedError("Sampling from %s is not supported yet."
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% str(library))
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if not import_module(library):
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raise ValueError("Failed to import %s" % library)
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samps = _get_sample_class_jrv[library](self, size, seed=seed)
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if samps is not None:
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return samps
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raise NotImplementedError(
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"Sampling for %s is not currently implemented from %s"
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% (self.__class__.__name__, library)
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)
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def __call__(self, *args):
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return self.pdf(*args)
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class JointRandomSymbol(RandomSymbol):
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"""
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Representation of random symbols with joint probability distributions
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to allow indexing."
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"""
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def __getitem__(self, key):
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if isinstance(self.pspace, JointPSpace):
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if (self.pspace.component_count <= key) == True:
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raise ValueError("Index keys for %s can only up to %s." %
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(self.name, self.pspace.component_count - 1))
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return Indexed(self, key)
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class MarginalDistribution(Distribution):
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"""
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Represents the marginal distribution of a joint probability space.
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Initialised using a probability distribution and random variables(or
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their indexed components) which should be a part of the resultant
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distribution.
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"""
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def __new__(cls, dist, *rvs):
|
||
|
|
if len(rvs) == 1 and iterable(rvs[0]):
|
||
|
|
rvs = tuple(rvs[0])
|
||
|
|
if not all(isinstance(rv, (Indexed, RandomSymbol)) for rv in rvs):
|
||
|
|
raise ValueError(filldedent('''Marginal distribution can be
|
||
|
|
intitialised only in terms of random variables or indexed random
|
||
|
|
variables'''))
|
||
|
|
rvs = Tuple.fromiter(rv for rv in rvs)
|
||
|
|
if not isinstance(dist, JointDistribution) and len(random_symbols(dist)) == 0:
|
||
|
|
return dist
|
||
|
|
return Basic.__new__(cls, dist, rvs)
|
||
|
|
|
||
|
|
def check(self):
|
||
|
|
pass
|
||
|
|
|
||
|
|
@property
|
||
|
|
def set(self):
|
||
|
|
rvs = [i for i in self.args[1] if isinstance(i, RandomSymbol)]
|
||
|
|
return ProductSet(*[rv.pspace.set for rv in rvs])
|
||
|
|
|
||
|
|
@property
|
||
|
|
def symbols(self):
|
||
|
|
rvs = self.args[1]
|
||
|
|
return {rv.pspace.symbol for rv in rvs}
|
||
|
|
|
||
|
|
def pdf(self, *x):
|
||
|
|
expr, rvs = self.args[0], self.args[1]
|
||
|
|
marginalise_out = [i for i in random_symbols(expr) if i not in rvs]
|
||
|
|
if isinstance(expr, JointDistribution):
|
||
|
|
count = len(expr.domain.args)
|
||
|
|
x = Dummy('x', real=True)
|
||
|
|
syms = tuple(Indexed(x, i) for i in count)
|
||
|
|
expr = expr.pdf(syms)
|
||
|
|
else:
|
||
|
|
syms = tuple(rv.pspace.symbol if isinstance(rv, RandomSymbol) else rv.args[0] for rv in rvs)
|
||
|
|
return Lambda(syms, self.compute_pdf(expr, marginalise_out))(*x)
|
||
|
|
|
||
|
|
def compute_pdf(self, expr, rvs):
|
||
|
|
for rv in rvs:
|
||
|
|
lpdf = 1
|
||
|
|
if isinstance(rv, RandomSymbol):
|
||
|
|
lpdf = rv.pspace.pdf
|
||
|
|
expr = self.marginalise_out(expr*lpdf, rv)
|
||
|
|
return expr
|
||
|
|
|
||
|
|
def marginalise_out(self, expr, rv):
|
||
|
|
from sympy.concrete.summations import Sum
|
||
|
|
if isinstance(rv, RandomSymbol):
|
||
|
|
dom = rv.pspace.set
|
||
|
|
elif isinstance(rv, Indexed):
|
||
|
|
dom = rv.base.component_domain(
|
||
|
|
rv.pspace.component_domain(rv.args[1]))
|
||
|
|
expr = expr.xreplace({rv: rv.pspace.symbol})
|
||
|
|
if rv.pspace.is_Continuous:
|
||
|
|
#TODO: Modify to support integration
|
||
|
|
#for all kinds of sets.
|
||
|
|
expr = Integral(expr, (rv.pspace.symbol, dom))
|
||
|
|
elif rv.pspace.is_Discrete:
|
||
|
|
#incorporate this into `Sum`/`summation`
|
||
|
|
if dom in (S.Integers, S.Naturals, S.Naturals0):
|
||
|
|
dom = (dom.inf, dom.sup)
|
||
|
|
expr = Sum(expr, (rv.pspace.symbol, dom))
|
||
|
|
return expr
|
||
|
|
|
||
|
|
def __call__(self, *args):
|
||
|
|
return self.pdf(*args)
|