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alkaline-ml / statsmodels   python

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Version: 0.11.1 

/ genmod / tests / test_bayes_mixed_glm.py

import numpy as np
from statsmodels.genmod.bayes_mixed_glm import (BinomialBayesMixedGLM,
                                                PoissonBayesMixedGLM)
import pandas as pd
from scipy import sparse
from numpy.testing import assert_allclose, assert_equal
from scipy.optimize import approx_fprime


def gen_simple_logit(nc, cs, s):

    np.random.seed(3799)

    exog_vc = np.kron(np.eye(nc), np.ones((cs, 1)))
    exog_fe = np.random.normal(size=(nc * cs, 2))
    vc = s * np.random.normal(size=nc)
    lp = np.dot(exog_fe, np.r_[1, -1]) + np.dot(exog_vc, vc)
    pr = 1 / (1 + np.exp(-lp))
    y = 1 * (np.random.uniform(size=nc * cs) < pr)
    ident = np.zeros(nc, dtype=np.int)

    return y, exog_fe, exog_vc, ident


def gen_simple_poisson(nc, cs, s):

    np.random.seed(3799)

    exog_vc = np.kron(np.eye(nc), np.ones((cs, 1)))
    exog_fe = np.random.normal(size=(nc * cs, 2))
    vc = s * np.random.normal(size=nc)
    lp = np.dot(exog_fe, np.r_[0.1, -0.1]) + np.dot(exog_vc, vc)
    r = np.exp(lp)
    y = np.random.poisson(r)
    ident = np.zeros(nc, dtype=np.int)

    return y, exog_fe, exog_vc, ident


def gen_crossed_logit(nc, cs, s1, s2):

    np.random.seed(3799)

    a = np.kron(np.eye(nc), np.ones((cs, 1)))
    b = np.kron(np.ones((cs, 1)), np.eye(nc))
    exog_vc = np.concatenate((a, b), axis=1)

    exog_fe = np.random.normal(size=(nc * cs, 1))
    vc = s1 * np.random.normal(size=2 * nc)
    vc[nc:] *= s2 / s1
    lp = np.dot(exog_fe, np.r_[-0.5]) + np.dot(exog_vc, vc)
    pr = 1 / (1 + np.exp(-lp))
    y = 1 * (np.random.uniform(size=nc * cs) < pr)
    ident = np.zeros(2 * nc, dtype=np.int)
    ident[nc:] = 1

    return y, exog_fe, exog_vc, ident


def gen_crossed_poisson(nc, cs, s1, s2):

    np.random.seed(3799)

    a = np.kron(np.eye(nc), np.ones((cs, 1)))
    b = np.kron(np.ones((cs, 1)), np.eye(nc))
    exog_vc = np.concatenate((a, b), axis=1)

    exog_fe = np.random.normal(size=(nc * cs, 1))
    vc = s1 * np.random.normal(size=2 * nc)
    vc[nc:] *= s2 / s1
    lp = np.dot(exog_fe, np.r_[-0.5]) + np.dot(exog_vc, vc)
    r = np.exp(lp)
    y = np.random.poisson(r)
    ident = np.zeros(2 * nc, dtype=np.int)
    ident[nc:] = 1

    return y, exog_fe, exog_vc, ident


def gen_crossed_logit_pandas(nc, cs, s1, s2):

    np.random.seed(3799)

    a = np.kron(np.arange(nc), np.ones(cs))
    b = np.kron(np.ones(cs), np.arange(nc))
    fe = np.ones(nc * cs)

    vc = np.zeros(nc * cs)
    for i in np.unique(a):
        ii = np.flatnonzero(a == i)
        vc[ii] += s1 * np.random.normal()
    for i in np.unique(b):
        ii = np.flatnonzero(b == i)
        vc[ii] += s2 * np.random.normal()

    lp = -0.5 * fe + vc
    pr = 1 / (1 + np.exp(-lp))
    y = 1 * (np.random.uniform(size=nc * cs) < pr)

    ident = np.zeros(2 * nc, dtype=np.int)
    ident[nc:] = 1

    df = pd.DataFrame({"fe": fe, "a": a, "b": b, "y": y})

    return df


def test_simple_logit_map():

    y, exog_fe, exog_vc, ident = gen_simple_logit(10, 10, 2)
    exog_vc = sparse.csr_matrix(exog_vc)

    glmm = BinomialBayesMixedGLM(y, exog_fe, exog_vc, ident, vcp_p=0.5)
    rslt = glmm.fit_map()

    assert_allclose(
        glmm.logposterior_grad(rslt.params),
        np.zeros_like(rslt.params),
        atol=1e-3)

    # Test the predict method
    for linear in False, True:
        for exog in None, exog_fe:
            pr1 = rslt.predict(linear=linear, exog=exog)
            pr2 = glmm.predict(rslt.params, linear=linear, exog=exog)
            assert_allclose(pr1, pr2)
            if not linear:
                assert_equal(pr1.min() >= 0, True)
                assert_equal(pr1.max() <= 1, True)


def test_simple_poisson_map():

    y, exog_fe, exog_vc, ident = gen_simple_poisson(10, 10, 0.2)
    exog_vc = sparse.csr_matrix(exog_vc)

    glmm1 = PoissonBayesMixedGLM(y, exog_fe, exog_vc, ident, vcp_p=0.5)
    rslt1 = glmm1.fit_map()
    assert_allclose(
        glmm1.logposterior_grad(rslt1.params),
        np.zeros_like(rslt1.params),
        atol=1e-3)

    # This should give the same answer as above
    glmm2 = PoissonBayesMixedGLM(y, exog_fe, exog_vc, ident, vcp_p=0.5)
    rslt2 = glmm2.fit_map()
    assert_allclose(rslt1.params, rslt2.params, atol=1e-4)

    # Test the predict method
    for linear in False, True:
        for exog in None, exog_fe:
            pr1 = rslt1.predict(linear=linear, exog=exog)
            pr2 = rslt2.predict(linear=linear, exog=exog)
            pr3 = glmm1.predict(rslt1.params, linear=linear, exog=exog)
            pr4 = glmm2.predict(rslt2.params, linear=linear, exog=exog)
            assert_allclose(pr1, pr2, rtol=1e-5)
            assert_allclose(pr2, pr3, rtol=1e-5)
            assert_allclose(pr3, pr4, rtol=1e-5)
            if not linear:
                assert_equal(pr1.min() >= 0, True)
                assert_equal(pr2.min() >= 0, True)
                assert_equal(pr3.min() >= 0, True)

    # Check dimensions and PSD status of cov_params
    for rslt in rslt1, rslt2:
        cp = rslt.cov_params()
        p = len(rslt.params)
        assert_equal(cp.shape, np.r_[p, p])
        np.linalg.cholesky(cp)


def test_crossed_logit_map():

    y, exog_fe, exog_vc, ident = gen_crossed_logit(10, 10, 1, 2)
    exog_vc = sparse.csr_matrix(exog_vc)

    glmm = BinomialBayesMixedGLM(y, exog_fe, exog_vc, ident, vcp_p=0.5)
    rslt = glmm.fit_map()

    assert_allclose(
        glmm.logposterior_grad(rslt.params),
        np.zeros_like(rslt.params),
        atol=1e-4)

    # Check dimensions and PSD status of cov_params
    cp = rslt.cov_params()
    p = len(rslt.params)
    assert_equal(cp.shape, np.r_[p, p])
    np.linalg.cholesky(cp)


def test_crossed_poisson_map():

    y, exog_fe, exog_vc, ident = gen_crossed_poisson(10, 10, 1, 1)
    exog_vc = sparse.csr_matrix(exog_vc)

    glmm = PoissonBayesMixedGLM(y, exog_fe, exog_vc, ident, vcp_p=0.5)
    rslt = glmm.fit_map()

    assert_allclose(
        glmm.logposterior_grad(rslt.params),
        np.zeros_like(rslt.params),
        atol=1e-4)

    # Check dimensions and PSD status of cov_params
    cp = rslt.cov_params()
    p = len(rslt.params)
    assert_equal(cp.shape, np.r_[p, p])
    np.linalg.cholesky(cp)

def test_logit_map_crossed_formula():

    data = gen_crossed_logit_pandas(10, 10, 1, 0.5)

    fml = "y ~ fe"
    fml_vc = {"a": "0 + C(a)", "b": "0 + C(b)"}
    glmm = BinomialBayesMixedGLM.from_formula(fml, fml_vc, data, vcp_p=0.5)
    rslt = glmm.fit_map()

    assert_allclose(
        glmm.logposterior_grad(rslt.params),
        np.zeros_like(rslt.params),
        atol=1e-4)
    rslt.summary()

    r = rslt.random_effects("a")
    assert_allclose(
        r.iloc[0, :].values, np.r_[-0.02004904, 0.094014], atol=1e-4)

    # Check dimensions and PSD status of cov_params
    cm = rslt.cov_params()
    p = rslt.params.shape[0]
    assert_equal(list(cm.shape), [p, p])
    np.linalg.cholesky(cm)

def test_elbo_grad():

    for f in range(2):
        for j in range(2):

            if f == 0:
                if j == 0:
                    y, exog_fe, exog_vc, ident = gen_simple_logit(10, 10, 2)
                else:
                    y, exog_fe, exog_vc, ident = gen_crossed_logit(
                        10, 10, 1, 2)
            elif f == 1:
                if j == 0:
                    y, exog_fe, exog_vc, ident = gen_simple_poisson(
                        10, 10, 0.5)
                else:
                    y, exog_fe, exog_vc, ident = gen_crossed_poisson(
                        10, 10, 1, 0.5)

            exog_vc = sparse.csr_matrix(exog_vc)

            if f == 0:
                glmm1 = BinomialBayesMixedGLM(
                    y, exog_fe, exog_vc, ident, vcp_p=0.5)
            else:
                glmm1 = PoissonBayesMixedGLM(
                    y, exog_fe, exog_vc, ident, vcp_p=0.5)

            rslt1 = glmm1.fit_map()

            for k in range(3):

                if k == 0:
                    vb_mean = rslt1.params
                    vb_sd = np.ones_like(vb_mean)
                elif k == 1:
                    vb_mean = np.zeros(len(vb_mean))
                    vb_sd = np.ones_like(vb_mean)
                else:
                    vb_mean = np.random.normal(size=len(vb_mean))
                    vb_sd = np.random.uniform(1, 2, size=len(vb_mean))

                mean_grad, sd_grad = glmm1.vb_elbo_grad(vb_mean, vb_sd)

                def elbo(vec):
                    n = len(vec) // 2
                    return glmm1.vb_elbo(vec[:n], vec[n:])

                x = np.concatenate((vb_mean, vb_sd))
                g1 = approx_fprime(x, elbo, 1e-5)
                n = len(x) // 2

                mean_grad_n = g1[:n]
                sd_grad_n = g1[n:]

                assert_allclose(mean_grad, mean_grad_n, atol=1e-2, rtol=1e-2)
                assert_allclose(sd_grad, sd_grad_n, atol=1e-2, rtol=1e-2)


def test_simple_logit_vb():

    y, exog_fe, exog_vc, ident = gen_simple_logit(10, 10, 0)
    exog_vc = sparse.csr_matrix(exog_vc)

    glmm1 = BinomialBayesMixedGLM(
        y, exog_fe, exog_vc, ident, vcp_p=0.5, fe_p=0.5)
    rslt1 = glmm1.fit_map()

    glmm2 = BinomialBayesMixedGLM(
        y, exog_fe, exog_vc, ident, vcp_p=0.5, fe_p=0.5)
    rslt2 = glmm2.fit_vb(rslt1.params)

    rslt1.summary()
    rslt2.summary()

    assert_allclose(
        rslt1.params[0:5],
        np.r_[0.75330405, -0.71643228, -2.49091288, -0.00959806, 0.00450254],
        rtol=1e-4,
        atol=1e-4)

    assert_allclose(
        rslt2.params[0:5],
        np.r_[0.79338836, -0.7599833, -0.64149356, -0.24772884, 0.10775366],
        rtol=1e-4,
        atol=1e-4)

    for rslt in rslt1, rslt2:
        cp = rslt.cov_params()
        p = len(rslt.params)
        if rslt is rslt1:
            assert_equal(cp.shape, np.r_[p, p])
            np.linalg.cholesky(cp)
        else:
            assert_equal(cp.shape, np.r_[p,])
            assert_equal(cp > 0, True*np.ones(p))

def test_simple_poisson_vb():

    y, exog_fe, exog_vc, ident = gen_simple_poisson(10, 10, 1)
    exog_vc = sparse.csr_matrix(exog_vc)

    glmm1 = PoissonBayesMixedGLM(y, exog_fe, exog_vc, ident, vcp_p=0.5)
    rslt1 = glmm1.fit_map()

    glmm2 = PoissonBayesMixedGLM(y, exog_fe, exog_vc, ident, vcp_p=0.5)
    rslt2 = glmm2.fit_vb(rslt1.params)

    rslt1.summary()
    rslt2.summary()
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