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Version:
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pomegranate
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markov_chain.py
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# markov_chain.py
# Author: Jacob Schreiber <jmschreiber91@gmail.com>
import torch
from ._utils import _cast_as_tensor
from ._utils import _update_parameter
from ._utils import _check_parameter
from ._utils import _reshape_weights
from .distributions._distribution import Distribution
from .distributions import Categorical
from .distributions import ConditionalCategorical
class MarkovChain(Distribution):
"""A Markov chain.
A Markov chain is the simplest sequential model which factorizes the
joint probability distribution P(X_{0} ... X_{t}) along a chain into the
product of a marginal distribution P(X_{0}) P(X_{1} | X_{0}) ... with
k conditional probability distributions for a k-th order Markov chain.
Despite sometimes being thought of as an independent model, Markov chains
are probability distributions over sequences just like hidden Markov
models. Because a Markov chain has the same theoretical properties as a
probability distribution, it can be used in any situation that a simpler
distribution could, such as an emission distribution for a HMM or a
component of a Bayes classifier.
Parameters
----------
distributions: tuple or list or None
A set of distribution objects. These objects do not need to be
initialized, i.e., can be "Categorical()".
k: int or None
The number of conditional distributions to include in the chain, also
the number of steps back to model in the sequence. This must be passed
in if the distributions are not passed in.
n_categories: list, tuple, or None
A list or tuple containing the number of categories that each feature
has.
inertia: float, [0, 1], optional
Indicates the proportion of the update to apply to the parameters
during training. When the inertia is 0.0, the update is applied in
its entirety and the previous parameters are ignored. When the
inertia is 1.0, the update is entirely ignored and the previous
parameters are kept, equivalently to if the parameters were frozen.
frozen: bool, optional
Whether all the parameters associated with this distribution are frozen.
If you want to freeze individual pameters, or individual values in those
parameters, you must modify the `frozen` attribute of the tensor or
parameter directly. Default is False.
check_data: bool, optional
Whether to check properties of the data and potentially recast it to
torch.tensors. This does not prevent checking of parameters but can
slightly speed up computation when you know that your inputs are valid.
Setting this to False is also necessary for compiling.
"""
def __init__(self, distributions=None, k=None, n_categories=None,
inertia=0.0, frozen=False, check_data=True):
super().__init__(inertia=inertia, frozen=frozen, check_data=check_data)
self.name = "MarkovChain"
self.distributions = _check_parameter(distributions, "distributions",
dtypes=(list, tuple))
self.k = _check_parameter(_cast_as_tensor(k, dtype=torch.int32), "k",
ndim=0)
self.n_categories = _check_parameter(n_categories, "n_categories",
dtypes=(list, tuple))
if distributions is None and k is None:
raise ValueError("Must provide one of 'distributions', or 'k'.")
if distributions is not None:
self.k = len(distributions) - 1
self.d = None
self._initialized = distributions is not None and distributions[0]._initialized
self._reset_cache()
def _initialize(self, d, n_categories):
"""Initialize the probability distribution.
This method is meant to only be called internally. It initializes the
parameters of the distribution and stores its dimensionality. For more
complex methods, this function will do more.
Parameters
----------
d: int
The dimensionality the distribution is being initialized to.
n_categories: int
The maximum number of categories to model. This single number is
used as the maximum across all features and all timesteps.
"""
if self.distributions is None:
self.distributions = [Categorical()]
self.distributions[0]._initialize(d, max(n_categories))
for i in range(self.k):
distribution = ConditionalCategorical()
distribution._initialize(d, [[n_categories[j]]*(i+2)
for j in range(d)])
self.distributions.append(distribution)
self.n_categories = n_categories
self._initialized = True
super()._initialize(d)
def _reset_cache(self):
"""Reset the internally stored statistics.
This method is meant to only be called internally. It resets the
stored statistics used to update the model parameters as well as
recalculates the cached values meant to speed up log probability
calculations.
"""
if self._initialized:
for distribution in self.distributions:
distribution._reset_cache()
def sample(self, n):
"""Sample from the probability distribution.
This method will return `n` samples generated from the underlying
probability distribution. For a mixture model, this involves first
sampling the component using the prior probabilities, and then sampling
from the chosen distribution.
Parameters
----------
n: int
The number of samples to generate.
Returns
-------
X: torch.tensor, shape=(n, self.d)
Randomly generated samples.
"""
X = [self.distributions[0].sample(n)]
for distribution in self.distributions[1:]:
X_ = torch.stack(X).permute(1, 0, 2)
samples = distribution.sample(n, X_[:, -self.k-1:])
X.append(samples)
return torch.stack(X).permute(1, 0, 2)
def log_probability(self, X):
"""Calculate the log probability of each example.
This method calculates the log probability of each example given the
parameters of the distribution. The examples must be given in a 3D
format.
Parameters
----------
X: list, tuple, numpy.ndarray, torch.Tensor, shape=(-1, length, self.d)
A set of examples to evaluate.
Returns
-------
logp: torch.Tensor, shape=(-1,)
The log probability of each example.
"""
X = _check_parameter(_cast_as_tensor(X), "X", ndim=3,
check_parameter=self.check_data)
self.d = X.shape[1]
logps = self.distributions[0].log_probability(X[:, 0])
for i, distribution in enumerate(self.distributions[1:-1]):
logps += distribution.log_probability(X[:, :i+2])
for i in range(X.shape[1] - self.k):
j = i + self.k + 1
logps += self.distributions[-1].log_probability(X[:, i:j])
return logps
def fit(self, X, sample_weight=None):
"""Fit the model to optionally weighted examples.
This method will fit the provided distributions given the data and
their weights. If only `k` has been provided, the relevant set of
distributions will be initialized.
Parameters
----------
X: list, tuple, numpy.ndarray, torch.Tensor, shape=(-1, length, self.d)
A set of examples to evaluate.
sample_weight: list, tuple, numpy.ndarray, torch.Tensor, optional
A set of weights for the examples. This can be either of shape
(-1, self.d) or a vector of shape (-1,). Default is ones.
Returns
-------
self
"""
self.summarize(X, sample_weight=sample_weight)
self.from_summaries()
return self
def summarize(self, X, sample_weight=None):
"""Extract the sufficient statistics from a batch of data.
This method calculates the sufficient statistics from optionally
weighted data and adds them to the stored cache for each distribution
in the network. Sample weights can either be provided as one
value per example or as a 2D matrix of weights for each feature in
each example.
Parameters
----------
X: list, tuple, numpy.ndarray, torch.Tensor, shape=(-1, length, self.d)
A set of examples to summarize.
sample_weight: list, tuple, numpy.ndarray, torch.Tensor, optional
A set of weights for the examples. This can be either of shape
(-1, self.d) or a vector of shape (-1,). Default is ones.
Returns
-------
logp: torch.Tensor, shape=(-1,)
The log probability of each example.
"""
if self.frozen:
return
X = _check_parameter(_cast_as_tensor(X), "X", ndim=3,
check_parameter=self.check_data)
sample_weight = _check_parameter(_cast_as_tensor(sample_weight),
"sample_weight", min_value=0, ndim=(1, 2),
check_parameter=self.check_data)
if not self._initialized:
if self.n_categories is not None:
n_keys = self.n_categories
elif isinstance(X, torch.masked.MaskedTensor):
n_keys = (torch.max(torch.max(X._masked_data, dim=0)[0],
dim=0)[0] + 1).type(torch.int32)
else:
n_keys = (torch.max(torch.max(X, dim=0)[0], dim=0)[0] + 1).type(
torch.int32)
self._initialize(len(X[0][0]), n_keys)
if sample_weight is None:
sample_weight = torch.ones_like(X[:, 0])
elif len(sample_weight.shape) == 1:
sample_weight = sample_weight.reshape(-1, 1).expand(-1, X.shape[2])
elif sample_weight.shape[1] == 1:
sample_weight = sample_weight.expand(-1, X.shape[2])
_check_parameter(_cast_as_tensor(sample_weight), "sample_weight",
min_value=0, ndim=2, shape=(X.shape[0], X.shape[2]),
check_parameter=self.check_data)
self.distributions[0].summarize(X[:, 0], sample_weight=sample_weight)
for i, distribution in enumerate(self.distributions[1:-1]):
distribution.summarize(X[:, :i+2], sample_weight=sample_weight)
distribution = self.distributions[-1]
for i in range(X.shape[1] - self.k):
j = i + self.k + 1
distribution.summarize(X[:, i:j], sample_weight=sample_weight)
def from_summaries(self):
"""Update the model parameters given the extracted statistics.
This method uses calculated statistics from calls to the `summarize`
method to update the distribution parameters. Hyperparameters for the
update are passed in at initialization time.
Note: Internally, a call to `fit` is just a successive call to the
`summarize` method followed by the `from_summaries` method.
"""
if self.frozen:
return
for distribution in self.distributions:
distribution.from_summaries()