Python pymc3.find_MAP() Examples

The following are 4 code examples for showing how to use pymc3.find_MAP(). These examples are extracted from open source projects. You can vote up the ones you like or vote down the ones you don't like, and go to the original project or source file by following the links above each example.

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Example 1
Project: cryptotrader   Author: naripok   File: bayesian.py    License: MIT License 6 votes vote down vote up
def fit(self, X, Y, n_samples=10000, tune_steps=1000, n_jobs=4):
        with pm.Model() as self.model:
            # Priors
            std = pm.Uniform("std", 0, self.sps, testval=X.std())
            beta = pm.StudentT("beta", mu=0, lam=self.sps, nu=self.nu)
            alpha = pm.StudentT("alpha", mu=0, lam=self.sps, nu=self.nu, testval=Y.mean())
            # Deterministic model
            mean = pm.Deterministic("mean", alpha + beta * X)
            # Posterior distribution
            obs = pm.Normal("obs", mu=mean, sd=std, observed=Y)
            ## Run MCMC
            # Find search start value with maximum a posterior estimation
            start = pm.find_MAP()
            # sample posterior distribution for latent variables
            trace = pm.sample(n_samples, njobs=n_jobs, tune=tune_steps, start=start)
            # Recover posterior samples
            self.burned_trace = trace[int(n_samples / 2):] 
Example 2
Project: bambi   Author: bambinos   File: pymc.py    License: MIT License 5 votes vote down vote up
def _laplace(model):
    """Fit a model using a laplace approximation.

    Mainly for pedagogical use. ``mcmc`` and ``advi`` are better approximations.

    Parameters
    ----------
    model: PyMC3 model

    Returns
    -------
    Dictionary, the keys are the names of the variables and the values tuples of modes and standard
    deviations.
    """
    with model:
        varis = [v for v in model.unobserved_RVs if not pm.util.is_transformed_name(v.name)]
        maps = pm.find_MAP(start=model.test_point, vars=varis)
        hessian = pm.find_hessian(maps, vars=varis)
        if np.linalg.det(hessian) == 0:
            raise np.linalg.LinAlgError("Singular matrix. Use mcmc or advi method")
        stds = np.diag(np.linalg.inv(hessian) ** 0.5)
        maps = [v for (k, v) in maps.items() if not pm.util.is_transformed_name(k)]
        modes = [v.item() if v.size == 1 else v for v in maps]
        names = [v.name for v in varis]
        shapes = [np.atleast_1d(mode).shape for mode in modes]
        stds_reshaped = []
        idx0 = 0
        for shape in shapes:
            idx1 = idx0 + sum(shape)
            stds_reshaped.append(np.reshape(stds[idx0:idx1], shape))
            idx0 = idx1
    return dict(zip(names, zip(modes, stds_reshaped))) 
Example 3
Project: cs-ranking   Author: kiudee   File: likelihoods.py    License: Apache License 2.0 4 votes vote down vote up
def fit_pymc3_model(self, sampler, draws, tune, vi_params, **kwargs):
    callbacks = vi_params.get("callbacks", [])
    for i, c in enumerate(callbacks):
        if isinstance(c, CheckParametersConvergence):
            params = c.__dict__
            params.pop("_diff")
            params.pop("prev")
            params.pop("ord")
            params["diff"] = "absolute"
            callbacks[i] = CheckParametersConvergence(**params)
    if sampler == "variational":
        with self.model:
            try:
                self.trace = pm.sample(chains=2, cores=8, tune=5, draws=5)
                vi_params["start"] = self.trace[-1]
                self.trace_vi = pm.fit(**vi_params)
                self.trace = self.trace_vi.sample(draws=draws)
            except Exception as e:
                if hasattr(e, "message"):
                    message = e.message
                else:
                    message = e
                self.logger.error(message)
                self.trace_vi = None
        if self.trace_vi is None and self.trace is None:
            with self.model:
                self.logger.info(
                    "Error in vi ADVI sampler using Metropolis sampler with draws {}".format(
                        draws
                    )
                )
                self.trace = pm.sample(
                    chains=1, cores=4, tune=20, draws=20, step=pm.NUTS()
                )
    elif sampler == "metropolis":
        with self.model:
            start = pm.find_MAP()
            self.trace = pm.sample(
                chains=2,
                cores=8,
                tune=tune,
                draws=draws,
                **kwargs,
                step=pm.Metropolis(),
                start=start,
            )
    else:
        with self.model:
            self.trace = pm.sample(
                chains=2, cores=8, tune=tune, draws=draws, **kwargs, step=pm.NUTS()
            ) 
Example 4
Project: abyes   Author: cbellei   File: ab_exp.py    License: Apache License 2.0 4 votes vote down vote up
def posterior_mcmc(self, data):
        """
        Find posterior distribution for the numerical method of solution
        """

        with pm.Model() as ab_model:
            # priors
            mua = pm.distributions.continuous.Beta('muA', alpha=self.alpha_prior, beta=self.beta_prior)
            mub = pm.distributions.continuous.Beta('muB', alpha=self.alpha_prior, beta=self.beta_prior)
            # likelihoods
            pm.Bernoulli('likelihoodA', mua, observed=data[0])
            pm.Bernoulli('likelihoodB', mub, observed=data[1])

            # find distribution of difference
            pm.Deterministic('lift', mub - mua)
            # find distribution of effect size
            sigma_a = pm.Deterministic('sigmaA', np.sqrt(mua * (1 - mua)))
            sigma_b = pm.Deterministic('sigmaB', np.sqrt(mub * (1 - mub)))
            pm.Deterministic('effect_size', (mub - mua) / (np.sqrt(0.5 * (sigma_a ** 2 + sigma_b ** 2))))

            start = pm.find_MAP()
            step = pm.Slice()
            trace = pm.sample(self.iterations, step=step, start=start)

        bins = np.linspace(0, 1, self.resolution)
        mua = np.histogram(trace['muA'][500:], bins=bins, normed=True)
        mub = np.histogram(trace['muB'][500:], bins=bins, normed=True)
        sigma_a = np.histogram(trace['sigmaA'][500:], bins=bins, normed=True)
        sigma_b = np.histogram(trace['sigmaB'][500:], bins=bins, normed=True)

        rvs = trace['lift'][500:]
        bins = np.linspace(np.min(rvs) - 0.2 * abs(np.min(rvs)), np.max(rvs) + 0.2 * abs(np.max(rvs)), self.resolution)
        lift = np.histogram(rvs, bins=bins, normed=True)

        rvs = trace['effect_size'][500:]
        bins = np.linspace(np.min(rvs) - 0.2 * abs(np.min(rvs)), np.max(rvs) + 0.2 * abs(np.max(rvs)), self.resolution)
        pes = np.histogram(rvs, bins=bins, normed=True)

        posterior = {'muA': mua, 'muB': mub, 'sigmaA': sigma_a, 'sigmaB': sigma_b,
                     'lift': lift, 'es': pes, 'prior': self.prior()}

        return posterior