Noisy Coin Example




We turn on the division feature first of all, since this is just a plain good idea when working in Python 2.x, as it is a more sensible default for scientific computing and is the default in Python 3.x anyway.

In [1]:
from __future__ import division, print_function

To get access to NumPy and matplotlib, IPython's %pylab magic command is quite useful. With the inline argument, all plots will be made a part of the notebook.

In [2]:
%matplotlib inline
import numpy as np
import matplotlib.pyplot as plt
except: pass
/home/cgranade/anaconda/envs/qinfer-binder/lib/python3.5/site-packages/matplotlib/ UserWarning: axes.color_cycle is deprecated and replaced with axes.prop_cycle; please use the latter.
  warnings.warn(self.msg_depr % (key, alt_key))

Next, we need to import from Qinfer.

In [3]:
# We need distributions to model priors.
from qinfer import distributions
# The noisy coin model has already been implmented, so let's import it here.
from qinfer.test_models import NoisyCoinModel
# Next, we need to import the sequential Monte Carlo updater class.
from qinfer.smc import SMCUpdater
# We'll be demonstrating approximate likelihood evaluation (ALE) as well.
from qinfer import ale
/home/cgranade/anaconda/envs/qinfer-binder/lib/python3.5/site-packages/qinfer/ UserWarning: Could not import scikit-learn. Some features may not work.
  warnings.warn("Could not import scikit-learn. Some features may not work.")
/home/cgranade/anaconda/envs/qinfer-binder/lib/python3.5/site-packages/IPython/ ShimWarning: The `IPython.parallel` package has been deprecated. You should import from ipyparallel instead.
  "You should import from ipyparallel instead.", ShimWarning)
/home/cgranade/anaconda/envs/qinfer-binder/lib/python3.5/site-packages/qinfer/ UserWarning: Could not import IPython parallel. Parallelization support will be disabled.
  "Could not import IPython parallel. "
In [4]:
import time
from scipy.special import betaln, gammaln

Analytic Solution

In this case, we can compare to the analytic solution derived by Christopher Ferrie [cite].

In [5]:
def exactBME(k, K, a, b, gamma=1):
    idx_k = np.arange(k+1)    
    idx_K = np.arange(K-k+1)[np.newaxis].transpose()
    numerator   = (
        gammaln(k+1) - gammaln(idx_k+1) - gammaln(k-idx_k+1) + gammaln(K-k+1) -
        gammaln(idx_K+1) - gammaln(K-k-idx_K+1) + (idx_k+idx_K)*np.log(a-b) +
        (k-idx_k)*np.log(b) + (K-k-idx_K)*np.log(1-a) +
    denominator = (
        gammaln(k+1) - gammaln(idx_k+1) - gammaln(k-idx_k+1) + gammaln(K-k+1) -
        gammaln(idx_K+1) - gammaln(K-k-idx_K+1) + (idx_k+idx_K)*np.log(a-b) +
        (k-idx_k)*np.log(b) + (K-k-idx_K)*np.log(1-a) +
    bme = np.sum(np.exp(numerator))/np.sum(np.exp(denominator))
    var = np.sum(np.exp(
            numerator - betaln(idx_k+gamma+1,idx_K+gamma) +
            betaln(idx_k + gamma + 2, idx_K + gamma)
        )) / np.sum(np.exp(denominator)) - bme ** 2
    return bme, var

Sequential Monte Carlo

It's helpful to define a few constants, as we'll need to refer to them over and over below.

In [6]:
N_EXP = 250
N_TRIALS = 100

Let's make a model to play with, using the prior $p \sim \mathrm{Uni}(0, 1)$.

In [7]:
prior = distributions.UniformDistribution([0, 1])
model = NoisyCoinModel()

We need to allocate an array to hold performance data. A record array is a rather convienent structure for doing so. First, let's define the fields in this array,

In [8]:
performance_dtype = [
    ('outcome', 'i1'),
    ('est_mean', 'f8'), ('est_cov_mat', 'f8'),
    ('true_err', 'f8'), ('resample_count', 'i8'),
    ('elapsed_time', 'f8'),
    ('like_count', 'i8'), ('sim_count', 'i8'),
    ('bme', 'f8'),
    ('var', 'f8'),
    ('bme_err', 'f8')

... and then the array itself.

In [9]:
performance = np.empty((N_TRIALS, N_EXP), dtype=performance_dtype)
In [10]:
true_params = np.empty((N_TRIALS, model.n_modelparams))

Now, we run the experiments!

In [11]:
ALPHA = 0.1
BETA = 0.8
expparams = np.array([(ALPHA, BETA)], dtype=model.expparams_dtype)
In [12]:
for idx_trial in range(N_TRIALS):
    # First, make new updaters using the constructors
    # defined above.
    updater = SMCUpdater(model, N_PARTICLES, prior)
    # Sample true set of modelparams.
    truemp = prior.sample()
    true_params[idx_trial, :] = truemp

    # Now loop over experiments, updating each of the
    # updaters with the same data, so that we can compare
    # their estimation performance.
    for idx_exp in range(N_EXP):
        # Make a short hand for indexing the current simulation
        # and experiment.
        idxs = np.s_[idx_trial, idx_exp]
        # Start by simulating and recording the data.
        outcome = model.simulate_experiment(truemp, expparams)
        performance['outcome'][idxs] = outcome
        # Reset the like_count and sim_count
        # properties so that we can count how many were used
        # by this update. Note that this is a hack;
        # an appropriate method should be added to
        # Simulatable.
        model._sim_count = 0
        model._call_count = 0
        # Time the actual update.
        tic = toc = None
        tic = time.time()
        updater.update(outcome, expparams)
        performance[idxs]['elapsed_time'] = time.time() - tic
        # Record the performance of this updater.
        est_mean = updater.est_mean()
        performance[idxs]['est_mean'] = est_mean
        performance[idxs]['true_err'] = np.abs(est_mean - truemp) ** 2
        performance[idxs]['est_cov_mat'] = updater.est_covariance_mtx()
        performance[idxs]['resample_count'] = updater.resample_count
        performance[idxs]['like_count'] = model.call_count
        performance[idxs]['sim_count'] = model.sim_count
        # Finally, record the ideal stats.
        performance[idxs]['bme'], performance[idxs]['var'] = exactBME(
            idx_exp + 1 - np.sum(performance[idxs]['outcome']), idx_exp + 1,
            ALPHA, BETA
        performance[idxs]['bme_err'] = np.abs(performance[idxs]['bme'] - truemp) ** 2
/home/cgranade/anaconda/envs/qinfer-binder/lib/python3.5/site-packages/ipykernel/ RuntimeWarning: invalid value encountered in log
/home/cgranade/anaconda/envs/qinfer-binder/lib/python3.5/site-packages/ipykernel/ RuntimeWarning: invalid value encountered in log
In [13]:
plt.semilogy(np.mean(performance['true_err'], axis=0))
[<matplotlib.lines.Line2D at 0x7ff45cb02588>]