diff --git a/.gitignore b/.gitignore index 4577fd0..c9d6924 100644 --- a/.gitignore +++ b/.gitignore @@ -1,3 +1,6 @@ +# temporary ignoring +src/pymc_elicito/optimization.py + # Notebooks *.ipynb diff --git a/pyproject.toml b/pyproject.toml index afb7437..a65448b 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -8,7 +8,10 @@ authors = [ license = { text = "placeholder" } requires-python = ">=3.9" dependencies = [ + "numpy>=2.0.2", "pandas>=2.3.3", + "pymc>=5.12.0", + "pytensor>=2.19.0", ] readme = "README.md" classifiers = [ @@ -41,7 +44,7 @@ Issues = "https://github.com/pymc-devs/pymc-elicito/issues" [project.optional-dependencies] plots = [ - "matplotlib>=3.7.1", + "matplotlib>=3.9.4", ] full = [ "pymc-elicito[plots]", diff --git a/requirements-docs-locked.txt b/requirements-docs-locked.txt index fc60762..e640653 100644 --- a/requirements-docs-locked.txt +++ b/requirements-docs-locked.txt @@ -5,6 +5,8 @@ appnope==0.1.4 ; sys_platform == 'darwin' argon2-cffi==23.1.0 argon2-cffi-bindings==21.2.0 arrow==1.3.0 +arviz==0.16.0 ; python_full_version < '3.10' +arviz==0.22.0 ; python_full_version >= '3.10' asttokens==3.0.0 async-lru==2.0.4 attrs==25.3.0 @@ -12,12 +14,15 @@ babel==2.16.0 backrefs==5.9 beautifulsoup4==4.12.3 bleach==6.2.0 +cachetools==6.2.2 certifi==2024.12.14 cffi==1.17.1 charset-normalizer==3.4.1 click==8.1.8 +cloudpickle==3.1.2 colorama==0.4.6 comm==0.2.2 +cons==0.4.7 contourpy==1.3.0 ; python_full_version < '3.10' contourpy==1.3.2 ; python_full_version == '3.10.*' contourpy==1.3.3 ; python_full_version >= '3.11' @@ -25,14 +30,20 @@ cycler==0.12.1 debugpy==1.8.11 decorator==5.1.1 defusedxml==0.7.1 +etuples==0.3.10 exceptiongroup==1.3.0 ; python_full_version < '3.11' executing==2.1.0 fastjsonschema==2.21.1 +fastprogress==1.0.3 ; python_full_version < '3.10' +filelock==3.16.1 fonttools==4.60.1 fqdn==1.5.1 ghp-import==2.1.0 griffe==1.11.0 h11==0.14.0 +h5netcdf==1.7.3 +h5py==3.14.0 ; python_full_version < '3.10' +h5py==3.15.1 ; python_full_version >= '3.10' httpcore==1.0.7 httpx==0.28.1 idna==3.10 @@ -62,6 +73,7 @@ jupyterlab-server==2.27.3 jupytext==1.17.2 kiwisolver==1.4.7 ; python_full_version < '3.10' kiwisolver==1.4.9 ; python_full_version >= '3.10' +logical-unification==0.4.7 markdown==3.7 markdown-it-py==3.0.0 markupsafe==3.0.2 @@ -71,6 +83,7 @@ matplotlib-inline==0.1.7 mdit-py-plugins==0.4.2 mdurl==0.1.2 mergedeep==1.3.4 +minikanren==1.0.5 mistune==3.0.2 mkdocs==1.6.1 mkdocs-autorefs==1.4.2 @@ -84,6 +97,7 @@ mkdocs-section-index==0.3.10 mkdocstrings==0.30.0 mkdocstrings-python==1.16.12 mkdocstrings-python-xref==1.16.3 +multipledispatch==1.0.0 nbclient==0.10.2 nbconvert==7.16.4 nbformat==5.10.4 @@ -110,8 +124,14 @@ ptyprocess==0.7.0 ; (python_full_version < '3.10' and sys_platform == 'emscripte pure-eval==0.2.3 pycparser==2.22 pygments==2.19.1 +pymc==5.12.0 ; python_full_version < '3.10' +pymc==5.25.1 ; python_full_version == '3.10.*' +pymc==5.26.1 ; python_full_version >= '3.11' pymdown-extensions==10.16.1 pyparsing==3.2.5 +pytensor==2.19.0 ; python_full_version < '3.10' +pytensor==2.31.7 ; python_full_version == '3.10.*' +pytensor==2.35.1 ; python_full_version >= '3.11' python-dateutil==2.9.0.post0 python-json-logger==3.2.1 pytz==2025.2 @@ -124,8 +144,12 @@ referencing==0.35.1 requests==2.32.3 rfc3339-validator==0.1.4 rfc3986-validator==0.1.1 +rich==13.9.4 ; python_full_version >= '3.10' rpds-py==0.22.3 ruff==0.12.8 +scipy==1.13.1 ; python_full_version < '3.10' +scipy==1.15.3 ; python_full_version == '3.10.*' +scipy==1.16.3 ; python_full_version >= '3.11' send2trash==1.8.3 setuptools==75.6.0 six==1.17.0 @@ -133,12 +157,14 @@ sniffio==1.3.1 soupsieve==2.6 stack-data==0.6.3 terminado==0.18.1 +threadpoolctl==3.6.0 ; python_full_version >= '3.10' tinycss2==1.4.0 tomli==2.2.1 ; python_full_version < '3.11' +toolz==1.1.0 tornado==6.4.2 traitlets==5.14.3 types-python-dateutil==2.9.0.20241206 -typing-extensions==4.12.2 ; python_full_version < '3.13' +typing-extensions==4.12.2 tzdata==2025.2 uri-template==1.3.0 urllib3==2.3.0 @@ -147,4 +173,10 @@ wcwidth==0.2.13 webcolors==24.11.1 webencodings==0.5.1 websocket-client==1.8.0 +xarray==2024.7.0 ; python_full_version < '3.10' +xarray==2025.6.1 ; python_full_version == '3.10.*' +xarray==2025.11.0 ; python_full_version >= '3.11' +xarray-einstats==0.7.0 ; python_full_version < '3.10' +xarray-einstats==0.8.0 ; python_full_version == '3.10.*' +xarray-einstats==0.9.1 ; python_full_version >= '3.11' zipp==3.23.0 ; python_full_version < '3.10' diff --git a/requirements-incl-optional-locked.txt b/requirements-incl-optional-locked.txt index 1d6bb03..4d93be4 100644 --- a/requirements-incl-optional-locked.txt +++ b/requirements-incl-optional-locked.txt @@ -1,15 +1,31 @@ # This file was autogenerated by uv via the following command: # uv export -o requirements-incl-optional-locked.txt --no-hashes --no-dev --no-emit-project --all-extras +arviz==0.16.0 ; python_full_version < '3.10' +arviz==0.22.0 ; python_full_version >= '3.10' +cachetools==6.2.2 +cloudpickle==3.1.2 +cons==0.4.7 contourpy==1.3.0 ; python_full_version < '3.10' contourpy==1.3.2 ; python_full_version == '3.10.*' contourpy==1.3.3 ; python_full_version >= '3.11' cycler==0.12.1 +etuples==0.3.10 +fastprogress==1.0.3 ; python_full_version < '3.10' +filelock==3.16.1 fonttools==4.60.1 +h5netcdf==1.7.3 +h5py==3.14.0 ; python_full_version < '3.10' +h5py==3.15.1 ; python_full_version >= '3.10' importlib-resources==6.5.2 ; python_full_version < '3.10' kiwisolver==1.4.7 ; python_full_version < '3.10' kiwisolver==1.4.9 ; python_full_version >= '3.10' +logical-unification==0.4.7 +markdown-it-py==3.0.0 ; python_full_version >= '3.10' matplotlib==3.9.4 ; python_full_version < '3.10' matplotlib==3.10.7 ; python_full_version >= '3.10' +mdurl==0.1.2 ; python_full_version >= '3.10' +minikanren==1.0.5 +multipledispatch==1.0.0 numpy==2.0.2 ; python_full_version < '3.10' numpy==2.2.6 ; python_full_version == '3.10.*' numpy==2.3.5 ; python_full_version >= '3.11' @@ -17,9 +33,30 @@ packaging==24.2 pandas==2.3.3 pillow==11.3.0 ; python_full_version < '3.10' pillow==12.0.0 ; python_full_version >= '3.10' +pygments==2.19.1 ; python_full_version >= '3.10' +pymc==5.12.0 ; python_full_version < '3.10' +pymc==5.25.1 ; python_full_version == '3.10.*' +pymc==5.26.1 ; python_full_version >= '3.11' pyparsing==3.2.5 +pytensor==2.19.0 ; python_full_version < '3.10' +pytensor==2.31.7 ; python_full_version == '3.10.*' +pytensor==2.35.1 ; python_full_version >= '3.11' python-dateutil==2.9.0.post0 pytz==2025.2 +rich==13.9.4 ; python_full_version >= '3.10' +scipy==1.13.1 ; python_full_version < '3.10' +scipy==1.15.3 ; python_full_version == '3.10.*' +scipy==1.16.3 ; python_full_version >= '3.11' +setuptools==75.6.0 six==1.17.0 +threadpoolctl==3.6.0 ; python_full_version >= '3.10' +toolz==1.1.0 +typing-extensions==4.12.2 tzdata==2025.2 +xarray==2024.7.0 ; python_full_version < '3.10' +xarray==2025.6.1 ; python_full_version == '3.10.*' +xarray==2025.11.0 ; python_full_version >= '3.11' +xarray-einstats==0.7.0 ; python_full_version < '3.10' +xarray-einstats==0.8.0 ; python_full_version == '3.10.*' +xarray-einstats==0.9.1 ; python_full_version >= '3.11' zipp==3.23.0 ; python_full_version < '3.10' diff --git a/requirements-locked.txt b/requirements-locked.txt index cde6122..aad98f9 100644 --- a/requirements-locked.txt +++ b/requirements-locked.txt @@ -1,10 +1,62 @@ # This file was autogenerated by uv via the following command: # uv export -o requirements-locked.txt --no-hashes --no-dev --no-emit-project +arviz==0.16.0 ; python_full_version < '3.10' +arviz==0.22.0 ; python_full_version >= '3.10' +cachetools==6.2.2 +cloudpickle==3.1.2 +cons==0.4.7 +contourpy==1.3.0 ; python_full_version < '3.10' +contourpy==1.3.2 ; python_full_version == '3.10.*' +contourpy==1.3.3 ; python_full_version >= '3.11' +cycler==0.12.1 +etuples==0.3.10 +fastprogress==1.0.3 ; python_full_version < '3.10' +filelock==3.16.1 +fonttools==4.60.1 +h5netcdf==1.7.3 +h5py==3.14.0 ; python_full_version < '3.10' +h5py==3.15.1 ; python_full_version >= '3.10' +importlib-resources==6.5.2 ; python_full_version < '3.10' +kiwisolver==1.4.7 ; python_full_version < '3.10' +kiwisolver==1.4.9 ; python_full_version >= '3.10' +logical-unification==0.4.7 +markdown-it-py==3.0.0 ; python_full_version >= '3.10' +matplotlib==3.9.4 ; python_full_version < '3.10' +matplotlib==3.10.7 ; python_full_version >= '3.10' +mdurl==0.1.2 ; python_full_version >= '3.10' +minikanren==1.0.5 +multipledispatch==1.0.0 numpy==2.0.2 ; python_full_version < '3.10' numpy==2.2.6 ; python_full_version == '3.10.*' numpy==2.3.5 ; python_full_version >= '3.11' +packaging==24.2 pandas==2.3.3 +pillow==11.3.0 ; python_full_version < '3.10' +pillow==12.0.0 ; python_full_version >= '3.10' +pygments==2.19.1 ; python_full_version >= '3.10' +pymc==5.12.0 ; python_full_version < '3.10' +pymc==5.25.1 ; python_full_version == '3.10.*' +pymc==5.26.1 ; python_full_version >= '3.11' +pyparsing==3.2.5 +pytensor==2.19.0 ; python_full_version < '3.10' +pytensor==2.31.7 ; python_full_version == '3.10.*' +pytensor==2.35.1 ; python_full_version >= '3.11' python-dateutil==2.9.0.post0 pytz==2025.2 +rich==13.9.4 ; python_full_version >= '3.10' +scipy==1.13.1 ; python_full_version < '3.10' +scipy==1.15.3 ; python_full_version == '3.10.*' +scipy==1.16.3 ; python_full_version >= '3.11' +setuptools==75.6.0 six==1.17.0 +threadpoolctl==3.6.0 ; python_full_version >= '3.10' +toolz==1.1.0 +typing-extensions==4.12.2 tzdata==2025.2 +xarray==2024.7.0 ; python_full_version < '3.10' +xarray==2025.6.1 ; python_full_version == '3.10.*' +xarray==2025.11.0 ; python_full_version >= '3.11' +xarray-einstats==0.7.0 ; python_full_version < '3.10' +xarray-einstats==0.8.0 ; python_full_version == '3.10.*' +xarray-einstats==0.9.1 ; python_full_version >= '3.11' +zipp==3.23.0 ; python_full_version < '3.10' diff --git a/src/pymc_elicito/losses.py b/src/pymc_elicito/losses.py new file mode 100644 index 0000000..6fca617 --- /dev/null +++ b/src/pymc_elicito/losses.py @@ -0,0 +1,127 @@ +""" +Loss functions + +Computing discrepancy between expert summaries and model simulations +""" + +from enum import Enum +from typing import Any, Union + +import pytensor.tensor as pt + + +class Kernel(str, Enum): + """Suppoted kernel types for MMD loss""" + + ENERGY = "energy" + GAUSSIAN = "gaussian" + + +class MMD2: + """ + Maximum mean discrepancy loss + """ + + def __init__( + self, kernel: Union[Kernel, str] = Kernel.ENERGY, **kwargs: dict[Any, Any] + ) -> None: + """ + Compute the biased, squared maximum mean discrepancy + + Parameters + ---------- + kernel : + Kernel type used for computing the MMD. + Currently supported: "energy", "gaussian". + + **kwargs : + additional keyword arguments that might be required by the + different individual kernels + """ + # ensure that all additionally, required arguments are provided for + # the respective kernel + try: + self.kernel_type = Kernel(kernel) + except ValueError: + raise ValueError( # noqa: TRY003 + f"Invalid kernel '{kernel}'. " + f"Must be one of: {[k.value for k in Kernel]}" + ) + + # ensure correct kernel specification + if self.kernel_type == Kernel.GAUSSIAN: + if "sigma" not in kwargs: + raise ValueError( # noqa: TRY003 + "You need to pass a 'sigma' argument when using a " + "Gaussian kernel." + ) + self.sigma = kwargs["sigma"] + + self.kernel_name = kernel + + def __call__( + self, + x: pt.TensorVariable, # shape: [B, num_stats] + y: pt.TensorVariable, # shape: [B, num_stats] + ) -> pt.TensorVariable: # shape: [] + """ + Compute the biased, squared maximum mean discrepancy of two samples + + Returns + ------- + MMD2_mean : + Average biased, squared maximum mean discrepancy. + """ + # treat samples as column vectors [B, num_stats, 1] + # equivalent to tf.expand_dims(x, -1) + x = x.dimshuffle(0, 1, "x") + y = y.dimshuffle(0, 1, "x") + + # compute dot product between samples + # equivalent to tf.matmul(x, x, transpose_b=True) + # Input x is (B, N, 1), x.transpose is (B, 1, N) -> Result (B, N, N) + xx = pt.batched_dot(x, x.transpose(0, 2, 1)) + xy = pt.batched_dot(x, y.transpose(0, 2, 1)) + yy = pt.batched_dot(y, y.transpose(0, 2, 1)) + + # compute squared difference + # We need to reshape diagonals for broadcasting: + # diag returns (B, N). dimshuffle(0, 1, 'x') makes it (B, N, 1) + # dimshuffle(0, 'x', 1) makes it (B, 1, N) + diag_xx = pt.diagonal(xx, axis1=1, axis2=2) + diag_yy = pt.diagonal(yy, axis1=1, axis2=2) + + u_xx = diag_xx.dimshuffle(0, 1, "x") - 2 * xx + diag_xx.dimshuffle(0, "x", 1) + u_xy = diag_xx.dimshuffle(0, 1, "x") - 2 * xy + diag_yy.dimshuffle(0, "x", 1) + u_yy = diag_yy.dimshuffle(0, 1, "x") - 2 * yy + diag_yy.dimshuffle(0, "x", 1) + + # apply kernel function to squared difference + XX = self.kernel_fun(u_xx) + XY = self.kernel_fun(u_xy) + YY = self.kernel_fun(u_yy) + + # compute biased, squared MMD + # reduce_mean over axes 1 and 2 + mmd2_val = pt.mean(XX, axis=(1, 2)) + mmd2_val -= 2 * pt.mean(XY, axis=(1, 2)) + mmd2_val += pt.mean(YY, axis=(1, 2)) + + # Final mean over the batch + MMD2_mean = pt.mean(mmd2_val) + + return MMD2_mean + + def kernel_fun(self, u: pt.TensorVariable) -> pt.TensorVariable: + """ + Kernel used in MMD to compute discrepancy between samples. + """ + if self.kernel_type == Kernel.ENERGY: + # clipping for numerical stability reasons + d = -pt.sqrt(pt.clip(u, 1e-8, int(1e10))) + elif self.kernel_type == Kernel.GAUSSIAN: + d = pt.exp(-0.5 * (u / self.sigma)) + else: + # Fallback (should be caught in init) + d = u + + return d diff --git a/src/pymc_elicito/optimization.py b/src/pymc_elicito/optimization.py new file mode 100644 index 0000000..c5a638c --- /dev/null +++ b/src/pymc_elicito/optimization.py @@ -0,0 +1,3 @@ +""" +Optimization module +""" diff --git a/tests/unit/test_losses.py b/tests/unit/test_losses.py new file mode 100644 index 0000000..49a6ed0 --- /dev/null +++ b/tests/unit/test_losses.py @@ -0,0 +1,47 @@ +""" +Unittests for losses module +""" + +import numpy as np +import pytensor.tensor as pt +import pytest +from numpy import testing as npt + +from pymc_elicito.losses import MMD2 + +# assuming k(x, y) = -||x - y||^2 +# mean XX: 1/N^2 sum_i sum_j k(x_i, x_j) +# mean YY: 1/N^2 sum_i sum_j k(y_i, y_j) +# mean XY: -2/N^2 sum_i sum_j k(x_i, y_j) + + +@pytest.mark.parametrize( + "x, y, expected", + [ + ( + np.array([[1.0, 2.0], [3.0, 4.0]]), # x + np.array([[1.5, 2.5], [3.5, 4.5]]), # y + 0.5, # expected MMD^2 value (approx) + ), + ( + np.array([[1.0, 2.0], [3.0, 4.0]]), + np.array([[1.0, 2.0], [3.0, 4.0]]), + 0.0, + ), + ( + np.array([[0, 4]]), # mean(XX) = 1/4 (0 - 4 - 4 + 0) = -2 + np.array([[1, 3]]), # mean(YY) -> 1/4(0 - 2 - 2 + 0) = -1 + # mean(XY) = 1/4(-1 - 3 - 3 - 1) = -2 + 1.0, # xx -2xy + yy = (-2) -2*(-2) + (-1) = 1 + ), + ], +) +def test_mmd2_call(x, y, expected): + x_sample = pt.as_tensor_variable(x) + y_sample = pt.as_tensor_variable(y) + + mmd2 = MMD2(kernel="energy") + result = mmd2(x_sample, y_sample) + + assert isinstance(result, pt.TensorVariable) + npt.assert_allclose(result.eval(), expected, atol=1e-4) diff --git a/tests/unit/test_optimization.py b/tests/unit/test_optimization.py new file mode 100644 index 0000000..1696ca2 --- /dev/null +++ b/tests/unit/test_optimization.py @@ -0,0 +1,10 @@ +""" +Unittests for optimization module +""" + +from pymc_elicito.optimization import run_optimizer + + +def test_run_optimizer(): + # Just ensure the function runs without errors + run_optimizer() diff --git a/uv.lock b/uv.lock index 99c4e92..8a15b3f 100644 --- a/uv.lock +++ b/uv.lock @@ -82,6 +82,64 @@ wheels = [ { url = "https://files.pythonhosted.org/packages/f8/ed/e97229a566617f2ae958a6b13e7cc0f585470eac730a73e9e82c32a3cdd2/arrow-1.3.0-py3-none-any.whl", hash = "sha256:c728b120ebc00eb84e01882a6f5e7927a53960aa990ce7dd2b10f39005a67f80", size = 66419, upload-time = "2023-09-30T22:11:16.072Z" }, ] +[[package]] +name = "arviz" +version = "0.16.0" +source = { registry = "https://pypi.org/simple" } +resolution-markers = [ + "python_full_version < '3.10' and sys_platform == 'win32'", + "python_full_version < '3.10' and sys_platform != 'win32'", +] +dependencies = [ + { name = "h5netcdf", marker = "python_full_version < '3.10'" }, + { name = "matplotlib", version = "3.9.4", source = { registry = "https://pypi.org/simple" }, marker = "python_full_version < '3.10'" }, + { name = "numpy", version = "2.0.2", source = { registry = "https://pypi.org/simple" }, marker = "python_full_version < '3.10'" }, + { name = "packaging", marker = "python_full_version < '3.10'" }, + { name = "pandas", marker = "python_full_version < '3.10'" }, + { name = "scipy", version = "1.13.1", source = { registry = "https://pypi.org/simple" }, marker = "python_full_version < '3.10'" }, + { name = "setuptools", marker = "python_full_version < '3.10'" }, + { name = "typing-extensions", marker = "python_full_version < '3.10'" }, + { name = "xarray", version = "2024.7.0", source = { registry = "https://pypi.org/simple" }, marker = "python_full_version < '3.10'" 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