Source code for pymc.backends.arviz

"""PyMC-ArviZ conversion code."""
import logging
import warnings

from typing import (  # pylint: disable=unused-import
    TYPE_CHECKING,
    Any,
    Dict,
    Iterable,
    List,
    Mapping,
    Optional,
    Sequence,
    Tuple,
    Union,
)

import numpy as np

from arviz import InferenceData, concat, rcParams
from arviz.data.base import CoordSpec, DimSpec, dict_to_dataset, requires
from pytensor.graph.basic import Constant
from pytensor.tensor.sharedvar import SharedVariable

import pymc

from pymc.model import Model, modelcontext
from pymc.pytensorf import extract_obs_data
from pymc.util import get_default_varnames

if TYPE_CHECKING:
    from pymc.backends.base import MultiTrace  # pylint: disable=invalid-name

___all__ = [""]

_log = logging.getLogger("pymc")

# random variable object ...
Var = Any  # pylint: disable=invalid-name


def find_observations(model: "Model") -> Dict[str, Var]:
    """If there are observations available, return them as a dictionary."""
    observations = {}
    for obs in model.observed_RVs:
        aux_obs = model.rvs_to_values.get(obs, None)
        if aux_obs is not None:
            try:
                obs_data = extract_obs_data(aux_obs)
                observations[obs.name] = obs_data
            except TypeError:
                warnings.warn(f"Could not extract data from symbolic observation {obs}")
        else:
            warnings.warn(f"No data for observation {obs}")

    return observations


def find_constants(model: "Model") -> Dict[str, Var]:
    """If there are constants available, return them as a dictionary."""
    # The constant data vars must be either pm.Data or TensorConstant or SharedVariable
    def is_data(name, var, model) -> bool:
        observations = find_observations(model)
        return (
            var not in model.deterministics
            and var not in model.observed_RVs
            and var not in model.free_RVs
            and var not in model.potentials
            and var not in model.value_vars
            and name not in observations
            and isinstance(var, (Constant, SharedVariable))
        )

    # The assumption is that constants (like pm.Data) are named
    # variables that aren't observed or free RVs, nor are they
    # deterministics, and then we eliminate observations.
    constant_data = {}
    for name, var in model.named_vars.items():
        if is_data(name, var, model):
            if hasattr(var, "get_value"):
                var = var.get_value()
            elif hasattr(var, "data"):
                var = var.data
            constant_data[name] = var

    return constant_data


class _DefaultTrace:
    """
    Utility for collecting samples into a dictionary.

    Name comes from its similarity to ``defaultdict``:
    entries are lazily created.

    Parameters
    ----------
    samples : int
        The number of samples that will be collected, per variable,
        into the trace.

    Attributes
    ----------
    trace_dict : Dict[str, np.ndarray]
        A dictionary constituting a trace.  Should be extracted
        after a procedure has filled the `_DefaultTrace` using the
        `insert()` method
    """

    def __init__(self, samples: int):
        self._len: int = samples
        self.trace_dict: Dict[str, np.ndarray] = {}

    def insert(self, k: str, v, idx: int):
        """
        Insert `v` as the value of the `idx`th sample for the variable `k`.

        Parameters
        ----------
        k: str
            Name of the variable.
        v: anything that can go into a numpy array (including a numpy array)
            The value of the `idx`th sample from variable `k`
        ids: int
            The index of the sample we are inserting into the trace.
        """
        value_shape = np.shape(v)

        # initialize if necessary
        if k not in self.trace_dict:
            array_shape = (self._len,) + value_shape
            self.trace_dict[k] = np.empty(array_shape, dtype=np.array(v).dtype)

        # do the actual insertion
        if value_shape == ():
            self.trace_dict[k][idx] = v
        else:
            self.trace_dict[k][idx, :] = v


class InferenceDataConverter:  # pylint: disable=too-many-instance-attributes
    """Encapsulate InferenceData specific logic."""

    model: Optional[Model] = None
    posterior_predictive: Optional[Mapping[str, np.ndarray]] = None
    predictions: Optional[Mapping[str, np.ndarray]] = None
    prior: Optional[Mapping[str, np.ndarray]] = None

    def __init__(
        self,
        *,
        trace=None,
        prior=None,
        posterior_predictive=None,
        log_likelihood=False,
        predictions=None,
        coords: Optional[CoordSpec] = None,
        dims: Optional[DimSpec] = None,
        sample_dims: Optional[List] = None,
        model=None,
        save_warmup: Optional[bool] = None,
        include_transformed: bool = False,
    ):

        self.save_warmup = rcParams["data.save_warmup"] if save_warmup is None else save_warmup
        self.include_transformed = include_transformed
        self.trace = trace

        # this permits us to get the model from command-line argument or from with model:
        self.model = modelcontext(model)

        self.attrs = None
        if trace is not None:
            self.nchains = trace.nchains if hasattr(trace, "nchains") else 1
            if hasattr(trace.report, "n_draws") and trace.report.n_draws is not None:
                self.ndraws = trace.report.n_draws
                self.attrs = {
                    "sampling_time": trace.report.t_sampling,
                    "tuning_steps": trace.report.n_tune,
                }
            else:
                self.ndraws = len(trace)
                if self.save_warmup:
                    warnings.warn(
                        "Warmup samples will be stored in posterior group and will not be"
                        " excluded from stats and diagnostics."
                        " Do not slice the trace manually before conversion",
                        UserWarning,
                    )
            self.ntune = len(self.trace) - self.ndraws
            self.posterior_trace, self.warmup_trace = self.split_trace()
        else:
            self.nchains = self.ndraws = 0

        self.prior = prior
        self.posterior_predictive = posterior_predictive
        self.log_likelihood = log_likelihood
        self.predictions = predictions

        if all(elem is None for elem in (trace, predictions, posterior_predictive, prior)):
            raise ValueError(
                "When constructing InferenceData you must pass at least"
                " one of trace, prior, posterior_predictive or predictions."
            )

        # Make coord types more rigid
        untyped_coords: Dict[str, Optional[Sequence[Any]]] = {**self.model.coords}
        if coords:
            untyped_coords.update(coords)
        self.coords = {
            cname: np.array(cvals) if isinstance(cvals, tuple) else cvals
            for cname, cvals in untyped_coords.items()
            if cvals is not None
        }

        self.dims = {} if dims is None else dims
        model_dims = {
            var_name: [dim for dim in dims if dim is not None]
            for var_name, dims in self.model.named_vars_to_dims.items()
        }
        self.dims = {**model_dims, **self.dims}
        if sample_dims is None:
            sample_dims = ["chain", "draw"]
        self.sample_dims = sample_dims

        self.observations = find_observations(self.model)

    def split_trace(self) -> Tuple[Union[None, "MultiTrace"], Union[None, "MultiTrace"]]:
        """Split MultiTrace object into posterior and warmup.

        Returns
        -------
        trace_posterior: MultiTrace or None
            The slice of the trace corresponding to the posterior. If the posterior
            trace is empty, None is returned
        trace_warmup: MultiTrace or None
            The slice of the trace corresponding to the warmup. If the warmup trace is
            empty or ``save_warmup=False``, None is returned
        """
        trace_posterior = None
        trace_warmup = None
        if self.save_warmup and self.ntune > 0:
            trace_warmup = self.trace[: self.ntune]
        if self.ndraws > 0:
            trace_posterior = self.trace[self.ntune :]
        return trace_posterior, trace_warmup

    @requires("trace")
    def posterior_to_xarray(self):
        """Convert the posterior to an xarray dataset."""
        var_names = get_default_varnames(
            self.trace.varnames, include_transformed=self.include_transformed
        )
        data = {}
        data_warmup = {}
        for var_name in var_names:
            if self.warmup_trace:
                data_warmup[var_name] = np.array(
                    self.warmup_trace.get_values(var_name, combine=False, squeeze=False)
                )
            if self.posterior_trace:
                data[var_name] = np.array(
                    self.posterior_trace.get_values(var_name, combine=False, squeeze=False)
                )
        return (
            dict_to_dataset(
                data,
                library=pymc,
                coords=self.coords,
                dims=self.dims,
                attrs=self.attrs,
            ),
            dict_to_dataset(
                data_warmup,
                library=pymc,
                coords=self.coords,
                dims=self.dims,
                attrs=self.attrs,
            ),
        )

    @requires("trace")
    def sample_stats_to_xarray(self):
        """Extract sample_stats from PyMC trace."""
        data = {}
        rename_key = {
            "model_logp": "lp",
            "mean_tree_accept": "acceptance_rate",
            "depth": "tree_depth",
            "tree_size": "n_steps",
        }
        data = {}
        data_warmup = {}
        for stat in self.trace.stat_names:
            name = rename_key.get(stat, stat)
            if name == "tune":
                continue
            if self.warmup_trace:
                data_warmup[name] = np.array(
                    self.warmup_trace.get_sampler_stats(stat, combine=False)
                )
            if self.posterior_trace:
                data[name] = np.array(self.posterior_trace.get_sampler_stats(stat, combine=False))

        return (
            dict_to_dataset(
                data,
                library=pymc,
                dims=None,
                coords=self.coords,
                attrs=self.attrs,
            ),
            dict_to_dataset(
                data_warmup,
                library=pymc,
                dims=None,
                coords=self.coords,
                attrs=self.attrs,
            ),
        )

    @requires(["posterior_predictive"])
    def posterior_predictive_to_xarray(self):
        """Convert posterior_predictive samples to xarray."""
        data = self.posterior_predictive
        dims = {var_name: self.sample_dims + self.dims.get(var_name, []) for var_name in data}
        return dict_to_dataset(
            data, library=pymc, coords=self.coords, dims=dims, default_dims=self.sample_dims
        )

    @requires(["predictions"])
    def predictions_to_xarray(self):
        """Convert predictions (out of sample predictions) to xarray."""
        data = self.predictions
        dims = {var_name: self.sample_dims + self.dims.get(var_name, []) for var_name in data}
        return dict_to_dataset(
            data, library=pymc, coords=self.coords, dims=dims, default_dims=self.sample_dims
        )

    def priors_to_xarray(self):
        """Convert prior samples (and if possible prior predictive too) to xarray."""
        if self.prior is None:
            return {"prior": None, "prior_predictive": None}
        if self.observations is not None:
            prior_predictive_vars = list(set(self.observations).intersection(self.prior))
            prior_vars = [key for key in self.prior.keys() if key not in prior_predictive_vars]
        else:
            prior_vars = list(self.prior.keys())
            prior_predictive_vars = None

        priors_dict = {}
        for group, var_names in zip(
            ("prior", "prior_predictive"), (prior_vars, prior_predictive_vars)
        ):
            priors_dict[group] = (
                None
                if var_names is None
                else dict_to_dataset(
                    {k: np.expand_dims(self.prior[k], 0) for k in var_names},
                    library=pymc,
                    coords=self.coords,
                    dims=self.dims,
                )
            )
        return priors_dict

    @requires("observations")
    @requires("model")
    def observed_data_to_xarray(self):
        """Convert observed data to xarray."""
        if self.predictions:
            return None
        return dict_to_dataset(
            self.observations,
            library=pymc,
            coords=self.coords,
            dims=self.dims,
            default_dims=[],
        )

    @requires("model")
    def constant_data_to_xarray(self):
        """Convert constant data to xarray."""
        constant_data = find_constants(self.model)
        if not constant_data:
            return None

        return dict_to_dataset(
            constant_data,
            library=pymc,
            coords=self.coords,
            dims=self.dims,
            default_dims=[],
        )

    def to_inference_data(self):
        """Convert all available data to an InferenceData object.

        Note that if groups can not be created (e.g., there is no `trace`, so
        the `posterior` and `sample_stats` can not be extracted), then the InferenceData
        will not have those groups.
        """
        id_dict = {
            "posterior": self.posterior_to_xarray(),
            "sample_stats": self.sample_stats_to_xarray(),
            "posterior_predictive": self.posterior_predictive_to_xarray(),
            "predictions": self.predictions_to_xarray(),
            **self.priors_to_xarray(),
            "observed_data": self.observed_data_to_xarray(),
        }
        if self.predictions:
            id_dict["predictions_constant_data"] = self.constant_data_to_xarray()
        else:
            id_dict["constant_data"] = self.constant_data_to_xarray()
        idata = InferenceData(save_warmup=self.save_warmup, **id_dict)
        if self.log_likelihood:
            from pymc.stats.log_likelihood import compute_log_likelihood

            idata = compute_log_likelihood(
                idata,
                var_names=None if self.log_likelihood is True else self.log_likelihood,
                extend_inferencedata=True,
                model=self.model,
                sample_dims=self.sample_dims,
                progressbar=False,
            )
        return idata


[docs]def to_inference_data( trace: Optional["MultiTrace"] = None, *, prior: Optional[Mapping[str, Any]] = None, posterior_predictive: Optional[Mapping[str, Any]] = None, log_likelihood: Union[bool, Iterable[str]] = False, coords: Optional[CoordSpec] = None, dims: Optional[DimSpec] = None, sample_dims: Optional[List] = None, model: Optional["Model"] = None, save_warmup: Optional[bool] = None, include_transformed: bool = False, ) -> InferenceData: """Convert pymc data into an InferenceData object. All three of them are optional arguments, but at least one of ``trace``, ``prior`` and ``posterior_predictive`` must be present. For a usage example read the :ref:`Creating InferenceData section on from_pymc <creating_InferenceData>` Parameters ---------- trace : MultiTrace, optional Trace generated from MCMC sampling. Output of :func:`~pymc.sampling.sample`. prior : dict, optional Dictionary with the variable names as keys, and values numpy arrays containing prior and prior predictive samples. posterior_predictive : dict, optional Dictionary with the variable names as keys, and values numpy arrays containing posterior predictive samples. log_likelihood : bool or array_like of str, optional List of variables to calculate `log_likelihood`. Defaults to True which calculates `log_likelihood` for all observed variables. If set to False, log_likelihood is skipped. coords : dict of {str: array-like}, optional Map of coordinate names to coordinate values dims : dict of {str: list of str}, optional Map of variable names to the coordinate names to use to index its dimensions. model : Model, optional Model used to generate ``trace``. It is not necessary to pass ``model`` if in ``with`` context. save_warmup : bool, optional Save warmup iterations InferenceData object. If not defined, use default defined by the rcParams. include_transformed : bool, optional Save the transformed parameters in the InferenceData object. By default, these are not saved. Returns ------- arviz.InferenceData """ if isinstance(trace, InferenceData): return trace return InferenceDataConverter( trace=trace, prior=prior, posterior_predictive=posterior_predictive, log_likelihood=log_likelihood, coords=coords, dims=dims, sample_dims=sample_dims, model=model, save_warmup=save_warmup, include_transformed=include_transformed, ).to_inference_data()
### Later I could have this return ``None`` if the ``idata_orig`` argument is supplied. But ### perhaps we should have an inplace argument?
[docs]def predictions_to_inference_data( predictions, posterior_trace: Optional["MultiTrace"] = None, model: Optional["Model"] = None, coords: Optional[CoordSpec] = None, dims: Optional[DimSpec] = None, sample_dims: Optional[List] = None, idata_orig: Optional[InferenceData] = None, inplace: bool = False, ) -> InferenceData: """Translate out-of-sample predictions into ``InferenceData``. Parameters ---------- predictions: Dict[str, np.ndarray] The predictions are the return value of :func:`~pymc.sample_posterior_predictive`, a dictionary of strings (variable names) to numpy ndarrays (draws). Requires the arrays to follow the convention ``chain, draw, *shape``. posterior_trace: MultiTrace This should be a trace that has been thinned appropriately for ``pymc.sample_posterior_predictive``. Specifically, any variable whose shape is a deterministic function of the shape of any predictor (explanatory, independent, etc.) variables must be *removed* from this trace. model: Model The pymc model. It can be ommited if within a model context. coords: Dict[str, array-like[Any]] Coordinates for the variables. Map from coordinate names to coordinate values. dims: Dict[str, array-like[str]] Map from variable name to ordered set of coordinate names. idata_orig: InferenceData, optional If supplied, then modify this inference data in place, adding ``predictions`` and (if available) ``predictions_constant_data`` groups. If this is not supplied, make a fresh InferenceData inplace: boolean, optional If idata_orig is supplied and inplace is True, merge the predictions into idata_orig, rather than returning a fresh InferenceData object. Returns ------- InferenceData: May be modified ``idata_orig``. """ if inplace and not idata_orig: raise ValueError( "Do not pass True for inplace unless passing an existing InferenceData as idata_orig" ) converter = InferenceDataConverter( trace=posterior_trace, predictions=predictions, model=model, coords=coords, dims=dims, sample_dims=sample_dims, log_likelihood=False, ) if hasattr(idata_orig, "posterior"): assert idata_orig is not None converter.nchains = idata_orig["posterior"].dims["chain"] converter.ndraws = idata_orig["posterior"].dims["draw"] else: aelem = next(iter(predictions.values())) converter.nchains, converter.ndraws = aelem.shape[:2] new_idata = converter.to_inference_data() if idata_orig is None: return new_idata elif inplace: concat([idata_orig, new_idata], dim=None, inplace=True) return idata_orig else: # if we are not returning in place, then merge the old groups into the new inference # data and return that. concat([new_idata, idata_orig], dim=None, copy=True, inplace=True) return new_idata