Source code for pycbc.inference.sampler.multinest

# Copyright (C) 2018  Daniel Finstad
# This program is free software; you can redistribute it and/or modify it
# under the terms of the GNU General Public License as published by the
# Free Software Foundation; either version 3 of the License, or (at your
# option) any later version.
# This program is distributed in the hope that it will be useful, but
# WITHOUT ANY WARRANTY; without even the implied warranty of
# Public License for more details.
# You should have received a copy of the GNU General Public License along
# with this program; if not, write to the Free Software Foundation, Inc.,
# 51 Franklin Street, Fifth Floor, Boston, MA  02110-1301, USA.

# =============================================================================
#                                   Preamble
# =============================================================================
This modules provides classes and functions for using the Multinest sampler
packages for parameter estimation.

from __future__ import absolute_import

import logging
import sys
import numpy

from import (MultinestFile, validate_checkpoint_files)
from pycbc.distributions import read_constraints_from_config
from pycbc.pool import is_main_process
from pycbc.transforms import apply_transforms
from .base import (BaseSampler, setup_output)
from .base_mcmc import get_optional_arg_from_config

# =============================================================================
#                                   Samplers
# =============================================================================

[docs]class MultinestSampler(BaseSampler): """This class is used to construct a nested sampler from the Multinest package. Parameters ---------- model : model A model from ``pycbc.inference.models``. nlivepoints : int Number of live points to use in sampler. """ name = "multinest" _io = MultinestFile def __init__(self, model, nlivepoints, checkpoint_interval=1000, importance_nested_sampling=False, evidence_tolerance=0.1, sampling_efficiency=0.01, constraints=None): try: loglevel = logging.getLogger().getEffectiveLevel() logging.getLogger().setLevel(logging.WARNING) from pymultinest import Analyzer, run self.run_multinest = run self.analyzer = Analyzer logging.getLogger().setLevel(loglevel) except ImportError: raise ImportError("pymultinest is not installed.") super(MultinestSampler, self).__init__(model) self._constraints = constraints self._nlivepoints = nlivepoints self._ndim = len(model.variable_params) self._random_state = numpy.random.get_state() self._checkpoint_interval = checkpoint_interval self._ztol = evidence_tolerance self._eff = sampling_efficiency self._ins = importance_nested_sampling self._samples = None self._itercount = None self._logz = None self._dlogz = None self._importance_logz = None self._importance_dlogz = None self.is_main_process = is_main_process() @property def io(self): return self._io @property def niterations(self): """Get the current number of iterations. """ itercount = self._itercount if itercount is None: itercount = 0 return itercount @property def checkpoint_interval(self): """Get the number of iterations between checkpoints. """ return self._checkpoint_interval @property def nlivepoints(self): """Get the number of live points used in sampling. """ return self._nlivepoints @property def logz(self): """Get the current estimate of the log evidence. """ return self._logz @property def dlogz(self): """Get the current error estimate of the log evidence. """ return self._dlogz @property def importance_logz(self): """Get the current importance weighted estimate of the log evidence. """ return self._importance_logz @property def importance_dlogz(self): """Get the current error estimate of the importance weighted log evidence. """ return self._importance_dlogz @property def samples(self): """A dict mapping ``variable_params`` to arrays of samples currently in memory. """ samples_dict = {p: self._samples[:, i] for i, p in enumerate(self.model.variable_params)} return samples_dict @property def model_stats(self): """A dict mapping the model's ``default_stats`` to arrays of values. """ stats = [] for sample in self._samples: params = dict(zip(self.model.variable_params, sample)) if self.model.sampling_transforms is not None: params = self.model.sampling_transforms.apply(params) self.model.update(**params) self.model.logposterior stats.append(self.model.get_current_stats()) stats = numpy.array(stats) return {s: stats[:, i] for i, s in enumerate(self.model.default_stats)}
[docs] def get_posterior_samples(self): """Read posterior samples from ASCII output file created by multinest. """ post_file = self.backup_file[:-9]+'-post_equal_weights.dat' return numpy.loadtxt(post_file, ndmin=2)
[docs] def check_if_finished(self): """Estimate remaining evidence to see if desired evidence-tolerance stopping criterion has been reached. """ resume_file = self.backup_file[:-9] + '-resume.dat' current_vol, _, _ = numpy.loadtxt( resume_file, skiprows=6, unpack=True) maxloglike = max(self.get_posterior_samples()[:, -1]) logz_remain = numpy.exp(maxloglike + numpy.log(current_vol) - self.logz)"Estimate of remaining logZ is %s", logz_remain) done = logz_remain < self._ztol return done
[docs] def set_initial_conditions(self, initial_distribution=None, samples_file=None): """Sets the initial starting point for the sampler. If a starting samples file is provided, will also load the random state from it. """ # use samples file to set the state of the sampler if samples_file is not None: self.set_state_from_file(samples_file)
[docs] def resume_from_checkpoint(self): """Resume sampler from checkpoint """ pass
[docs] def set_state_from_file(self, filename): """Sets the state of the sampler back to the instance saved in a file. """ with, 'r') as f_p: rstate = f_p.read_random_state() # set the numpy random state numpy.random.set_state(rstate) # set sampler's generator to the same state self._random_state = rstate
[docs] def loglikelihood(self, cube, *extra_args): """Log likelihood evaluator that gets passed to multinest. """ params = {p: v for p, v in zip(self.model.variable_params, cube)} # apply transforms if self.model.sampling_transforms is not None: params = self.model.sampling_transforms.apply(params) if self.model.waveform_transforms is not None: params = apply_transforms(params, self.model.waveform_transforms) # apply constraints if (self._constraints is not None and not all([c(params) for c in self._constraints])): return -numpy.inf self.model.update(**params) return self.model.loglikelihood
[docs] def transform_prior(self, cube, *extra_args): """Transforms the unit hypercube that multinest makes its draws from, into the prior space defined in the config file. """ dict_cube = dict(zip(self.model.variable_params, cube)) inv = self.model.prior_distribution.cdfinv(**dict_cube) for i, param in enumerate(self.model.variable_params): cube[i] = inv[param] return cube
[docs] def run(self): """Runs the sampler until the specified evidence tolerance is reached. """ if self.new_checkpoint: self._itercount = 0 else: self.set_initial_conditions(samples_file=self.checkpoint_file) with, "r") as f_p: self._itercount = f_p.niterations outputfiles_basename = self.backup_file[:-9] + '-' analyzer = self.analyzer(self._ndim, outputfiles_basename=outputfiles_basename) iterinterval = self.checkpoint_interval done = False while not done:"Running sampler for %s to %s iterations", self.niterations, self.niterations + iterinterval) # run multinest self.run_multinest(self.loglikelihood, self.transform_prior, self._ndim, n_live_points=self.nlivepoints, evidence_tolerance=self._ztol, sampling_efficiency=self._eff, importance_nested_sampling=self._ins, max_iter=iterinterval, n_iter_before_update=iterinterval, seed=numpy.random.randint(0, 1e6), outputfiles_basename=outputfiles_basename, multimodal=False, verbose=True) # parse results from multinest output files nest_stats = analyzer.get_mode_stats() self._logz = nest_stats["nested sampling global log-evidence"] self._dlogz = nest_stats[ "nested sampling global log-evidence error"] if self._ins: self._importance_logz = nest_stats[ "nested importance sampling global log-evidence"] self._importance_dlogz = nest_stats[ "nested importance sampling global log-evidence error"] self._samples = self.get_posterior_samples()[:, :-1]"Have %s posterior samples", self._samples.shape[0]) # update the itercounter self._itercount += iterinterval # make sure there's at least 1 posterior sample if self._samples.shape[0] == 0: continue # dump the current results if self.is_main_process: self.checkpoint() # check if we're finished done = self.check_if_finished() if not self.is_main_process: sys.exit()
[docs] def write_results(self, filename): """Writes samples, model stats, acceptance fraction, and random state to the given file. Parameters ----------- filename : str The file to write to. The file is opened using the ``io`` class in an an append state. """ with, 'a') as f_p: # write samples f_p.write_samples(self.samples, self.model.variable_params) # write stats f_p.write_samples(self.model_stats) # write evidence f_p.write_logevidence(self.logz, self.dlogz, self.importance_logz, self.importance_dlogz) # write random state (use default numpy.random_state) f_p.write_random_state()
[docs] def checkpoint(self): """Dumps current samples to the checkpoint file.""""Writing samples to files") for f_n in [self.checkpoint_file, self.backup_file]: self.write_results(f_n) with, "a") as f_p: f_p.write_niterations(self.niterations)"Validating checkpoint and backup files") checkpoint_valid = validate_checkpoint_files( self.checkpoint_file, self.backup_file, check_nsamples=False) if not checkpoint_valid: raise IOError("error writing to checkpoint file")
[docs] def setup_output(self, output_file): """Sets up the sampler's checkpoint and output files. The checkpoint file has the same name as the output file, but with ``.checkpoint`` appended to the name. A backup file will also be created. Parameters ---------- sampler : sampler instance Sampler output_file : str Name of the output file. """ if self.is_main_process: setup_output(self, output_file) else: # child processes just store filenames checkpoint_file = output_file + '.checkpoint' backup_file = output_file + '.bkup' self.checkpoint_file = checkpoint_file self.backup_file = backup_file self.checkpoint_valid = True self.new_checkpoint = True
[docs] def finalize(self): """All data is written by the last checkpoint in the run method, so this just passes.""" pass
[docs] @classmethod def from_config(cls, cp, model, output_file=None, nprocesses=1, use_mpi=False): """Loads the sampler from the given config file.""" section = "sampler" # check name assert cp.get(section, "name") ==, ( "name in section [sampler] must match mine") # get the number of live points to use nlivepoints = int(cp.get(section, "nlivepoints")) # get the checkpoint interval, if it's specified checkpoint = get_optional_arg_from_config( cp, section, 'checkpoint-interval', dtype=int) # get the evidence tolerance, if specified ztol = get_optional_arg_from_config(cp, section, 'evidence-tolerance', dtype=float) # get the sampling efficiency, if specified eff = get_optional_arg_from_config(cp, section, 'sampling-efficiency', dtype=float) # get importance nested sampling setting, if specified ins = get_optional_arg_from_config(cp, section, 'importance-nested-sampling', dtype=bool) # get constraints since we can't use the joint prior distribution constraints = read_constraints_from_config(cp) # build optional kwarg dict kwarg_names = ['evidence_tolerance', 'sampling_efficiency', 'importance_nested_sampling', 'checkpoint_interval'] optional_kwargs = {k: v for k, v in zip(kwarg_names, [ztol, eff, ins, checkpoint]) if v is not None} obj = cls(model, nlivepoints, constraints=constraints, **optional_kwargs) obj.setup_output(output_file) return obj